AAXJ Options History — July 2014

In July 2014, AAXJ traded between $63.11 and $65.56. ATM implied volatility averaged 10.7%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 2.4% (HV 20d: 8.3%). Max pain ranged from $61.00 to $65.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.13.

Notable Days

  • 2014-07-17: Highest Volume — 50 contracts
  • 2014-07-31: Largest IV spike — 31.2% change
  • 2014-07-31: Highest IV Rank — 40.2%
  • 2014-07-31: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.23$63.11$65.56$63.22$64.49
Max Pain$62.81$61.00$65.00$63.00$65.00
ATM IV10.7%9.1%14.7%10.1%14.7%
Expected Move3.5%2.6%4.5%2.9%4.5%
HV 20d8.3%7.0%11.1%7.1%11.1%
HV 60d8.9%8.5%9.7%9.3%9.7%
IV Rank11.3%0.0%40.2%2.4%40.2%
IV Percentile5.6%0.0%27.0%0.8%27.0%
Term Structure0.9%-0.1%1.6%1.4%-0.1%
VWIV11.4%8.9%14.0%11.1%14.0%
Skew 25d2.5%0.7%4.5%3.2%1.6%
Skew 10d2.5%-2.4%8.9%0.7%8.9%
Call IV 25d9.9%6.4%13.5%8.7%13.5%
Put IV 25d12.4%9.9%15.1%11.9%15.1%
Bid-Ask Spread %46.7115.8283.3283.3215.82
Gamma HHI0.250.210.380.240.22
Net GEX29.7K-47.1K113.8K29.9K35.1K
Net DEX-903.7K-1.1M-558.9K-558.9K-919.6K
Net VEX-2.2K-2.6K-1.8K-2.6K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.000.670.000.00
Total Volume9050202
Total OI672.182614697657653

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$63.22$63.0010.1%2.9%7.1%2.4%0.0%3.2%1.4%29.9K-558.9K-2.6K0.0083.32N/AN/A200181476
2014-07-02$63.83$63.009.1%2.6%7.5%0.0%0.0%0.7%1.4%26.7K-792.1K-2.5K0.0078.26N/AN/A200201476
2014-07-03$64.08$63.009.7%2.8%7.2%3.8%0.0%4.5%0.7%28.0K-955.5K-2.4K0.0081.99N/AN/A00221476
2014-07-07$64.08$61.009.6%3.1%7.2%3.2%11.1%1.8%0.9%26.8K-986.6K-2.2K0.2553.85N/AN/A41221476
2014-07-08$63.73$61.0010.3%3.2%7.5%7.9%0.0%1.8%0.0%34.8K-888.0K-2.3K0.0050.68N/AN/A00217477
2014-07-09$63.86$61.0010.0%3.0%7.3%5.7%0.0%2.6%1.5%34.0K-892.9K-2.3K0.0050.85N/AN/A00217477
2014-07-10$63.61$61.0010.7%3.1%7.2%10.4%0.0%3.9%0.7%45.2K-813.4K-2.5K0.0050.09N/AN/A00217477
2014-07-11$63.47$61.0011.3%3.2%7.0%15.7%0.0%3.1%0.8%41.8K-810.2K-2.4K0.0059.67N/AN/A00217477
2014-07-14$63.79$61.0010.6%3.0%7.2%10.4%0.0%2.3%0.5%11.9K-910.3K-2.1K0.0065.44N/AN/A019217477
2014-07-15$63.83$61.0010.4%3.0%7.2%9.1%8.9%2.4%1.5%19.3K-977.2K-1.8K0.0054.18N/AN/A100217473
2014-07-16$63.87$61.0010.2%2.9%7.2%7.8%0.0%2.6%1.3%-20.5K-986.8K-2.1K0.0065.92N/AN/A017217473
2014-07-17$63.11$61.0012.3%3.5%8.3%22.7%0.0%2.1%0.5%113.8K-761.0K-2.2K0.6747.16N/AN/A3020217473
2014-07-18$63.84$61.0011.0%3.2%9.1%13.5%0.0%3.1%0.8%-47.1K-795.6K-2.2K0.0056.87N/AN/A00197485
2014-07-21$64.00$0.0010.8%4.2%8.8%12.1%14.0%3.5%0.9%32.0K-754.7K-1.9K0.0026.54N/AN/A390167447
2014-07-22$64.78$65.0010.6%4.1%9.4%10.6%0.0%1.4%0.9%36.6K-971.4K-2.3K0.0027.78N/AN/A160206447
2014-07-23$64.90$65.0010.7%4.2%9.4%11.2%0.0%2.3%1.6%36.2K-1.0M-2.1K0.0029.24N/AN/A00206447
2014-07-24$65.14$65.0010.7%4.2%9.2%11.3%0.0%2.7%0.9%34.6K-996.3K-2.2K0.0027.77N/AN/A00206447
2014-07-25$64.89$65.0011.1%4.1%9.3%14.1%0.0%1.8%0.6%35.2K-983.7K-2.2K0.0027.81N/AN/A00206447
2014-07-28$65.56$65.0010.0%4.1%9.8%6.5%0.0%2.8%1.6%30.1K-1.0M-2.1K0.0023.01N/AN/A00206447
2014-07-29$65.53$65.0011.1%4.0%9.8%14.5%0.0%1.6%0.4%31.4K-1.1M-2.0K0.0026.51N/AN/A00206447
2014-07-30$65.55$65.0011.2%4.2%9.6%14.9%0.0%2.2%1.3%37.3K-1.0M-1.9K0.0024.91N/AN/A00206447
2014-07-31$64.49$65.0014.7%4.5%11.1%40.2%0.0%1.6%-0.1%35.1K-919.6K-2.4K0.0015.82N/AN/A02206447