AAXJ Options History — August 2014

In August 2014, AAXJ traded between $63.95 and $66.18. ATM implied volatility averaged 12.1%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.5% (HV 20d: 11.6%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.02.

Notable Days

  • 2014-08-12: Highest Volume — 60 contracts
  • 2014-08-14: Largest IV spike — 60.6% change
  • 2014-08-06: Highest IV Rank — 45.7%
  • 2014-08-08: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.35$63.95$66.18$64.85$65.72
Max Pain$65.00$65.00$65.00$65.00$65.00
ATM IV12.1%7.8%15.4%13.7%10.5%
Expected Move4.5%4.2%4.7%4.5%4.2%
HV 20d11.6%9.3%13.1%11.1%9.3%
HV 60d9.5%9.2%10.2%9.7%9.2%
IV Rank25.8%0.0%45.7%33.4%17.5%
IV Percentile15.5%0.0%32.9%23.8%6.7%
Term Structure1.5%0.5%3.0%0.5%1.2%
Skew 25d3.6%2.0%4.9%4.8%2.0%
Skew 10d6.5%0.7%11.4%11.4%3.8%
Call IV 25d11.3%9.3%13.4%12.7%9.8%
Put IV 25d15.0%11.9%18.3%17.5%11.9%
Bid-Ask Spread %21.6617.8125.4718.5324.18
Gamma HHI0.280.200.610.210.23
Net GEX18.6K-102.7K50.5K31.4K50.5K
Net DEX-999.5K-1.2M-863.8K-925.6K-1.1M
Net VEX-1.9K-2.5K-1.4K-2.4K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.020.000.100.000.00
Total Volume5.57106000
Total OI660.81637716654662

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$64.85$65.0013.7%4.5%11.1%33.4%0.0%4.8%0.5%31.4K-925.6K-2.4K0.0018.53N/AN/A00206448
2014-08-04$65.26$65.0013.1%4.5%11.3%28.7%0.0%4.1%2.2%28.2K-973.8K-2.3K0.0019.55N/AN/A100206448
2014-08-05$64.36$65.0015.2%4.6%12.3%44.2%0.0%3.9%1.4%34.6K-914.4K-2.3K0.0018.96N/AN/A00208448
2014-08-06$64.26$65.0015.4%4.7%12.3%45.7%0.0%4.7%0.8%34.7K-891.5K-2.4K0.0019.14N/AN/A00208448
2014-08-07$63.95$65.0015.2%4.6%12.4%43.9%0.0%4.9%0.8%36.3K-863.8K-2.4K0.0017.81N/AN/A100208448
2014-08-08$64.35$65.0014.0%4.7%12.5%35.1%0.0%4.8%1.8%38.2K-933.3K-2.5K0.0020.34N/AN/A00218448
2014-08-11$64.91$65.0013.5%4.6%12.7%31.6%0.0%4.2%2.3%35.8K-1.0M-2.2K0.0019.89N/AN/A00218448
2014-08-12$64.93$65.0010.9%4.7%12.7%13.1%0.0%4.6%2.2%34.3K-1.0M-2.2K0.0021.28N/AN/A060218448
2014-08-13$65.57$65.007.8%4.6%13.1%0.0%0.0%4.1%2.8%-81.5K-934.4K-2.2K0.0020.70N/AN/A00208508
2014-08-14$65.62$65.0012.6%4.6%12.1%31.5%0.0%3.5%3.0%-61.3K-1.0M-1.9K0.0023.61N/AN/A00208508
2014-08-15$65.44$65.0013.5%4.7%11.7%37.2%0.0%4.2%2.4%-102.7K-971.0K-1.9K0.1022.38N/AN/A101208508
2014-08-18$65.75$65.0011.5%4.5%11.8%24.4%0.0%3.4%1.1%35.5K-963.1K-1.7K0.0021.30N/AN/A00190447
2014-08-19$66.08$65.0011.5%4.5%11.2%24.2%0.0%3.0%0.6%31.7K-1.0M-1.6K0.0022.92N/AN/A00190447
2014-08-20$66.05$65.0011.1%4.4%11.2%21.3%0.0%3.3%1.4%30.7K-1.0M-1.5K0.0025.47N/AN/A00190447
2014-08-21$65.56$65.0010.4%4.4%11.5%17.3%0.0%2.6%1.9%34.1K-984.2K-1.6K0.0021.76N/AN/A00190447
2014-08-22$65.71$65.0011.2%4.3%11.4%22.4%0.0%2.8%0.7%30.0K-1.0M-1.5K0.0022.75N/AN/A00190447
2014-08-25$65.93$65.0010.4%4.3%10.9%17.3%0.0%2.0%1.3%29.7K-1.0M-1.4K0.0023.31N/AN/A110190447
2014-08-26$66.12$65.0010.6%4.2%10.9%18.5%0.0%3.0%0.5%34.6K-1.1M-1.5K0.0023.35N/AN/A150200447
2014-08-27$66.18$65.0010.3%4.2%10.9%16.0%0.0%2.6%1.3%42.4K-1.2M-1.4K0.0023.67N/AN/A00215447
2014-08-28$65.70$65.0010.5%4.2%9.4%17.8%0.0%3.6%0.8%43.0K-1.1M-1.6K0.0023.90N/AN/A00215447
2014-08-29$65.72$65.0010.5%4.2%9.3%17.5%0.0%2.0%1.2%50.5K-1.1M-1.5K0.0024.18N/AN/A00215447