AAXJ Options History — October 2014

In October 2014, AAXJ traded between $60.10 and $62.89. ATM implied volatility averaged 16.9%, placing in the 58.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.9% (HV 20d: 15.0%). Max pain ranged from $59.00 to $65.00. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 1.77.

Notable Days

  • 2014-10-31: Highest Volume — 557 contracts
  • 2014-10-15: Largest IV spike — 33.8% change
  • 2014-10-15: Highest IV Rank — 100.0%
  • 2014-10-15: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.13$60.10$62.89$60.33$62.89
Max Pain$61.35$59.00$65.00$65.00$61.00
ATM IV16.9%13.5%24.1%17.2%13.7%
Expected Move4.7%4.2%5.3%4.8%4.2%
HV 20d15.0%12.7%16.6%13.8%12.7%
HV 60d12.7%12.3%13.1%12.3%12.7%
IV Rank58.5%34.8%100.0%64.1%36.2%
IV Percentile60.5%33.3%100.0%63.1%35.7%
Term Structure0.4%-0.7%1.6%-0.2%1.4%
VWIV16.9%14.9%18.3%16.2%16.2%
Skew 25d3.4%1.3%5.7%1.3%1.8%
Skew 10d6.6%0.7%10.1%0.7%3.6%
Call IV 25d15.0%12.8%18.0%15.8%13.0%
Put IV 25d18.4%14.8%21.7%17.0%14.8%
Bid-Ask Spread %29.2713.9735.6230.7513.97
Gamma HHI0.410.290.530.380.34
Net GEX-34.2K-214.4K27.3K23.8K-32.3K
Net DEX284.7K-265.6K728.1K-204.5K126.7K
Net VEX-3.9K-5.4K-1.2K-1.2K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.002.950.002.95
Total Volume238.82605573557
Total OI353.217122511122511

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$60.33$65.0017.2%4.8%13.8%64.1%16.2%1.3%-0.2%23.8K-204.5K-1.2K0.0030.75N/AN/A301175
2014-10-02$60.53$62.0015.8%4.8%13.9%54.6%0.0%2.5%0.6%25.1K-216.3K-1.2K0.0033.38N/AN/A101205
2014-10-03$61.06$62.0015.7%4.7%14.5%54.0%0.0%3.9%0.2%26.2K-244.9K-1.2K0.0030.38N/AN/A001215
2014-10-06$61.38$62.0015.3%4.8%14.8%51.0%0.0%3.2%0.5%27.3K-265.6K-1.3K0.0029.87N/AN/A001215
2014-10-07$60.87$62.0016.2%4.7%14.8%57.7%0.0%3.7%0.2%26.0K-239.1K-1.2K0.0028.86N/AN/A001215
2014-10-08$61.68$62.0014.9%4.7%16.0%48.7%14.9%4.5%1.3%20.5K-56.1K-1.4K0.7529.23N/AN/A1118312145
2014-10-09$60.91$62.0016.0%4.8%16.3%56.1%17.7%3.0%0.5%20.8K-19.8K-1.4K1.6526.24N/AN/A11118312145
2014-10-10$60.21$59.0019.1%5.1%16.6%77.2%17.4%3.0%0.4%-5.8K363.6K-3.3K1.8430.84N/AN/A111204121175
2014-10-13$60.30$61.0022.3%5.2%16.4%99.3%18.3%3.0%-0.6%-30.6K673.7K-5.2K1.8628.64N/AN/A111207121299
2014-10-14$60.68$61.0018.1%5.1%16.3%70.3%18.1%3.6%0.2%-30.1K651.5K-5.2K1.8630.67N/AN/A111206121299
2014-10-15$60.41$61.0024.1%5.3%16.2%100.0%18.2%4.0%-0.2%-32.1K690.4K-5.2K2.5832.44N/AN/A111286121300
2014-10-16$60.10$61.0019.6%5.0%16.1%72.2%0.0%2.4%-0.7%-172.6K728.1K-5.1K0.0033.17N/AN/A023121340
2014-10-17$60.38$61.0018.8%4.9%16.4%67.1%0.0%3.5%-0.1%-214.4K626.1K-5.0K0.0030.18N/AN/A050121350
2014-10-20$60.94$61.0017.0%4.7%16.3%56.0%17.1%4.4%0.4%-53.9K600.0K-5.3K2.3033.36N/AN/A99228111329
2014-10-21$61.34$61.0016.7%4.6%16.5%54.1%16.8%5.7%0.6%-55.8K533.6K-5.3K2.3030.42N/AN/A99228111344
2014-10-22$61.16$61.0016.7%4.6%15.7%54.2%16.7%3.0%0.7%-57.0K542.0K-5.4K2.3031.13N/AN/A99228111344
2014-10-23$61.34$61.0015.7%4.5%14.3%48.5%16.2%3.8%0.3%-55.3K500.0K-5.2K2.3031.51N/AN/A99228111344
2014-10-24$61.49$61.0015.8%4.5%14.2%48.5%16.2%4.0%0.1%-56.1K507.0K-5.2K2.3031.73N/AN/A99228111344
2014-10-27$61.00$61.0015.8%4.6%12.8%48.6%16.5%3.8%0.6%-59.0K582.6K-5.1K1.7835.62N/AN/A128228111344
2014-10-28$62.10$61.0015.2%4.5%14.3%45.1%16.8%4.0%0.8%-35.1K274.8K-5.2K1.6328.86N/AN/A128209140344
2014-10-29$62.24$61.0015.7%4.4%12.9%47.9%16.8%3.3%0.5%-33.0K241.4K-5.2K1.6326.49N/AN/A128209140344
2014-10-30$62.57$61.0013.5%4.3%12.9%34.8%16.5%3.0%1.6%-32.5K153.6K-4.9K1.8015.39N/AN/A128231140344
2014-10-31$62.89$61.0013.7%4.2%12.7%36.2%16.2%1.8%1.4%-32.3K126.7K-5.4K2.9513.97N/AN/A141416145366