AAXJ Options History — November 2014

In November 2014, AAXJ traded between $61.70 and $63.45. ATM implied volatility averaged 13.6%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.7% (HV 20d: 10.8%). Max pain ranged from $61.00 to $61.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.86.

Notable Days

  • 2014-11-20: Highest Volume — 575 contracts
  • 2014-11-13: Largest IV spike — 15.3% change
  • 2014-11-03: Highest IV Rank — 47.3%
  • 2014-11-03: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.40$61.70$63.45$62.46$62.89
Max Pain$61.00$61.00$61.00$61.00$61.00
ATM IV13.6%12.4%15.6%15.6%14.1%
Expected Move4.0%3.8%4.4%4.4%4.0%
HV 20d10.8%9.6%13.0%13.0%11.7%
HV 60d12.7%12.4%13.3%12.7%13.3%
IV Rank35.1%28.1%47.3%47.3%38.1%
IV Percentile35.4%23.8%50.4%50.4%44.4%
Term Structure-0.0%-1.3%1.3%0.3%-0.8%
VWIV13.5%13.0%14.6%14.2%14.6%
Skew 25d2.2%1.5%3.2%1.9%2.5%
Skew 10d4.4%2.7%7.5%3.4%3.9%
Call IV 25d13.0%11.6%14.5%14.5%12.8%
Put IV 25d15.2%13.6%16.4%16.4%15.3%
Bid-Ask Spread %17.5714.4122.1514.4118.70
Gamma HHI0.210.190.270.270.20
Net GEX-54.4K-67.6K-37.8K-61.1K-37.8K
Net DEX495.9K157.3K681.7K534.2K278.3K
Net VEX-8.9K-9.7K-8.1K-8.8K-8.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.005.002.115.00
Total Volume404.526057544112
Total OI795.316709837709783

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$62.46$61.0015.6%4.4%13.0%47.3%14.2%1.9%0.3%-61.1K534.2K-8.8K2.1114.41N/AN/A142299158551
2014-11-04$62.51$61.0013.7%4.0%12.5%36.2%13.5%2.0%0.8%-63.8K497.8K-8.6K1.8216.67N/AN/A192349159552
2014-11-05$62.11$61.0014.4%4.2%12.0%40.5%13.6%1.5%0.7%-62.6K621.3K-9.7K1.8215.57N/AN/A192349209602
2014-11-06$61.86$61.0014.0%4.2%11.1%37.5%13.7%2.2%1.3%-64.0K681.7K-9.6K1.8216.20N/AN/A192349209602
2014-11-07$62.06$61.0012.9%4.1%10.1%31.0%13.3%3.2%-0.4%-63.1K614.6K-9.5K1.8117.46N/AN/A193349209602
2014-11-10$62.33$61.0013.0%4.0%10.2%31.7%13.0%2.4%-0.0%-57.6K498.8K-9.1K1.8417.11N/AN/A193355210602
2014-11-11$62.41$61.0012.4%4.0%10.0%28.1%13.1%2.5%0.1%-67.6K599.6K-8.6K1.8817.07N/AN/A189355174587
2014-11-12$62.23$61.0012.8%4.1%9.9%30.3%13.6%2.4%-0.2%-55.9K528.3K-9.1K1.9717.56N/AN/A189373211608
2014-11-13$62.44$61.0014.7%4.1%9.6%42.2%13.7%2.1%-0.2%-54.6K523.6K-9.3K1.9715.88N/AN/A189373211626
2014-11-14$62.78$61.0013.5%3.9%9.7%34.8%0.0%2.3%0.1%-43.6K280.9K-8.9K0.0017.74N/AN/A00211606
2014-11-17$62.11$61.0013.9%4.0%10.2%37.2%13.3%1.9%0.1%-55.9K612.1K-9.1K1.9718.50N/AN/A189373211626
2014-11-18$62.07$61.0013.8%4.0%10.0%36.3%13.2%2.2%0.3%-51.6K629.5K-9.2K1.9718.90N/AN/A189373211626
2014-11-19$61.83$61.0013.4%3.9%10.1%34.0%13.8%2.5%0.2%-42.3K610.1K-9.0K1.6718.52N/AN/A610211606
2014-11-20$61.70$61.0013.4%3.8%10.1%34.3%13.2%2.5%-0.2%-46.8K659.5K-9.0K2.0122.15N/AN/A191384214614
2014-11-21$62.95$61.0013.1%3.8%12.3%32.0%13.2%2.3%0.1%-50.9K227.9K-8.5K2.0117.89N/AN/A191384214617
2014-11-24$62.78$61.0013.2%3.8%11.9%32.5%13.2%1.8%-1.3%-56.3K435.4K-8.4K0.0017.66N/AN/A130189564
2014-11-25$62.60$61.0012.6%3.8%10.3%29.4%13.3%2.0%-0.6%-57.1K431.3K-8.5K1.7918.20N/AN/A186333199564
2014-11-26$63.45$61.0013.4%3.9%11.3%34.1%0.0%2.1%-1.2%-41.2K157.3K-8.1K0.0017.71N/AN/A300199564
2014-11-28$62.89$61.0014.1%4.0%11.7%38.1%14.6%2.5%-0.8%-37.8K278.3K-8.4K5.0018.70N/AN/A210219564