AAXJ Options History — December 2014

In December 2014, AAXJ traded between $59.34 and $62.75. ATM implied volatility averaged 15.2%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.9% (HV 20d: 13.4%). Max pain ranged from $61.00 to $61.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 2.44.

Notable Days

  • 2014-12-18: Highest Volume — 611 contracts
  • 2014-12-11: Largest IV drop — 12.8% change
  • 2014-12-10: Highest IV Rank — 61.9%
  • 2014-12-17: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.92$59.34$62.75$61.89$60.93
Max Pain$61.00$61.00$61.00$61.00$61.00
ATM IV15.2%13.1%17.9%15.6%13.3%
Expected Move4.5%4.0%5.4%4.1%4.3%
HV 20d13.4%11.6%14.6%12.8%11.6%
HV 60d13.3%12.3%14.0%13.7%12.3%
IV Rank45.3%32.5%61.9%47.8%33.5%
IV Percentile55.5%32.9%81.0%57.9%36.1%
Term Structure0.8%-2.3%2.5%-1.7%1.6%
VWIV15.2%14.0%17.0%14.0%17.0%
Skew 25d2.3%0.7%3.5%2.7%2.5%
Skew 10d4.6%1.2%9.9%3.9%4.4%
Call IV 25d13.7%11.7%16.9%14.2%12.7%
Put IV 25d16.0%14.4%17.8%16.9%15.2%
Bid-Ask Spread %23.6116.9435.1118.6518.44
Gamma HHI0.250.200.320.200.32
Net GEX-104.4K-229.1K-29.8K-52.8K-229.1K
Net DEX1.2M305.8K2.0M609.0K1.6M
Net VEX-8.2K-9.0K-7.4K-8.7K-8.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.441.606.901.603.91
Total Volume463.506115610
Total OI807.364612879781879

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$61.89$61.0015.6%4.1%12.8%47.8%14.0%2.7%-1.7%-52.8K609.0K-8.7K1.6018.65N/AN/A216345221560
2014-12-02$62.21$61.0015.7%4.1%12.8%48.3%14.1%2.8%-2.2%-51.4K505.6K-8.4K1.6018.06N/AN/A216345221572
2014-12-03$62.28$61.0015.3%4.1%12.8%45.6%14.0%2.2%-2.3%-52.9K465.2K-8.3K1.6018.03N/AN/A216345221572
2014-12-04$62.68$61.0014.8%4.1%12.8%42.7%0.0%2.0%-1.3%-40.3K330.1K-8.2K0.0016.94N/AN/A00221572
2014-12-05$62.75$61.0014.4%4.0%12.7%40.3%14.1%3.5%1.2%-39.4K305.8K-8.1K1.6017.10N/AN/A216345221572
2014-12-08$62.17$61.0016.1%4.2%13.1%50.7%14.3%2.7%2.0%-47.3K492.4K-8.0K1.6027.69N/AN/A216345221572
2014-12-09$61.41$61.0017.6%4.4%13.7%59.8%14.6%1.8%0.8%-70.2K830.9K-8.2K1.6021.72N/AN/A216345221572
2014-12-10$60.74$61.0017.9%4.6%14.2%61.9%15.2%1.5%0.8%-79.5K1.1M-8.2K1.6025.58N/AN/A216345221572
2014-12-11$60.72$61.0015.6%4.6%14.1%47.8%15.4%1.5%0.3%-79.8K1.1M-8.1K1.6021.75N/AN/A216345221572
2014-12-12$60.00$61.0016.5%4.9%14.5%53.2%15.8%0.7%0.6%-82.6K1.4M-8.0K1.6028.14N/AN/A216345221572
2014-12-15$59.63$61.0016.5%5.1%14.3%53.0%16.3%1.4%1.0%-84.0K1.6M-7.6K1.6026.97N/AN/A216345221572
2014-12-16$59.34$61.0017.7%5.3%14.0%60.5%16.4%0.8%0.9%-83.1K1.7M-7.4K1.6028.52N/AN/A216345221572
2014-12-17$59.40$61.0017.4%5.4%14.1%58.9%16.7%2.3%1.3%-59.5K1.5M-7.5K1.6026.98N/AN/A216345221572
2014-12-18$59.75$61.0016.1%5.2%14.3%50.3%17.0%2.5%2.0%-29.8K1.4M-7.4K1.7035.11N/AN/A226385221572
2014-12-19$60.14$61.0014.6%4.9%14.6%41.3%0.0%3.4%2.5%-44.5K1.3M-8.0K0.0027.00N/AN/A00229611
2014-12-22$60.82$0.0013.2%4.3%13.2%33.1%0.0%2.8%1.8%-110.2K1.1M-7.7K6.9029.07N/AN/A6846974538
2014-12-23$60.29$0.0013.4%4.3%13.4%34.2%0.0%2.9%1.5%-204.3K2.0M-8.5K4.0828.01N/AN/A115469105723
2014-12-24$60.37$0.0013.1%4.2%13.5%32.5%0.0%2.7%1.8%-196.6K1.8M-9.0K4.0821.69N/AN/A115469155723
2014-12-26$61.01$0.0013.2%4.1%13.1%32.7%0.0%2.3%1.4%-221.4K1.5M-9.0K4.0822.74N/AN/A115469155723
2014-12-29$60.96$0.0013.7%4.3%12.8%36.0%0.0%2.6%1.3%-225.1K1.6M-8.9K3.9120.60N/AN/A115450155723
2014-12-30$60.67$0.0013.2%4.3%11.7%32.6%0.0%2.3%1.7%-213.7K1.7M-8.8K0.0020.54N/AN/A00153726
2014-12-31$60.93$0.0013.3%4.3%11.6%33.5%0.0%2.5%1.6%-229.1K1.6M-8.7K0.0018.44N/AN/A00153726