AAXJ Options History — January 2015

In January 2015, AAXJ traded between $59.32 and $64.00. ATM implied volatility averaged 15.5%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.5% (HV 20d: 14.0%). Max pain ranged from $57.00 to $61.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.99.

Notable Days

  • 2015-01-30: Highest Volume — 1,599 contracts
  • 2015-01-05: Largest IV spike — 20.6% change
  • 2015-01-05: Highest IV Rank — 59.4%
  • 2015-01-06: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.01$59.32$64.00$60.68$61.93
Max Pain$58.63$57.00$61.00$61.00$59.00
ATM IV15.5%12.9%17.5%14.5%16.8%
Expected Move4.4%3.7%5.0%4.4%4.8%
HV 20d14.0%11.6%16.6%11.6%16.6%
HV 60d12.9%12.1%13.7%12.2%13.7%
IV Rank46.7%30.8%59.4%41.1%55.2%
IV Percentile60.3%29.0%79.8%50.8%77.8%
Term Structure0.5%-0.2%1.3%1.1%1.2%
VWIV18.0%12.8%20.7%15.2%20.3%
Skew 25d3.1%1.9%4.2%3.0%4.1%
Skew 10d5.9%3.7%7.5%3.7%7.5%
Call IV 25d14.6%12.2%16.3%13.8%15.3%
Put IV 25d17.6%14.7%19.8%16.8%19.4%
Bid-Ask Spread %33.8322.2353.2725.0742.39
Gamma HHI0.250.190.410.310.21
Net GEX-173.0K-245.0K-112.0K-211.3K-245.0K
Net DEX925.3K233.4K2.3M1.8M1.4M
Net VEX-10.0K-12.8K-7.6K-8.6K-12.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.990.006.333.950.44
Total Volume494.601,5995791,599
Total OI1,136.97501,4518811,451

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$60.68$0.0014.5%4.4%11.6%41.1%15.2%3.0%1.1%-211.3K1.8M-8.6K3.9525.07N/AN/A117462155726
2015-01-05$59.94$61.0017.5%4.9%11.9%59.4%0.0%3.6%0.3%-180.2K2.0M-8.4K0.0025.63N/AN/A02155738
2015-01-06$59.32$61.0017.4%5.0%12.2%58.7%0.0%3.6%1.3%-143.6K2.3M-8.0K0.0026.06N/AN/A0208155738
2015-01-07$60.36$61.0016.6%4.7%13.8%53.9%0.0%4.2%0.9%-123.3K1.2M-7.8K0.0040.21N/AN/A20155595
2015-01-08$61.40$61.0015.0%4.4%14.7%43.8%19.3%3.3%0.7%-137.9K811.8K-7.6K1.6122.23N/AN/A184296159595
2015-01-09$61.43$57.0014.0%4.4%14.1%37.5%15.0%2.9%0.6%-112.0K523.7K-7.9K2.5232.47N/AN/A185466213585
2015-01-12$61.21$57.0016.7%4.8%14.2%54.4%18.9%2.7%0.3%-163.2K1.0M-11.0K2.5222.52N/AN/A185466222831
2015-01-13$61.72$57.0017.4%4.6%13.7%58.4%16.1%2.3%0.0%-159.6K779.2K-10.6K2.3033.41N/AN/A182418222831
2015-01-14$61.44$57.0016.9%4.8%13.6%55.5%16.8%4.0%0.4%-159.1K932.4K-10.7K2.3627.95N/AN/A182429227829
2015-01-15$61.95$58.0016.9%4.8%13.5%55.5%20.7%3.5%0.1%-157.4K693.5K-10.4K3.2024.82N/AN/A134429227840
2015-01-16$62.17$57.0015.8%4.5%13.5%48.6%0.0%3.0%0.3%-183.1K477.4K-10.3K0.0027.09N/AN/A0300240840
2015-01-20$61.96$57.0015.9%4.6%13.6%49.7%0.0%3.2%-0.2%-222.0K1.2M-12.5K0.0025.07N/AN/A202011,090
2015-01-21$63.07$57.0014.9%4.3%14.7%43.2%20.2%1.9%0.0%-188.0K715.2K-11.4K0.0039.10N/AN/A01002011,090
2015-01-22$63.93$59.0013.7%3.9%14.9%36.0%20.0%2.3%0.4%-170.9K392.8K-10.6K6.3337.99N/AN/A1177412011,190
2015-01-23$63.84$59.0013.1%3.7%14.4%32.0%18.6%2.5%0.2%-170.3K339.6K-10.6K5.7950.38N/AN/A1287412071,190
2015-01-26$64.00$59.0012.9%3.7%14.4%30.8%12.8%2.6%0.7%-165.0K233.4K-9.6K0.0034.70N/AN/A012181,190
2015-01-27$63.55$59.0012.9%3.7%14.5%31.2%0.0%2.7%0.8%-176.4K413.4K-10.4K0.0038.27N/AN/A002181,191
2015-01-28$63.06$59.0014.8%4.3%14.9%42.9%18.4%3.2%0.5%-197.6K640.1K-10.6K5.2353.27N/AN/A1427422181,191
2015-01-29$63.20$59.0015.5%4.4%14.7%46.9%19.8%2.5%0.6%-194.3K660.1K-10.9K5.5647.96N/AN/A1427902221,191
2015-01-30$61.93$59.0016.8%4.8%16.6%55.2%20.3%4.1%1.2%-245.0K1.4M-12.8K0.4442.39N/AN/A1,1074922221,229