AAXJ Options History — February 2015

In February 2015, AAXJ traded between $62.43 and $63.95. ATM implied volatility averaged 14.0%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 0.8% (HV 20d: 14.8%). Max pain ranged from $59.00 to $61.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.52.

Notable Days

  • 2015-02-04: Highest Volume — 1,902 contracts
  • 2015-02-03: Largest IV drop — 13.9% change
  • 2015-02-02: Highest IV Rank — 57.6%
  • 2015-02-02: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.33$62.43$63.95$62.92$63.88
Max Pain$60.68$59.00$61.00$59.00$61.00
ATM IV14.0%11.8%17.2%17.2%12.0%
Expected Move4.1%3.4%4.9%4.9%3.4%
HV 20d14.8%13.2%17.3%17.3%13.3%
HV 60d14.1%13.2%14.5%14.1%13.2%
IV Rank37.6%24.4%57.6%57.6%25.4%
IV Percentile45.8%19.8%80.2%80.2%21.4%
Term Structure0.8%0.2%1.7%0.5%0.2%
VWIV14.2%11.0%22.1%17.8%13.2%
Skew 25d3.7%2.2%4.7%3.8%2.2%
Skew 10d8.1%3.8%11.3%7.5%3.8%
Call IV 25d12.8%10.7%15.5%15.5%10.9%
Put IV 25d16.5%13.1%19.3%19.3%13.1%
Bid-Ask Spread %35.0222.6553.9137.6635.66
Gamma HHI0.450.300.600.350.60
Net GEX371.4K165.1K646.5K165.1K646.5K
Net DEX-1.4M-3.4M-369.4K-856.6K-1.5M
Net VEX-15.0K-19.2K-10.7K-19.2K-10.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.003.050.003.05
Total Volume1,302.68401,9022522
Total OI2,428.2112,2132,7572,4172,213

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$62.92$59.0017.2%4.9%17.3%57.6%17.8%3.8%0.5%165.1K-856.6K-19.2K0.0037.66N/AN/A201,1871,230
2015-02-03$63.53$59.0014.8%4.3%16.7%42.9%22.1%3.8%0.7%255.4K-1.5M-18.6K0.4536.82N/AN/A1,0894921,1881,230
2015-02-04$63.59$59.0015.6%4.5%16.0%47.8%20.9%2.9%0.5%261.0K-1.6M-18.3K0.3553.91N/AN/A1,4104921,1891,230
2015-02-05$63.58$61.0014.1%4.3%15.2%38.2%14.6%4.0%0.4%387.2K-3.4M-18.9K0.4531.49N/AN/A1,1165021,5101,230
2015-02-06$62.74$61.0014.5%4.6%15.1%41.0%14.6%4.3%0.9%319.2K-2.2M-18.5K0.3637.47N/AN/A1,3895041,5171,240
2015-02-09$62.48$61.0015.9%4.7%15.3%49.3%14.1%4.6%0.4%167.5K-664.7K-16.7K0.4522.65N/AN/A1,1105041,2651,244
2015-02-10$62.58$61.0013.9%4.3%15.2%37.2%13.5%4.7%1.1%195.1K-730.7K-15.7K0.4530.91N/AN/A1,1095041,2641,244
2015-02-11$62.43$61.0015.7%4.5%15.0%47.9%13.1%4.5%1.0%172.6K-369.4K-15.6K0.4530.57N/AN/A1,1095041,2371,244
2015-02-12$63.18$61.0014.3%4.1%15.4%39.9%12.4%3.6%1.6%328.0K-1.3M-15.3K0.4538.96N/AN/A1,1095041,2371,244
2015-02-13$63.62$61.0013.1%3.8%15.3%32.5%12.4%4.1%1.6%413.7K-1.8M-15.4K0.4530.00N/AN/A1,1115041,2371,244
2015-02-17$63.45$61.0014.6%4.2%15.3%41.2%12.9%3.9%0.4%402.7K-1.5M-14.4K0.4529.02N/AN/A1,1255041,2271,244
2015-02-18$63.52$61.0013.4%3.8%15.2%34.2%13.0%3.9%1.3%425.5K-1.8M-14.3K0.4528.20N/AN/A1,1275041,2731,244
2015-02-19$63.35$61.0014.1%4.0%14.0%38.4%0.0%4.0%1.2%386.9K-871.3K-13.3K0.0032.60N/AN/A001,1681,244
2015-02-20$63.66$61.0012.6%3.6%13.2%28.9%0.0%2.8%1.7%469.0K-1.4M-13.0K0.0034.90N/AN/A201,1681,244
2015-02-23$63.20$61.0013.2%3.8%13.4%33.0%11.9%3.1%0.2%333.0K-656.2K-11.6K0.3642.82N/AN/A1,0833921,1551,082
2015-02-24$63.82$61.0012.2%3.5%13.9%26.5%12.0%2.8%0.5%506.0K-1.7M-12.4K0.3637.38N/AN/A1,0833931,1551,082
2015-02-25$63.81$61.0011.8%3.4%13.6%24.4%11.0%2.9%0.5%593.0K-1.4M-11.3K0.3637.90N/AN/A1,0833931,1301,083
2015-02-26$63.95$61.0012.5%3.6%13.3%28.5%11.0%3.6%0.2%630.1K-1.5M-11.0K0.3636.38N/AN/A1,0833931,1301,083
2015-02-27$63.88$61.0012.0%3.4%13.3%25.4%13.2%2.2%0.2%646.5K-1.5M-10.7K3.0535.66N/AN/A1293931,1301,083