AAXJ Options History — March 2015

In March 2015, AAXJ traded between $61.19 and $64.32. ATM implied volatility averaged 14.4%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.0% (HV 20d: 12.4%). Max pain ranged from $61.00 to $64.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.65.

Notable Days

  • 2015-03-06: Highest Volume — 638 contracts
  • 2015-03-11: Largest IV drop — 17.7% change
  • 2015-03-10: Highest IV Rank — 59.1%
  • 2015-03-13: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.01$61.19$64.32$64.09$64.01
Max Pain$63.59$61.00$64.00$61.00$64.00
ATM IV14.4%12.1%17.5%12.1%15.4%
Expected Move4.1%3.5%4.6%3.5%4.4%
HV 20d12.4%9.0%15.4%10.8%15.4%
HV 60d13.7%13.1%14.3%13.2%14.3%
IV Rank40.3%25.9%59.1%26.0%46.4%
IV Percentile57.7%22.6%91.7%23.0%73.8%
Term Structure0.9%-0.1%1.8%0.0%0.2%
VWIV12.7%8.3%14.8%11.1%14.6%
Skew 25d2.1%-0.0%3.5%2.2%1.6%
Skew 10d5.5%2.3%10.1%4.7%7.2%
Call IV 25d13.6%11.1%17.4%11.1%15.4%
Put IV 25d15.7%13.3%17.4%13.3%17.0%
Bid-Ask Spread %36.6122.4156.2041.5237.94
Gamma HHI0.320.160.670.670.27
Net GEX29.4K-314.5K758.9K758.9K-46.3K
Net DEX177.8K-1.9M1.4M-1.9M200.7K
Net VEX-7.2K-10.2K-5.2K-10.2K-5.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.650.003.593.393.37
Total Volume192.1820638509507
Total OI1,768.9096142,3472,215660

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$64.09$61.0012.1%3.5%10.8%26.0%11.1%2.2%0.0%758.9K-1.9M-10.2K3.3941.52N/AN/A1163931,1321,083
2015-03-03$63.70$61.0012.1%3.5%9.8%25.9%13.3%2.9%0.2%630.6K-1.3M-9.4K3.3938.54N/AN/A1163931,1321,083
2015-03-04$63.28$61.0013.6%3.9%9.5%35.2%14.4%2.5%-0.1%388.2K-548.5K-8.8K3.3937.89N/AN/A1163931,1321,083
2015-03-05$63.15$64.0013.7%3.8%9.5%35.7%12.3%2.5%1.5%334.6K-443.0K-8.7K3.3923.54N/AN/A1163931,1321,083
2015-03-06$62.49$64.0014.6%4.0%10.2%41.7%12.3%1.5%1.8%59.6K249.9K-8.2K2.5634.83N/AN/A1794591,1321,083
2015-03-09$62.46$64.0015.9%4.2%9.0%49.4%0.0%1.8%0.9%76.5K232.6K-9.0K0.0032.65N/AN/A001,1811,149
2015-03-10$61.19$64.0017.5%4.4%11.5%59.1%0.0%1.6%1.1%-309.7K1.4M-9.1K0.0046.58N/AN/A0221,1811,149
2015-03-11$61.54$64.0014.4%4.1%11.7%40.1%0.0%3.3%1.1%-314.5K1.2M-8.5K0.0029.60N/AN/A001,1811,165
2015-03-12$62.05$64.0014.5%4.1%12.1%40.6%0.0%3.1%1.0%-160.2K703.9K-7.8K0.0024.88N/AN/A001,1811,165
2015-03-13$61.48$64.0016.0%4.6%11.6%50.0%0.0%2.8%0.4%-294.4K1.1M-8.1K0.0043.54N/AN/A011,1811,165
2015-03-16$62.26$64.0015.4%4.4%12.3%46.6%0.0%3.5%0.6%-119.0K551.2K-7.1K0.0022.41N/AN/A001,1811,166
2015-03-17$62.59$64.0014.3%4.1%12.5%39.8%0.0%3.4%0.9%-21.3K310.3K-6.6K0.0028.68N/AN/A001,1811,166
2015-03-18$63.66$64.0013.0%3.7%14.0%31.3%0.0%2.7%1.7%205.5K-264.1K-5.9K0.0030.28N/AN/A001,1811,166
2015-03-19$63.31$64.0014.8%4.3%14.1%42.9%0.0%1.8%1.1%-34.0K50.4K-6.0K0.0027.03N/AN/A001,1651,166
2015-03-20$63.76$64.0013.9%4.0%14.2%37.3%0.0%1.5%1.8%-106.7K-67.7K-5.6K0.0042.67N/AN/A201,1651,166
2015-03-23$63.77$64.0013.4%3.8%13.9%34.2%0.0%1.3%0.7%-70.8K393.1K-5.5K0.0033.27N/AN/A0085529
2015-03-24$63.85$64.0012.9%3.7%13.5%31.2%0.0%1.0%0.9%-69.7K365.3K-5.3K0.0037.85N/AN/A0085529
2015-03-25$63.09$64.0014.6%4.2%14.2%41.3%8.3%1.3%1.3%-79.1K496.1K-5.7K0.0050.56N/AN/A16085529
2015-03-26$62.99$64.0015.8%4.5%14.1%48.7%14.8%-0.0%0.1%-75.1K520.1K-5.8K3.5945.90N/AN/A109391103529
2015-03-27$63.28$64.0015.4%4.4%14.3%46.3%0.0%0.6%0.3%-62.6K395.4K-5.7K0.0038.98N/AN/A00123529
2015-03-30$64.32$64.0014.0%4.0%15.4%37.8%13.2%3.1%1.4%-44.3K161.2K-5.2K3.4056.20N/AN/A115391125529
2015-03-31$64.01$64.0015.4%4.4%15.4%46.4%14.6%1.6%0.2%-46.3K200.7K-5.3K3.3737.94N/AN/A116391131529