AAXJ Options History — April 2015

In April 2015, AAXJ traded between $64.63 and $69.83. ATM implied volatility averaged 15.3%, placing in the 45.6% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.4% (HV 20d: 14.9%). Max pain ranged from $62.00 to $64.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.15.

Notable Days

  • 2015-04-13: Highest Volume — 497 contracts
  • 2015-04-02: Largest IV spike — 16.8% change
  • 2015-04-02: Highest IV Rank — 56.3%
  • 2015-04-09: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.03$64.63$69.83$64.63$68.14
Max Pain$62.19$62.00$64.00$64.00$62.00
ATM IV15.3%13.8%17.0%14.6%15.8%
Expected Move4.3%4.0%4.8%4.2%4.5%
HV 20d14.9%13.7%15.8%15.5%15.4%
HV 60d14.1%13.4%14.5%14.2%13.7%
IV Rank45.6%36.7%56.3%41.3%49.0%
IV Percentile72.6%53.2%92.9%64.7%84.1%
Term Structure0.2%-0.4%0.8%-0.2%-0.1%
VWIV17.1%12.5%20.2%14.6%20.2%
Skew 25d2.1%1.4%3.0%2.0%2.7%
Skew 10d4.7%3.0%6.5%4.1%5.0%
Call IV 25d14.5%13.1%16.7%14.0%14.7%
Put IV 25d16.7%15.5%18.3%15.9%17.4%
Bid-Ask Spread %31.7418.1346.5046.5030.72
Gamma HHI0.220.180.280.250.21
Net GEX-31.1K-44.9K11.8K-35.5K-35.7K
Net DEX-1.2M-2.1M76.8K76.8K-1.7M
Net VEX-6.3K-8.0K-4.2K-4.9K-7.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.405.285.281.99
Total Volume440.048224497465475
Total OI1,033.7626611,2036611,203

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$64.63$64.0014.6%4.2%15.5%41.3%14.6%2.0%-0.2%-35.5K76.8K-4.9K5.2846.50N/AN/A74391132529
2015-04-02$65.36$63.0017.0%4.3%15.8%56.3%16.9%1.9%0.7%-23.7K-78.3K-4.6K5.2818.13N/AN/A74391134529
2015-04-06$65.86$63.0015.8%4.4%15.3%48.9%18.2%1.7%-0.1%-16.6K-164.5K-4.3K0.6619.55N/AN/A14596134529
2015-04-07$65.66$62.0014.9%4.2%15.4%43.5%16.5%2.4%0.5%912-561.5K-4.5K0.4019.75N/AN/A16064209529
2015-04-08$67.20$62.0015.9%4.6%14.5%49.6%12.5%1.9%0.1%11.8K-1.1M-4.2K2.6530.02N/AN/A86228257529
2015-04-09$68.37$62.0016.7%4.8%15.2%54.5%19.1%1.6%-0.4%-30.9K-1.2M-8.0K1.6420.76N/AN/A178292345757
2015-04-10$68.35$62.0015.5%4.4%15.2%47.0%17.3%1.9%0.4%-31.4K-1.1M-7.7K1.6426.09N/AN/A178292331757
2015-04-13$68.31$62.0015.9%4.6%14.5%49.5%18.9%1.9%0.3%-32.0K-1.2M-7.3K1.4526.81N/AN/A203294331757
2015-04-14$68.22$62.0015.4%4.4%14.4%46.5%16.0%2.1%0.6%-31.0K-1.3M-7.2K1.7030.15N/AN/A173294355759
2015-04-15$68.44$62.0014.9%4.3%14.4%43.2%13.4%2.1%0.2%-34.6K-1.4M-6.9K1.9541.53N/AN/A161314354759
2015-04-16$69.08$62.0013.8%4.0%13.7%36.7%15.1%2.2%0.8%-43.7K-1.5M-6.9K1.9532.19N/AN/A161314355779
2015-04-17$67.85$62.0015.4%4.4%15.5%46.6%17.3%2.5%0.3%-28.9K-1.2M-7.6K1.9630.49N/AN/A160314355779
2015-04-20$67.99$62.0014.9%4.3%15.4%43.6%18.6%2.4%0.2%-40.1K-1.1M-7.3K2.0239.68N/AN/A155313333778
2015-04-21$68.45$62.0015.4%4.4%15.5%46.2%15.9%2.5%0.1%-41.2K-1.2M-6.9K1.9930.28N/AN/A157313334778
2015-04-22$69.11$62.0014.6%4.2%15.6%41.5%15.1%1.9%0.2%-44.8K-1.4M-6.6K2.1142.44N/AN/A148313336778
2015-04-23$69.41$62.0015.1%4.3%14.4%44.3%17.2%1.8%0.1%-44.9K-1.6M-6.5K2.4130.25N/AN/A130313362778
2015-04-24$69.46$62.0015.0%4.3%14.3%43.8%19.4%2.8%0.1%-39.1K-1.8M-6.1K2.0739.59N/AN/A151313378778
2015-04-27$69.83$62.0014.9%4.3%14.3%43.1%19.5%3.0%0.3%-38.1K-2.0M-5.8K1.9636.94N/AN/A160313408778
2015-04-28$69.82$62.0014.5%4.1%13.7%40.6%18.9%1.4%0.7%-34.1K-2.1M-5.7K1.9940.99N/AN/A159316422778
2015-04-29$69.02$62.0014.7%4.2%14.5%42.2%19.2%2.4%0.4%-39.0K-1.9M-6.3K1.9933.59N/AN/A159316422781
2015-04-30$68.14$62.0015.8%4.5%15.4%49.0%20.2%2.7%-0.1%-35.7K-1.7M-7.0K1.9930.72N/AN/A159316422781