AAXJ Options History — June 2015

In June 2015, AAXJ traded between $62.36 and $66.05. ATM implied volatility averaged 15.2%, placing in the 44.9% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 2.8% (HV 20d: 12.3%). Max pain ranged from $62.00 to $65.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.33.

Notable Days

  • 2015-06-01: Highest Volume — 430 contracts
  • 2015-06-29: Largest IV spike — 23.9% change
  • 2015-06-29: Highest IV Rank — 66.1%
  • 2015-06-29: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.53$62.36$66.05$66.05$63.06
Max Pain$64.55$62.00$65.00$62.00$64.00
ATM IV15.2%12.2%18.6%15.8%17.5%
Expected Move4.3%3.5%5.3%4.5%5.0%
HV 20d12.3%11.1%15.2%13.9%15.2%
HV 60d14.4%13.9%15.0%15.0%14.8%
IV Rank44.9%26.7%66.1%48.8%59.0%
IV Percentile65.3%19.4%97.6%81.3%94.8%
Term Structure0.5%-1.4%2.3%-0.5%-0.8%
VWIV15.0%13.4%18.2%18.2%16.4%
Skew 25d2.4%1.2%3.4%3.2%2.1%
Skew 10d4.0%-2.3%9.8%5.2%2.3%
Call IV 25d13.8%11.8%17.3%14.4%16.3%
Put IV 25d16.2%14.2%18.6%17.6%18.4%
Bid-Ask Spread %31.9821.8040.5835.3532.39
Gamma HHI0.510.260.910.260.74
Net GEX-54.6K-156.9K66.4K-9.5K-119.5K
Net DEX936.1K-515.2K2.0M-515.2K1.9M
Net VEX-6.1K-7.4K-5.0K-5.0K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.673.422.143.42
Total Volume191.1364430430212
Total OI1,015.9094601,2771,093560

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$66.05$62.0015.8%4.5%13.9%48.8%18.2%3.2%-0.5%-9.5K-515.2K-5.0K2.1435.35N/AN/A137293299794
2015-06-02$65.93$62.0015.4%4.4%13.5%46.2%0.0%2.6%-1.3%-59.8K100.8K-7.3K0.0037.24N/AN/A04294968
2015-06-03$65.94$62.0014.9%4.3%12.3%43.5%16.7%2.5%-0.3%-62.1K100.0K-7.4K0.6738.56N/AN/A13792299975
2015-06-04$65.18$65.0016.8%4.6%12.2%54.9%15.9%1.6%0.8%-44.1K407.2K-7.4K0.6827.89N/AN/A13592299975
2015-06-05$64.86$65.0015.2%4.4%12.2%45.2%15.2%2.3%1.1%-36.8K541.9K-7.2K0.6823.37N/AN/A13592297975
2015-06-08$64.74$65.0016.3%4.5%11.1%51.6%15.5%2.1%1.0%-24.7K537.8K-6.9K0.7221.80N/AN/A13597297975
2015-06-09$64.02$65.0016.5%4.6%11.2%53.3%14.7%1.7%0.9%3.2K901.2K-6.7K0.7026.21N/AN/A13897297980
2015-06-10$64.50$65.0014.4%4.1%11.7%40.5%13.8%2.5%2.3%-4.4K649.1K-6.6K0.7233.73N/AN/A13899289980
2015-06-11$64.45$65.0013.9%4.0%11.7%37.1%13.5%2.8%2.1%3.7K664.3K-6.2K0.6928.55N/AN/A14399289978
2015-06-12$64.67$65.0014.0%4.0%11.3%37.8%14.5%2.8%1.6%-8.6K603.7K-6.3K0.6932.44N/AN/A14399286978
2015-06-15$63.77$65.0015.6%4.5%11.4%47.3%15.0%2.3%0.8%33.2K1.1M-5.7K0.6831.11N/AN/A14599286978
2015-06-16$63.48$65.0016.3%4.7%11.3%51.9%15.1%1.5%0.3%40.1K1.3M-5.3K0.8438.63N/AN/A11899276978
2015-06-17$63.97$65.0014.7%4.2%11.4%42.3%14.4%2.1%1.4%66.4K927.2K-5.5K0.8433.91N/AN/A11899277978
2015-06-18$64.46$65.0014.1%4.1%12.0%38.6%13.8%3.1%1.4%22.7K625.2K-5.5K0.8429.77N/AN/A11899277978
2015-06-19$64.23$65.0013.8%4.0%12.0%36.8%13.4%3.1%1.5%-138.6K763.0K-5.1K0.8428.65N/AN/A11899244978
2015-06-22$64.97$65.0013.1%3.7%12.1%32.0%13.7%3.4%0.8%-152.9K1.7M-5.5K1.7133.49N/AN/A172919441
2015-06-23$65.63$65.0012.2%3.5%12.7%26.7%13.4%2.4%0.7%-156.9K1.5M-5.6K1.7135.88N/AN/A172921441
2015-06-24$65.21$65.0014.3%4.1%12.8%39.4%14.8%2.4%0.3%-148.8K1.5M-5.8K2.1434.37N/AN/A286044441
2015-06-25$64.50$65.0015.1%4.3%12.2%44.5%15.2%2.3%-0.4%-152.3K1.6M-6.4K2.2229.07N/AN/A276061472
2015-06-26$63.73$65.0015.0%4.3%12.5%44.1%15.3%2.2%-0.3%-141.2K1.8M-5.9K1.6230.65N/AN/A376061472
2015-06-29$62.36$65.0018.6%5.3%14.3%66.1%17.2%1.2%-1.4%-109.6K2.0M-5.4K3.4240.58N/AN/A4816471472
2015-06-30$63.06$64.0017.5%5.0%15.2%59.0%16.4%2.1%-0.8%-119.5K1.9M-5.8K3.4232.39N/AN/A4816482478