AAXJ Options History — August 2015

In August 2015, AAXJ traded between $49.95 and $59.11. ATM implied volatility averaged 26.9%, placing in the 53.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 5.5% (HV 20d: 21.5%). Max pain ranged from $60.00 to $66.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.36.

Notable Days

  • 2015-08-26: Highest Volume — 673 contracts
  • 2015-08-24: Largest IV spike — 260.4% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 27.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.59$49.95$59.11$58.35$53.34
Max Pain$63.57$60.00$66.00$63.00$60.00
ATM IV26.9%16.1%94.6%18.5%30.6%
Expected Move7.8%4.8%27.1%5.3%8.8%
HV 20d21.5%15.0%30.9%24.8%30.6%
HV 60d20.4%18.5%24.6%18.7%24.6%
IV Rank53.5%20.8%100.0%53.5%24.8%
IV Percentile94.9%77.8%100.0%94.4%98.8%
Term Structure-2.8%-30.3%0.3%-0.1%-4.3%
VWIV28.4%16.0%98.6%16.9%28.8%
Skew 25d1.0%-63.1%29.5%2.9%2.3%
Skew 10d0.2%-68.6%17.8%4.3%5.2%
Call IV 25d29.6%15.5%147.7%16.6%30.5%
Put IV 25d30.5%18.5%84.6%19.5%32.8%
Bid-Ask Spread %77.3852.62148.3458.8498.58
Gamma HHI0.290.200.450.240.44
Net GEX13.5K-16.7K78.6K-14.0K71.6K
Net DEX1.8M312.1K2.3M2.1M1.3M
Net VEX-4.3K-7.5K-2.8K-3.8K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.001.961.890.97
Total Volume467.1906730673
Total OI7816411,056641953

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$58.35$63.0018.5%5.3%24.8%53.5%0.0%2.9%-0.1%-14.0K2.1M-3.8K0.0058.84N/AN/A00172469
2015-08-04$58.59$63.0016.9%4.8%24.2%45.5%16.9%3.0%0.3%-15.1K2.1M-3.9K1.8952.99N/AN/A133251177472
2015-08-05$58.79$63.0016.7%4.8%19.7%44.5%16.9%3.0%0.2%-15.8K2.0M-3.9K1.8953.89N/AN/A133251177472
2015-08-06$58.24$66.0018.0%5.3%17.9%51.0%16.4%2.8%-0.5%-12.2K2.1M-3.7K1.9656.83N/AN/A133261177472
2015-08-07$58.27$66.0016.9%5.2%15.0%45.5%16.0%2.6%-0.2%-12.0K2.1M-3.8K1.9656.82N/AN/A133261177482
2015-08-10$59.11$66.0016.1%5.0%15.9%41.8%16.3%3.9%0.0%-16.7K2.1M-4.0K1.9652.62N/AN/A133261177482
2015-08-11$57.69$66.0019.3%5.5%17.7%57.8%0.0%2.5%-0.8%-11.6K2.2M-3.6K0.0055.05N/AN/A00172479
2015-08-12$56.68$66.0020.5%5.9%18.2%63.7%19.9%2.3%-1.1%-10.6K2.2M-3.3K1.8959.97N/AN/A138261177482
2015-08-13$56.87$66.0020.3%5.8%17.3%62.6%19.3%3.6%-1.2%-9.9K2.3M-3.5K1.8457.84N/AN/A142261182492
2015-08-14$57.07$66.0019.7%5.6%17.4%55.9%18.9%3.6%-0.6%-6.6K2.2M-3.5K1.8458.13N/AN/A142261186492
2015-08-17$56.49$66.0020.1%5.8%17.5%58.3%18.3%3.5%-0.7%-5.8K2.3M-3.1K1.8463.96N/AN/A142261186492
2015-08-18$55.68$66.0019.9%5.7%17.8%57.1%19.7%2.8%-0.6%-5.9K2.3M-2.8K1.0872.76N/AN/A292315186492
2015-08-19$54.99$66.0021.1%6.0%17.9%63.5%21.3%0.9%-1.4%-1.7K2.3M-3.6K0.0069.96N/AN/A2740231543
2015-08-20$53.85$66.0024.1%6.9%18.8%80.0%22.8%1.6%-2.5%72.0K1.8M-5.2K0.9666.61N/AN/A341329510546
2015-08-21$52.32$60.0026.2%7.5%20.4%91.9%25.2%2.2%-3.9%56.7K1.5M-4.4K0.9668.00N/AN/A341329510440
2015-08-24$49.95$60.0094.6%27.1%24.3%100.0%98.6%-63.1%-30.3%4.9K312.1K-7.5K0.97148.34N/AN/A340329501437
2015-08-25$51.25$60.0054.0%15.5%26.1%52.3%71.5%-2.5%-3.8%22.1K785.9K-6.5K0.96134.66N/AN/A342329506443
2015-08-26$52.30$60.0027.8%8.0%27.4%21.5%30.1%6.1%-1.7%51.2K1.4M-4.6K0.97103.89N/AN/A342331508443
2015-08-27$54.09$60.0037.0%10.6%30.9%32.3%38.1%29.5%-3.2%63.2K1.2M-5.4K0.97134.57N/AN/A342331508445
2015-08-28$53.57$60.0027.2%7.8%30.8%20.8%24.8%6.8%-3.1%78.6K1.3M-4.8K0.97100.57N/AN/A342331508445
2015-08-31$53.34$60.0030.6%8.8%30.6%24.8%28.8%2.3%-4.3%71.6K1.3M-4.7K0.9798.58N/AN/A342331508445