AAXJ Options History — September 2015

In September 2015, AAXJ traded between $51.08 and $55.10. ATM implied volatility averaged 27.7%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 4.6% (HV 20d: 32.3%). Max pain ranged from $53.00 to $60.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2015-09-17: Highest Volume — 703 contracts
  • 2015-09-17: Largest IV drop — 25.8% change
  • 2015-09-04: Highest IV Rank — 31.9%
  • 2015-09-01: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.93$51.08$55.10$51.57$52.76
Max Pain$53.67$53.00$60.00$60.00$53.00
ATM IV27.7%18.4%36.6%35.4%26.1%
Expected Move7.7%5.3%10.1%10.1%7.5%
HV 20d32.3%25.1%36.5%32.1%25.1%
HV 60d27.0%25.4%27.7%25.4%27.4%
IV Rank19.6%7.9%31.9%30.4%17.2%
IV Percentile94.3%83.7%98.8%98.8%91.7%
Term Structure-1.4%-5.2%3.8%-4.7%-1.2%
VWIV26.9%22.6%37.6%37.6%27.3%
Skew 25d4.9%-2.1%14.6%4.8%1.7%
Skew 10d8.6%-0.7%16.0%14.7%8.1%
Call IV 25d25.4%17.0%34.2%33.4%28.1%
Put IV 25d30.3%24.5%38.2%38.2%29.8%
Bid-Ask Spread %84.5747.57122.59108.63102.36
Gamma HHI0.390.190.660.400.19
Net GEX50.8K-7.0K184.3K48.6K-5.4K
Net DEX1.1M428.3K1.8M1.5M556.4K
Net VEX-3.4K-4.2K-2.2K-4.2K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.001.050.990.64
Total Volume556.0480703676519
Total OI721.81412953953413

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$51.57$60.0035.4%10.1%32.1%30.4%37.6%4.8%-4.7%48.6K1.5M-4.2K0.99108.63N/AN/A340336508445
2015-09-02$52.18$60.0031.4%9.0%32.6%25.8%33.2%0.1%-1.8%54.2K1.5M-3.9K0.99122.59N/AN/A340336452450
2015-09-03$52.51$53.0031.3%7.8%32.8%25.6%27.4%4.2%0.1%60.1K1.5M-4.0K0.9977.46N/AN/A340336452450
2015-09-04$51.08$53.0036.6%9.2%33.7%31.9%29.8%7.1%-2.5%34.8K1.7M-3.4K0.9860.52N/AN/A340334452450
2015-09-08$52.97$53.0033.1%7.9%36.3%26.1%0.0%14.6%-1.7%68.3K1.6M-3.7K0.0083.74N/AN/A00447449
2015-09-09$53.16$53.0026.2%7.5%35.7%17.3%27.1%6.8%-3.6%92.3K1.4M-4.1K0.9870.84N/AN/A340334452452
2015-09-10$53.47$53.0029.4%8.4%35.5%21.2%28.2%6.8%-4.6%88.6K1.4M-4.0K0.9862.16N/AN/A340334452452
2015-09-11$53.67$53.0024.9%7.1%35.5%15.8%28.2%5.9%-1.6%101.6K1.5M-3.7K0.9847.57N/AN/A340334452446
2015-09-14$53.34$53.0030.0%8.6%35.4%21.9%27.8%-2.1%-5.2%93.5K1.5M-3.5K1.0360.97N/AN/A344354452446
2015-09-15$53.81$53.0026.3%7.5%35.6%17.5%0.0%11.8%-2.0%108.0K1.5M-3.7K0.0089.50N/AN/A30451463
2015-09-16$55.10$53.0024.8%7.1%36.5%15.6%27.0%1.9%-2.1%184.3K1.1M-4.2K1.0482.39N/AN/A343356457466
2015-09-17$54.99$53.0018.4%5.3%36.2%7.9%22.6%4.6%3.8%180.4K1.0M-4.2K1.0595.03N/AN/A343360457471
2015-09-18$54.13$53.0022.3%6.4%35.8%12.6%22.9%2.1%0.8%-5.2K1.8M-3.6K1.0592.48N/AN/A343360462474
2015-09-21$54.06$53.0024.3%7.0%34.2%15.1%23.8%0.8%-0.0%-4.2K428.3K-3.4K0.6485.75N/AN/A316202202210
2015-09-22$53.02$53.0024.5%7.0%30.3%15.4%23.0%5.7%0.7%-3.7K462.3K-3.2K0.6477.57N/AN/A316202202210
2015-09-23$52.64$53.0024.6%7.0%29.2%15.4%22.9%5.7%0.1%-5.2K514.1K-3.0K0.6486.26N/AN/A316202202210
2015-09-24$52.26$53.0027.3%7.8%28.5%18.7%25.5%7.9%0.3%-5.1K606.2K-2.6K0.6484.48N/AN/A316202202210
2015-09-25$52.15$53.0025.2%7.2%25.5%16.2%25.1%4.0%-0.4%-7.0K571.6K-2.5K0.6486.23N/AN/A316202202210
2015-09-28$51.22$53.0029.5%8.5%26.1%21.4%27.8%0.1%-1.8%-5.9K597.5K-2.5K0.6496.63N/AN/A316203202210
2015-09-29$51.36$53.0029.5%8.5%26.1%21.4%23.0%8.2%-2.3%-6.9K646.7K-2.2K0.64102.78N/AN/A316203202211
2015-09-30$52.76$53.0026.1%7.5%25.1%17.2%27.3%1.7%-1.2%-5.4K556.4K-2.7K0.64102.36N/AN/A316203202211