AAXJ Options History — October 2015

In October 2015, AAXJ traded between $52.79 and $58.80. ATM implied volatility averaged 21.5%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 1.9% (HV 20d: 23.4%). Max pain ranged from $53.00 to $53.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.85.

Notable Days

  • 2015-10-01: Highest Volume — 525 contracts
  • 2015-10-08: Largest IV drop — 16.6% change
  • 2015-10-01: Highest IV Rank — 17.6%
  • 2015-10-01: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.77$52.79$58.80$52.79$56.54
Max Pain$53.00$53.00$53.00$53.00$53.00
ATM IV21.5%18.6%26.4%26.4%18.6%
Expected Move6.1%5.3%7.6%7.6%5.3%
HV 20d23.4%20.8%26.4%24.8%20.8%
HV 60d26.9%26.1%27.3%26.2%27.2%
IV Rank11.8%8.2%17.6%17.6%8.2%
IV Percentile84.1%74.2%92.9%92.9%74.2%
Term Structure0.0%-2.0%1.0%-2.0%1.0%
VWIV22.1%19.5%25.6%25.5%19.5%
Skew 25d5.0%2.9%13.4%13.4%4.6%
Skew 10d8.8%4.9%17.8%15.5%7.1%
Call IV 25d19.8%16.9%23.0%23.0%16.9%
Put IV 25d24.8%21.5%36.4%36.4%21.5%
Bid-Ask Spread %42.3118.46103.50103.5041.45
Gamma HHI0.190.160.220.200.22
Net GEX12.1K-5.8K29.1K-5.8K29.1K
Net DEX70.3K-334.8K534.8K534.8K4.3K
Net VEX-3.6K-4.0K-2.8K-2.8K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.631.150.630.89
Total Volume437.3640525525449
Total OI460.182413521413521

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$52.79$53.0026.4%7.6%24.8%17.6%25.5%13.4%-2.0%-5.8K534.8K-2.8K0.63103.50N/AN/A322203202211
2015-10-02$54.19$53.0025.1%7.2%26.4%16.0%25.6%8.8%0.5%-2.2K455.8K-3.1K0.7999.90N/AN/A257203209211
2015-10-05$55.33$53.0023.2%6.4%24.8%13.7%0.0%7.6%0.0%-231333.6K-3.3K0.0088.51N/AN/A00213211
2015-10-06$54.94$53.0025.4%6.6%22.0%16.4%23.4%5.5%-0.9%-605357.3K-3.3K0.7950.62N/AN/A258203218211
2015-10-07$56.50$53.0024.4%6.4%23.8%15.2%23.6%7.1%-1.5%3.1K162.6K-3.7K0.7967.37N/AN/A258203219211
2015-10-08$56.91$53.0020.3%6.1%23.9%10.3%23.4%3.2%0.2%4.4K120.5K-3.7K0.7919.57N/AN/A258203219211
2015-10-09$57.06$53.0020.5%6.2%23.9%10.5%23.9%2.9%-0.2%4.7K101.7K-3.7K0.7918.46N/AN/A257203219211
2015-10-12$56.91$53.0021.4%6.0%23.7%11.6%23.5%4.7%-0.0%6.3K117.3K-3.6K0.8022.21N/AN/A259207221211
2015-10-13$56.25$53.0024.7%6.4%24.2%15.6%20.9%4.5%0.0%4.7K203.6K-3.5K0.7327.51N/AN/A285207223215
2015-10-14$56.45$53.0022.3%6.4%22.8%12.6%21.3%4.7%0.1%15.2K120.5K-3.7K0.7319.77N/AN/A285207249215
2015-10-15$58.07$53.0020.3%5.8%24.7%10.2%20.8%3.0%0.7%18.5K-119.3K-4.0K0.7325.72N/AN/A285207249215
2015-10-16$58.14$53.0019.7%5.6%23.8%9.5%20.2%3.8%0.3%14.0K-106.8K-3.9K0.7328.42N/AN/A285207245215
2015-10-19$57.59$53.0019.6%5.6%24.2%9.4%20.2%4.0%0.2%11.7K15.2K-3.7K0.7228.76N/AN/A279202240211
2015-10-20$57.60$53.0019.2%5.5%22.7%8.9%19.6%4.3%0.4%11.9K12.3K-3.7K1.1541.24N/AN/A184211240211
2015-10-21$57.06$53.0019.9%5.7%22.8%9.8%19.6%4.2%0.3%9.1K134.5K-3.6K1.1528.47N/AN/A184211241220
2015-10-22$58.24$53.0020.6%5.9%23.1%10.6%20.9%3.1%0.6%14.1K-66.4K-3.9K1.1540.69N/AN/A184211241220
2015-10-23$58.80$53.0019.3%5.5%23.0%9.1%22.9%3.1%0.2%15.7K-147.6K-3.9K0.8933.60N/AN/A238211241220
2015-10-26$58.19$53.0021.0%6.0%22.1%11.1%23.0%4.8%-0.5%27.7K-334.8K-4.0K0.8932.77N/AN/A238211301220
2015-10-27$57.62$53.0020.7%5.9%22.8%10.8%22.4%4.3%-0.3%27.9K-221.2K-3.9K0.8931.91N/AN/A238211301220
2015-10-28$57.06$53.0021.0%6.0%22.0%11.1%21.9%3.9%0.3%28.2K-109.3K-3.7K0.8938.95N/AN/A238211301220
2015-10-29$56.60$53.0020.7%5.9%22.4%10.7%22.4%4.4%0.7%28.3K-22.3K-3.6K0.8941.42N/AN/A238211301220
2015-10-30$56.54$53.0018.6%5.3%20.8%8.2%19.5%4.6%1.0%29.1K4.3K-3.5K0.8941.45N/AN/A238211301220