AAXJ Options History — November 2015

In November 2015, AAXJ traded between $54.49 and $57.91. ATM implied volatility averaged 20.2%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.6% (HV 20d: 17.7%). Max pain ranged from $53.00 to $58.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2015-11-04: Highest Volume — 450 contracts
  • 2015-11-09: Largest IV spike — 15.2% change
  • 2015-11-13: Highest IV Rank — 14.1%
  • 2015-11-13: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.13$54.49$57.91$57.22$55.48
Max Pain$57.25$53.00$58.00$53.00$58.00
ATM IV20.2%18.2%23.5%18.9%20.9%
Expected Move5.8%5.2%6.7%5.4%6.0%
HV 20d17.7%15.7%20.0%19.9%17.0%
HV 60d24.9%21.2%27.3%27.3%21.5%
IV Rank10.2%7.8%14.1%8.6%10.9%
IV Percentile77.7%69.8%86.1%75.0%80.6%
Term Structure0.5%-0.4%2.0%0.7%-0.3%
VWIV18.4%13.8%21.0%19.5%19.0%
Skew 25d4.0%3.2%4.8%3.4%3.3%
Skew 10d8.5%6.0%11.3%6.2%9.0%
Call IV 25d18.5%16.6%21.1%17.7%19.4%
Put IV 25d22.5%20.2%25.2%21.1%22.8%
Bid-Ask Spread %58.9640.9881.2740.9875.73
Gamma HHI0.290.180.410.210.26
Net GEX25.1K-14.2K66.8K30.0K-7.9K
Net DEX190.0K-281.3K573.7K-114.2K549.8K
Net VEX-2.5K-3.5K-1.7K-3.4K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.001.150.890.00
Total Volume261.8045044926
Total OI496.6430522521430

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$57.22$53.0018.9%5.4%19.9%8.6%19.5%3.4%0.7%30.0K-114.2K-3.4K0.8940.98N/AN/A238211301220
2015-11-03$57.91$53.0018.2%5.2%20.0%7.8%20.1%3.6%0.9%29.7K-281.3K-3.5K0.8941.12N/AN/A238211301220
2015-11-04$57.75$53.0018.8%5.4%17.6%8.4%21.0%3.4%0.4%29.7K-254.2K-3.4K0.8845.09N/AN/A239211302220
2015-11-05$57.82$58.0019.7%5.6%17.5%9.5%19.2%4.2%0.8%30.5K-268.5K-3.4K0.8846.82N/AN/A239211302220
2015-11-06$57.18$58.0019.0%6.0%18.0%8.7%0.0%4.4%-0.1%32.1K-125.3K-3.3K0.0047.98N/AN/A600296220
2015-11-09$55.91$58.0021.9%6.2%19.7%12.2%0.0%4.6%-0.2%34.0K144.0K-2.9K0.0053.93N/AN/A40296220
2015-11-10$55.46$58.0022.4%6.4%19.4%12.7%19.8%4.8%-0.1%33.2K251.7K-2.7K1.1557.21N/AN/A183211298220
2015-11-11$55.80$58.0021.2%6.1%19.5%11.3%19.1%4.7%-0.4%35.7K189.6K-2.7K1.1560.52N/AN/A183211298220
2015-11-12$55.28$58.0022.4%6.4%16.5%12.8%19.4%4.7%-0.0%37.0K296.4K-2.5K1.1556.94N/AN/A183211299220
2015-11-13$54.49$58.0023.5%6.7%17.0%14.1%20.4%4.0%-0.1%35.8K441.2K-2.3K1.1558.98N/AN/A183211299220
2015-11-16$55.34$58.0021.4%6.1%18.0%11.6%0.0%4.3%1.1%48.1K316.5K-2.3K0.0062.25N/AN/A01293220
2015-11-17$55.23$58.0021.4%6.1%18.0%11.6%19.9%4.6%1.2%60.4K340.3K-2.2K0.6464.39N/AN/A183118299221
2015-11-18$55.52$58.0019.5%5.6%18.0%9.3%13.8%4.4%1.6%66.8K269.5K-2.1K0.6463.44N/AN/A183118299216
2015-11-19$55.90$58.0019.8%5.7%16.3%9.7%18.1%4.0%1.2%61.3K125.3K-2.1K0.6461.14N/AN/A183118299216
2015-11-20$56.45$58.0018.9%5.4%16.4%8.6%16.9%3.2%2.0%-14.2K41.0K-2.2K0.6164.58N/AN/A192118299216
2015-11-23$56.06$58.0018.8%5.4%16.2%8.4%0.0%3.6%0.5%-10.8K447.6K-2.1K0.0065.91N/AN/A00214216
2015-11-24$56.33$58.0018.8%5.4%16.1%8.4%0.0%3.5%0.8%-11.0K413.7K-2.1K0.0064.20N/AN/A00214216
2015-11-25$56.20$58.0018.9%5.4%15.7%8.5%14.1%3.5%0.1%-12.1K443.4K-2.0K0.7366.66N/AN/A161118220216
2015-11-27$55.17$58.0020.5%5.9%16.8%10.5%16.1%3.6%-0.4%-6.7K573.7K-1.7K0.7381.27N/AN/A161118220216
2015-11-30$55.48$58.0020.9%6.0%17.0%10.9%19.0%3.3%-0.3%-7.9K549.8K-1.7K0.0075.73N/AN/A260214216