AAXJ Options History — December 2015

In December 2015, AAXJ traded between $52.55 and $56.04. ATM implied volatility averaged 20.6%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.0% (HV 20d: 17.6%). Max pain ranged from $55.00 to $58.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.39.

Notable Days

  • 2015-12-16: Highest Volume — 365 contracts
  • 2015-12-07: Largest IV spike — 12.6% change
  • 2015-12-08: Highest IV Rank — 15.1%
  • 2015-12-14: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.25$52.55$56.04$56.04$53.51
Max Pain$55.50$55.00$58.00$58.00$55.00
ATM IV20.6%17.6%24.3%20.4%18.5%
Expected Move5.8%5.1%6.9%5.9%5.3%
HV 20d17.6%15.9%19.1%16.8%17.4%
HV 60d19.6%18.0%20.7%20.7%18.0%
IV Rank10.6%7.0%15.1%10.4%8.0%
IV Percentile73.6%57.1%86.9%77.8%58.7%
Term Structure0.7%-1.3%2.1%-1.3%0.9%
VWIV18.2%16.1%20.8%17.0%17.4%
Skew 25d3.1%1.5%3.8%3.6%2.6%
Skew 10d4.2%2.0%10.5%6.8%3.8%
Call IV 25d19.0%15.9%22.4%18.5%18.2%
Put IV 25d22.1%19.5%24.8%22.1%20.8%
Bid-Ask Spread %32.7818.0470.9469.4235.69
Gamma HHI0.180.120.250.250.17
Net GEX1.5K-3.6K6.4K-1.3K-2.0K
Net DEX390.8K101.6K748.1K461.6K245.4K
Net VEX-1.2K-1.8K-1.0K-1.8K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.662.030.672.03
Total Volume236.86403650200
Total OI339.545175463456183

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$56.04$58.0020.4%5.9%16.8%10.4%0.0%3.6%-1.3%-1.3K461.6K-1.8K0.0069.42N/AN/A00240216
2015-12-02$55.38$58.0021.1%6.1%16.4%11.3%17.0%3.5%-0.9%178555.0K-1.7K0.6770.94N/AN/A177118246216
2015-12-03$54.98$0.0021.3%5.9%16.5%11.5%0.0%3.2%1.0%749597.3K-1.5K0.6718.04N/AN/A177118246216
2015-12-04$55.66$0.0019.2%5.5%17.3%8.9%0.0%3.5%1.4%1.2K550.0K-1.5K0.6621.78N/AN/A178118246216
2015-12-07$54.92$0.0021.6%5.7%17.5%11.9%0.0%3.2%1.1%3.1K640.2K-1.3K0.0020.40N/AN/A00241216
2015-12-08$54.28$0.0024.3%6.3%16.2%15.1%0.0%2.5%0.4%1.7K670.9K-1.2K0.8221.40N/AN/A144118247216
2015-12-09$53.91$0.0021.7%6.2%16.1%11.9%0.0%2.3%0.4%-3.6K700.5K-1.2K0.9021.53N/AN/A136123222216
2015-12-10$53.76$0.0021.3%6.1%15.9%11.5%0.0%1.9%0.4%-556726.1K-1.2K0.8829.47N/AN/A136120230221
2015-12-11$52.55$0.0023.9%6.9%17.4%14.6%0.0%1.5%-0.3%-2.2K748.1K-1.1K0.8829.84N/AN/A136120230219
2015-12-14$53.05$0.0023.9%6.9%17.3%14.7%0.0%2.8%-0.4%-1.2K745.7K-1.1K1.6047.75N/AN/A136218230219
2015-12-15$53.83$0.0022.8%6.5%17.2%13.2%0.0%2.9%0.1%-1.6K265.0K-1.2K1.6021.40N/AN/A136218230143
2015-12-16$54.83$0.0020.9%6.0%18.5%11.0%20.8%2.9%0.7%3.5K228.5K-1.1K1.4831.42N/AN/A147218230143
2015-12-17$54.15$55.0020.7%5.9%18.9%10.7%19.4%3.2%0.6%5.3K218.0K-1.2K1.4824.86N/AN/A147218241131
2015-12-18$54.18$55.0021.1%6.0%18.7%11.2%20.6%3.5%1.6%3.9K210.0K-1.2K1.4824.60N/AN/A147218241129
2015-12-21$53.69$55.0020.0%5.7%18.3%9.9%18.8%3.7%0.7%4.5K126.0K-1.1K1.5830.76N/AN/A6610466109
2015-12-22$54.00$55.0019.2%5.5%18.5%9.0%18.1%3.7%1.1%5.5K113.7K-1.1K1.6233.21N/AN/A6610766109
2015-12-23$54.67$55.0017.7%5.1%19.0%7.2%17.7%3.5%1.5%5.9K101.6K-1.1K1.6224.72N/AN/A6610766112
2015-12-24$54.48$55.0017.6%5.1%19.1%7.0%16.1%3.5%2.1%6.4K105.2K-1.1K1.6234.33N/AN/A6610766112
2015-12-28$54.01$55.0018.8%5.4%18.2%8.4%18.1%3.7%1.6%6.1K134.1K-1.0K2.0339.41N/AN/A6613466112
2015-12-29$54.13$55.0018.5%5.3%18.1%8.1%17.6%3.7%0.8%-1.2K217.7K-1.2K2.0335.03N/AN/A6613444139
2015-12-30$53.59$55.0018.0%5.2%17.8%7.5%17.3%3.8%1.4%-2.0K238.1K-1.2K2.0335.25N/AN/A6613444139
2015-12-31$53.51$55.0018.5%5.3%17.4%8.0%17.4%2.6%0.9%-2.0K245.4K-1.1K2.0335.69N/AN/A6613444139