AAXJ Options History — March 2016

In March 2016, AAXJ traded between $50.81 and $54.90. ATM implied volatility averaged 21.6%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.2% (HV 20d: 20.5%). Max pain ranged from $52.00 to $59.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.59.

Notable Days

  • 2016-03-18: Highest Volume — 246 contracts
  • 2016-03-03: Largest IV drop — 9.3% change
  • 2016-03-07: Highest IV Rank — 14.9%
  • 2016-03-02: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.07$50.81$54.90$50.81$54.67
Max Pain$53.38$52.00$59.00$59.00$52.00
ATM IV21.6%19.2%24.5%23.6%19.2%
Expected Move6.1%5.5%6.8%6.8%5.5%
HV 20d20.5%18.0%22.6%22.6%18.0%
HV 60d23.3%22.5%23.6%23.0%22.5%
IV Rank11.5%8.5%14.9%14.0%8.5%
IV Percentile59.8%40.9%73.0%69.8%40.9%
Term Structure0.4%-1.7%1.4%-0.6%0.7%
VWIV22.4%20.1%24.4%22.2%22.6%
Skew 25d3.5%1.7%5.1%3.8%2.9%
Skew 10d6.6%4.9%10.8%10.1%5.3%
Call IV 25d20.3%18.3%22.9%22.9%18.3%
Put IV 25d23.8%21.3%26.7%26.7%21.3%
Bid-Ask Spread %33.2118.4874.5674.0134.49
Gamma HHI0.240.150.330.230.33
Net GEX9.2K-4.3K14.6K-4.3K12.4K
Net DEX-93.0K-265.9K118.9K118.9K-261.1K
Net VEX-1.1K-1.2K-844-953-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.320.840.780.32
Total Volume173.6827424621075
Total OI197.091100273222108

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$50.81$59.0023.6%6.8%22.6%14.0%22.2%3.8%-0.6%-4.3K118.9K-9530.7874.01N/AN/A1189276146
2016-03-02$51.47$56.0023.9%6.8%20.6%14.3%20.1%4.2%-1.7%3.0K56.2K-9340.8474.56N/AN/A1099287146
2016-03-03$51.84$0.0021.7%6.0%20.1%11.5%0.0%3.5%1.0%5.8K35.3K-9040.8418.48N/AN/A1099288146
2016-03-04$52.93$0.0022.6%6.1%21.1%12.7%0.0%3.2%0.6%8.2K-6.6K-8940.8421.77N/AN/A1099288146
2016-03-07$52.50$0.0024.5%6.5%21.0%14.9%0.0%4.5%0.1%7.4K8.8K-8700.8419.98N/AN/A1099288146
2016-03-08$51.58$0.0024.4%6.5%21.8%14.8%0.0%4.5%0.3%5.8K42.7K-8660.8420.65N/AN/A1099288146
2016-03-09$51.82$0.0022.9%6.6%21.3%13.0%0.0%4.4%-0.1%6.0K35.2K-8440.6623.63N/AN/A1399288146
2016-03-10$51.75$0.0021.9%6.3%21.4%11.7%0.0%5.1%0.5%11.6K-7.7K-1.1K0.6620.68N/AN/A13992118146
2016-03-11$53.07$0.0020.6%5.9%21.7%10.2%0.0%3.4%1.1%12.5K-66.5K-1.1K0.6322.81N/AN/A14792118146
2016-03-14$53.03$0.0021.3%6.1%21.7%11.1%0.0%3.7%0.8%14.6K-93.4K-1.2K0.6323.77N/AN/A14792127146
2016-03-15$52.50$0.0022.4%6.4%21.3%12.4%0.0%4.1%0.9%14.1K-61.6K-1.2K0.6322.60N/AN/A14792127146
2016-03-16$53.36$0.0021.3%6.1%21.4%11.0%0.0%3.0%0.6%12.0K-108.3K-1.1K0.6330.20N/AN/A14792127146
2016-03-17$53.92$0.0020.9%6.0%21.0%10.6%0.0%2.7%0.4%9.5K-68.1K-1.1K0.6525.66N/AN/A14796117150
2016-03-18$54.29$0.0021.0%6.0%20.9%10.7%0.0%2.4%1.3%9.9K-89.1K-1.1K0.6731.63N/AN/A14799117150
2016-03-21$54.42$0.0021.0%6.0%20.1%10.7%0.0%2.9%0.3%10.4K-233.2K-1.1K0.3531.40N/AN/A80288020
2016-03-22$54.24$0.0020.2%5.8%18.5%9.7%22.1%2.6%0.3%10.5K-229.4K-1.1K0.3642.25N/AN/A80298020
2016-03-23$53.57$52.0019.9%5.7%19.4%9.4%21.8%3.1%0.7%10.3K-207.9K-1.1K0.3844.04N/AN/A80308021
2016-03-24$53.40$52.0020.2%5.8%19.6%9.7%21.6%3.9%1.4%9.5K-195.2K-1.1K0.3533.54N/AN/A55198023
2016-03-28$53.43$52.0021.4%6.1%19.4%11.2%22.8%3.7%0.4%11.1K-212.9K-1.1K0.3537.83N/AN/A55198521
2016-03-29$54.06$52.0020.9%6.0%19.6%10.6%23.7%3.1%0.2%11.3K-235.9K-1.1K0.3537.05N/AN/A55198521
2016-03-30$54.90$52.0020.4%5.8%18.1%9.9%24.4%1.7%-0.2%11.6K-265.9K-1.1K0.3239.65N/AN/A57188521
2016-03-31$54.67$52.0019.2%5.5%18.0%8.5%22.6%2.9%0.7%12.4K-261.1K-1.1K0.3234.49N/AN/A57188721