AAXJ Options History — April 2016

In April 2016, AAXJ traded between $52.71 and $56.04. ATM implied volatility averaged 20.5%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 2.5% (HV 20d: 17.9%). Max pain ranged from $52.00 to $54.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2016-04-25: Highest Volume — 95 contracts
  • 2016-04-13: Largest IV drop — 17.1% change
  • 2016-04-12: Highest IV Rank — 14.8%
  • 2016-04-07: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.55$52.71$56.04$54.32$54.04
Max Pain$53.89$52.00$54.00$52.00$54.00
ATM IV20.5%18.6%24.4%19.8%20.0%
Expected Move5.7%5.3%6.2%5.7%5.7%
HV 20d17.9%16.9%19.2%18.2%17.7%
HV 60d20.6%18.5%22.6%22.6%18.5%
IV Rank10.0%7.7%14.8%9.2%9.5%
IV Percentile47.5%27.8%71.8%45.2%43.7%
Term Structure0.3%-0.4%0.6%0.6%0.3%
VWIV20.4%18.5%22.4%22.4%19.4%
Skew 25d3.1%2.2%4.1%3.5%3.0%
Skew 10d4.7%3.0%9.8%9.8%3.8%
Call IV 25d18.8%17.8%20.2%18.0%19.0%
Put IV 25d21.9%20.2%23.0%21.5%21.9%
Bid-Ask Spread %25.3716.4754.7454.7433.04
Gamma HHI0.300.240.350.320.24
Net GEX13.1K9.9K15.9K12.4K15.3K
Net DEX-254.5K-313.4K-175.6K-248.0K-231.4K
Net VEX-1.0K-1.1K-945-1.1K-968
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.330.540.330.42
Total Volume88.1976957694
Total OI118.762108123108123

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$54.32$52.0019.8%5.7%18.2%9.2%22.4%3.5%0.6%12.4K-248.0K-1.1K0.3354.74N/AN/A57198721
2016-04-04$53.88$0.0021.0%5.8%17.2%10.7%0.0%3.5%-0.2%12.4K-231.7K-1.1K0.3316.47N/AN/A57198722
2016-04-05$52.84$0.0022.1%6.0%18.4%12.0%20.3%3.5%0.0%11.4K-194.0K-1.1K0.5419.20N/AN/A57318722
2016-04-06$53.61$54.0021.2%5.7%17.8%10.9%19.8%4.1%0.5%11.1K-209.4K-1.1K0.5418.57N/AN/A57318734
2016-04-07$52.71$54.0022.5%6.2%18.9%12.5%21.0%2.9%-0.4%9.9K-175.6K-1.1K0.5419.14N/AN/A57318734
2016-04-08$53.29$54.0021.3%6.0%19.2%11.1%20.5%3.7%0.3%10.9K-198.5K-1.1K0.5417.88N/AN/A57318733
2016-04-11$53.85$54.0023.1%5.8%17.5%13.3%20.5%3.8%0.3%11.7K-222.5K-1.1K0.5419.20N/AN/A57318733
2016-04-12$54.42$54.0024.4%6.0%17.8%14.8%20.9%3.0%0.1%12.3K-246.6K-1.1K0.5418.30N/AN/A57318733
2016-04-13$55.52$54.0020.2%5.8%18.4%9.7%21.9%2.5%-0.1%12.6K-287.9K-1.0K0.5419.54N/AN/A57318733
2016-04-14$55.42$54.0021.0%6.0%17.8%10.7%21.9%2.8%-0.3%12.6K-284.7K-1.0K0.5419.36N/AN/A57318733
2016-04-15$55.08$54.0020.0%5.7%17.7%9.5%21.0%2.9%0.4%13.0K-275.0K-1.0K0.5416.68N/AN/A57318733
2016-04-18$55.44$54.0019.5%5.6%17.7%8.9%20.6%2.2%0.5%13.4K-289.4K-9910.5123.94N/AN/A57298730
2016-04-19$56.04$54.0018.8%5.4%18.0%8.0%20.4%2.4%0.4%13.1K-313.4K-9450.4926.94N/AN/A59298730
2016-04-20$55.56$54.0018.8%5.4%18.3%8.0%20.2%2.7%0.5%14.0K-301.5K-9810.4736.40N/AN/A59288930
2016-04-21$55.12$54.0019.5%5.6%17.9%8.9%20.2%2.6%0.6%13.7K-277.1K-9970.4723.64N/AN/A59288931
2016-04-22$54.92$54.0019.5%5.6%17.9%8.9%19.5%3.6%0.3%13.9K-268.4K-9860.4724.06N/AN/A60288931
2016-04-25$54.69$54.0020.0%5.7%18.1%9.4%19.9%3.9%0.1%14.5K-262.5K-9960.4235.10N/AN/A67289031
2016-04-26$55.03$54.0019.3%5.5%17.7%8.6%19.6%2.6%0.6%15.5K-276.7K-9790.4228.20N/AN/A67289231
2016-04-27$55.27$54.0019.1%5.5%16.9%8.4%18.8%2.5%0.2%15.7K-290.3K-9590.4233.24N/AN/A66289231
2016-04-28$54.52$54.0018.6%5.3%17.6%7.7%18.5%3.0%0.6%15.9K-259.4K-9710.4229.21N/AN/A66289231
2016-04-29$54.04$54.0020.0%5.7%17.7%9.5%19.4%3.0%0.3%15.3K-231.4K-9680.4233.04N/AN/A66289231