AAXJ Options History — May 2016

In May 2016, AAXJ traded between $50.89 and $54.06. ATM implied volatility averaged 20.3%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 4.4% (HV 20d: 15.9%). Max pain ranged from $53.00 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 6.44.

Notable Days

  • 2016-05-24: Highest Volume — 13,698 contracts
  • 2016-05-31: Largest IV spike — 12.5% change
  • 2016-05-04: Highest IV Rank — 13.7%
  • 2016-05-04: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.14$50.89$54.06$54.06$53.42
Max Pain$53.14$53.00$54.00$54.00$53.00
ATM IV20.3%16.2%23.4%20.9%18.2%
Expected Move5.8%4.6%6.7%6.0%5.2%
HV 20d15.9%14.3%18.0%17.5%16.5%
HV 60d18.3%16.8%19.1%18.5%16.8%
IV Rank9.8%4.9%13.7%10.5%7.3%
IV Percentile44.5%11.1%67.5%50.8%18.7%
Term Structure0.4%-0.8%1.2%-0.3%-0.5%
VWIV20.1%15.2%22.6%20.4%17.7%
Skew 25d3.7%2.3%4.7%2.7%2.9%
Skew 10d7.3%1.9%9.5%5.3%4.2%
Call IV 25d18.9%14.9%21.9%19.5%16.9%
Put IV 25d22.6%18.2%25.0%22.2%19.7%
Bid-Ask Spread %38.3826.8264.9733.5056.27
Gamma HHI0.200.170.250.240.18
Net GEX21.6K13.7K37.9K15.8K37.9K
Net DEX-2.4M-12.0M-100.6K-234.0K-12.0M
Net VEX-48.1K-201.2K-889-937-193.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.440.2632.780.3332.78
Total Volume2,74711413,6981147,061
Total OI3,407.38112313,83212313,832

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$54.06$54.0020.9%6.0%17.5%10.5%20.4%2.7%-0.3%15.8K-234.0K-9370.3333.50N/AN/A86289231
2016-05-03$52.84$54.0022.4%6.4%18.0%12.4%21.3%3.1%-0.5%21.4K-205.6K-1.0K0.3332.36N/AN/A862811231
2016-05-04$52.18$54.0023.4%6.7%17.7%13.7%21.7%2.3%-0.8%18.9K-169.3K-9660.2634.01N/AN/A1062811231
2016-05-05$52.28$53.0021.8%6.4%16.7%11.6%22.1%4.7%0.2%22.1K-194.9K-1.1K0.2626.82N/AN/A1072813231
2016-05-06$52.10$53.0020.5%6.0%16.2%10.1%21.5%4.5%1.0%21.9K-182.3K-1.1K0.2637.03N/AN/A1072813331
2016-05-09$51.67$53.0022.3%6.3%15.8%12.3%22.3%4.1%0.2%19.2K-159.8K-1.1K0.2630.01N/AN/A1072813331
2016-05-10$52.49$53.0020.6%6.1%16.4%10.2%21.0%4.0%0.6%24.0K-197.0K-1.1K0.2630.53N/AN/A1072813331
2016-05-11$52.11$53.0020.9%6.0%14.4%10.6%20.9%4.0%0.6%21.6K-172.6K-1.0K0.2931.47N/AN/A1073113331
2016-05-12$51.93$53.0020.1%5.8%14.3%9.6%20.5%3.9%1.2%19.5K-154.2K-1.0K0.2930.80N/AN/A1073113335
2016-05-13$51.22$53.0021.9%6.3%14.8%11.8%21.7%4.2%0.6%14.5K-113.3K-9660.2928.11N/AN/A1073113335
2016-05-16$51.89$53.0020.9%6.0%15.5%10.6%21.0%4.3%0.7%17.4K-143.0K-9690.2930.79N/AN/A1073113335
2016-05-17$51.86$53.0021.2%6.1%14.7%10.9%21.2%4.2%0.7%16.7K-138.1K-9550.2732.10N/AN/A1143113335
2016-05-18$51.34$53.0022.3%6.4%14.8%12.3%22.1%4.3%0.7%15.9K-124.2K-9590.2732.30N/AN/A1143114035
2016-05-19$50.89$53.0022.0%6.3%14.8%11.9%22.6%4.4%0.4%13.7K-100.6K-9040.2736.88N/AN/A1143114035
2016-05-20$51.31$53.0021.1%6.1%15.4%10.8%20.9%4.4%1.2%14.5K-115.5K-9680.2737.03N/AN/A1143114043
2016-05-23$51.39$53.0019.4%5.6%15.5%8.7%19.0%3.6%0.3%14.8K-117.8K-8890.9848.64N/AN/A6,9176,78011942
2016-05-24$51.88$53.0017.3%5.0%15.8%6.2%16.8%3.1%0.5%28.5K-7.4M-201.2K0.9864.97N/AN/A6,9186,7806,9436,792
2016-05-25$52.58$53.0016.4%4.7%16.7%5.1%16.0%3.1%0.7%35.2K-9.3M-199.4K31.2956.99N/AN/A2196,8526,9446,792
2016-05-26$52.70$53.0016.4%4.7%16.2%5.1%15.6%2.7%0.6%28.3K-9.5M-200.6K32.1746.71N/AN/A2136,8526,9646,864
2016-05-27$52.89$53.0016.2%4.6%16.1%4.9%15.2%3.3%0.6%31.4K-10.1M-200.4K32.7848.68N/AN/A2096,8526,9666,864
2016-05-31$53.42$53.0018.2%5.2%16.5%7.3%17.7%2.9%-0.5%37.9K-12.0M-193.4K32.7856.27N/AN/A2096,8526,9696,863