AAXJ Options History — June 2016

In June 2016, AAXJ traded between $51.73 and $55.24. ATM implied volatility averaged 19.4%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.4% (HV 20d: 17.0%). Max pain ranged from $53.00 to $53.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 12.45.

Notable Days

  • 2016-06-21: Highest Volume — 37,928 contracts
  • 2016-06-28: Largest IV drop — 23.4% change
  • 2016-06-27: Highest IV Rank — 14.7%
  • 2016-06-27: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.75$51.73$55.24$53.20$54.61
Max Pain$53.00$53.00$53.00$53.00$53.00
ATM IV19.4%15.8%25.4%17.9%19.3%
Expected Move5.5%4.5%7.3%5.1%5.5%
HV 20d17.0%13.0%26.7%14.4%26.7%
HV 60d17.0%15.8%20.0%16.7%19.9%
IV Rank8.3%4.3%14.7%7.0%7.1%
IV Percentile32.8%7.9%78.6%17.1%24.6%
Term Structure-0.1%-2.9%1.6%-0.9%-2.9%
VWIV19.8%16.3%28.4%16.3%17.9%
Skew 25d3.9%-8.2%7.9%3.0%6.9%
Skew 10d7.6%1.9%15.2%9.4%6.4%
Call IV 25d19.0%14.6%31.7%16.3%16.6%
Put IV 25d22.9%18.6%28.2%19.3%23.5%
Bid-Ask Spread %71.7622.79116.5560.05116.55
Gamma HHI0.470.160.900.180.90
Net GEX259.1K15.3K714.8K37.3K686.0K
Net DEX-19.0M-49.2M-170.6K-11.4M-45.0M
Net VEX-347.9K-507.4K-174.7K-198.0K-473.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.451.1632.7832.781.47
Total Volume23,586.3647,06137,9287,06134,141
Total OI29,958.13613,83244,66813,83244,668

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$53.20$53.0017.9%5.1%14.4%7.0%16.3%3.0%-0.9%37.3K-11.4M-198.0K32.7860.05N/AN/A2096,8526,9696,863
2016-06-02$53.58$53.0016.4%4.5%13.7%5.1%17.1%3.8%1.3%41.5K-12.9M-192.0K32.7822.79N/AN/A2096,8526,9696,863
2016-06-03$54.07$53.0016.0%4.5%14.0%4.6%17.0%3.7%1.3%48.1K-14.7M-184.8K29.8333.63N/AN/A2306,8626,9696,863
2016-06-06$54.68$53.0016.8%4.6%14.3%5.5%17.8%3.1%0.8%43.6K-16.8M-184.1K29.8033.48N/AN/A2306,8536,9676,873
2016-06-07$55.10$53.0016.4%4.7%13.8%5.2%18.7%3.9%1.1%45.3K-18.0M-175.7K25.8836.05N/AN/A2656,8586,9676,874
2016-06-08$55.24$53.0016.4%4.7%13.0%5.1%19.0%4.0%1.0%58.4K-18.5M-175.2K26.1832.82N/AN/A2626,8586,9776,869
2016-06-09$54.82$53.0015.8%4.5%13.0%4.3%18.4%4.4%1.5%64.5K-17.1M-174.7K26.1628.79N/AN/A2626,8546,9886,869
2016-06-10$53.72$53.0018.6%5.3%15.2%7.7%18.9%4.9%0.3%44.2K-13.2M-188.3K26.1627.44N/AN/A2626,8546,9886,868
2016-06-13$52.84$53.0021.0%6.0%15.6%10.7%20.7%6.7%-0.5%29.7K-10.0M-191.0K26.1626.11N/AN/A2626,8546,9886,868
2016-06-14$52.86$53.0020.8%6.0%15.0%10.4%20.3%5.3%0.6%27.8K-10.5M-189.4K1.4833.75N/AN/A13,76220,3536,9886,868
2016-06-15$53.29$53.0020.7%5.9%15.2%10.3%19.6%2.5%0.8%39.7K-13.7M-473.6K1.48101.69N/AN/A13,76220,35320,48820,368
2016-06-16$53.16$53.0021.7%6.2%14.7%11.6%21.4%7.9%-0.5%31.8K-3.6M-471.6K1.4890.57N/AN/A13,76320,35320,48820,368
2016-06-17$53.04$53.0020.5%5.9%14.3%10.1%20.2%4.7%-0.6%149.7K-5.7M-471.7K1.48104.18N/AN/A13,76320,35320,48920,368
2016-06-20$53.80$53.0018.1%5.2%14.7%7.2%19.8%7.1%-0.3%15.3K-20.2M-460.0K1.16110.72N/AN/A17,58820,33320,40620,343
2016-06-21$54.19$53.0021.1%6.0%14.8%10.8%19.8%4.9%-2.2%663.3K-30.9M-507.4K1.1695.30N/AN/A17,59520,33324,30620,343
2016-06-22$54.05$53.0022.1%6.3%14.7%12.0%23.8%4.1%-0.2%663.1K-38.0M-502.9K1.16102.76N/AN/A17,58720,33324,31320,343
2016-06-23$55.07$53.0020.4%5.9%15.4%8.4%17.8%4.2%-1.5%714.8K-49.2M-479.0K1.47107.84N/AN/A13,79520,33324,32520,343
2016-06-24$52.42$53.0023.4%6.7%23.9%12.1%24.0%-8.2%-1.4%565.2K-11.8M-498.6K1.4787.33N/AN/A13,79520,33324,32520,343
2016-06-27$51.73$53.0025.4%7.3%24.3%14.7%28.4%0.9%-2.1%492.2K-170.6K-482.6K1.4798.58N/AN/A13,79520,33324,32520,343
2016-06-28$53.03$53.0019.5%5.6%25.7%7.3%20.1%3.6%0.9%588.7K-18.5M-495.0K1.47115.26N/AN/A13,79520,33324,32520,343
2016-06-29$54.04$53.0018.0%5.2%26.6%5.4%18.0%5.1%1.6%649.8K-37.2M-484.2K1.47113.10N/AN/A13,79520,33324,32520,343
2016-06-30$54.61$53.0019.3%5.5%26.7%7.1%17.9%6.9%-2.9%686.0K-45.0M-473.7K1.47116.55N/AN/A13,80820,33324,32520,343