AAXJ Options History — July 2016

In July 2016, AAXJ traded between $54.18 and $57.62. ATM implied volatility averaged 17.5%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 5.8% (HV 20d: 23.3%). Max pain ranged from $53.00 to $54.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.09.

Notable Days

  • 2016-07-01: Highest Volume — 34,141 contracts
  • 2016-07-13: Largest IV drop — 32.1% change
  • 2016-07-12: Highest IV Rank — 15.0%
  • 2016-07-05: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.33$54.18$57.62$55.20$57.62
Max Pain$53.95$53.00$54.00$53.00$54.00
ATM IV17.5%11.6%25.7%17.6%14.8%
Expected Move4.7%3.3%5.6%5.0%4.2%
HV 20d23.3%12.8%27.3%26.8%12.8%
HV 60d19.5%18.6%19.8%19.7%18.6%
IV Rank5.0%0.0%15.0%4.9%3.9%
IV Percentile18.5%0.0%79.4%10.7%0.8%
Term Structure0.4%-2.0%2.9%1.7%-2.0%
VWIV16.7%15.1%19.1%18.2%16.9%
Skew 25d4.2%0.5%9.3%1.5%3.8%
Skew 10d3.6%-1.2%11.7%1.5%1.5%
Call IV 25d16.2%11.8%20.3%20.3%17.1%
Put IV 25d20.4%17.9%23.5%21.8%20.9%
Bid-Ask Spread %108.4391.14119.72119.72116.42
Gamma HHI0.770.610.920.900.62
Net GEX879.7K684.2K1.1M710.2K1.0M
Net DEX-75.4M-111.6M-37.2M-54.9M-93.9M
Net VEX-373.9K-469.2K-237.1K-457.9K-309.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.951.471.470.95
Total Volume29,359.427,39334,14134,14127,907
Total OI44,952.5544,68145,23044,68145,230

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$55.20$53.0017.6%5.0%26.8%4.9%18.2%1.5%1.7%710.2K-54.9M-457.9K1.47119.72N/AN/A13,80820,33324,33820,343
2016-07-05$54.44$54.0021.3%5.6%27.0%9.6%19.1%6.1%0.2%691.4K-43.8M-469.2K1.47102.54N/AN/A13,80820,33324,33820,343
2016-07-06$54.21$54.0021.4%5.5%26.9%9.7%18.1%3.7%0.8%684.2K-37.2M-458.7K1.4791.14N/AN/A13,80820,33324,33820,343
2016-07-07$54.18$54.0019.6%5.5%26.8%7.4%18.1%5.3%-0.8%684.7K-40.7M-462.1K1.47102.47N/AN/A13,80820,33324,33820,343
2016-07-08$55.02$54.0018.3%4.9%27.3%5.8%17.3%3.3%0.5%723.8K-53.7M-438.9K1.47102.62N/AN/A13,80820,33324,33820,343
2016-07-11$55.58$54.0021.6%4.3%26.4%9.9%17.6%6.8%2.3%742.5K-60.8M-424.5K0.9895.60N/AN/A13,80813,58524,33820,343
2016-07-12$56.29$54.0025.7%4.9%25.8%15.0%16.3%3.5%-1.4%744.4K-72.6M-395.3K0.98101.75N/AN/A13,80813,59524,33820,345
2016-07-13$56.19$54.0017.5%5.0%25.8%4.8%16.4%4.3%-0.2%741.8K-74.5M-387.3K0.98108.36N/AN/A13,80813,59524,33820,355
2016-07-14$56.87$54.0017.0%4.9%25.9%4.2%15.6%2.4%0.6%752.0K-81.7M-373.5K0.98111.61N/AN/A13,80813,59524,33820,355
2016-07-15$56.74$54.0016.4%4.7%25.9%3.5%15.1%3.3%0.3%839.9K-82.4M-363.5K0.95114.36N/AN/A14,30813,59624,33820,365
2016-07-18$57.09$54.0016.1%4.6%25.9%3.1%15.8%0.5%1.0%1.0M-84.5M-354.6K0.95109.55N/AN/A14,30013,58824,83020,365
2016-07-19$56.54$54.0015.9%4.6%26.0%2.6%15.2%2.5%0.5%1.0M-78.5M-370.9K0.95113.92N/AN/A14,30013,58824,83020,367
2016-07-20$57.04$54.0015.4%4.4%26.0%1.9%15.5%1.5%1.0%1.1M-84.7M-355.0K0.95116.96N/AN/A14,31113,58724,83020,367
2016-07-21$56.95$54.0018.9%5.4%26.0%6.3%15.2%2.3%-1.7%1.0M-86.8M-342.0K0.95101.14N/AN/A14,31113,58824,85920,369
2016-07-22$57.24$54.0015.4%4.4%25.3%0.8%16.5%5.7%0.5%1.0M-102.2M-268.5K0.95111.02N/AN/A14,31113,58824,85920,370
2016-07-25$56.81$54.0016.3%4.7%17.1%1.7%16.3%5.6%-0.5%972.2K-83.1M-358.0K0.95112.36N/AN/A14,31113,58824,85920,370
2016-07-26$57.40$54.0016.8%4.8%16.0%2.3%17.2%9.3%-0.3%1.0M-86.6M-335.7K0.95115.95N/AN/A14,31113,58824,85920,370
2016-07-27$57.51$54.0011.6%3.3%14.2%0.0%17.7%6.3%2.9%1.1M-94.6M-316.4K0.95106.59N/AN/A14,31113,58924,85920,370
2016-07-28$57.59$54.0013.0%3.7%13.1%1.7%16.3%5.7%2.4%983.7K-111.6M-237.1K0.95114.52N/AN/A14,31113,58924,85920,371
2016-07-29$57.62$54.0014.8%4.2%12.8%3.9%16.9%3.8%-2.0%1.0M-93.9M-309.7K0.95116.42N/AN/A14,31813,58924,85920,371