AAXJ Options History — September 2016

In September 2016, AAXJ traded between $58.23 and $61.52. ATM implied volatility averaged 17.5%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 0.0% (HV 20d: 17.5%). Max pain ranged from $53.00 to $62.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 22.01.

Notable Days

  • 2016-09-12: Highest Volume — 14,081 contracts
  • 2016-09-13: Largest IV spike — 45.7% change
  • 2016-09-13: Highest IV Rank — 77.8%
  • 2016-09-13: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.11$58.23$61.52$59.01$60.64
Max Pain$58.88$53.00$62.00$53.00$57.00
ATM IV17.5%13.4%28.7%16.0%15.9%
Expected Move4.9%3.9%6.1%4.6%4.6%
HV 20d17.5%10.6%21.7%10.8%21.7%
HV 60d17.0%15.0%19.1%17.8%15.2%
IV Rank26.5%7.4%77.8%17.6%19.6%
IV Percentile23.5%2.8%94.0%11.9%14.3%
Term Structure0.6%-1.2%2.0%1.9%2.0%
VWIV16.0%12.6%19.1%14.9%14.1%
Skew 25d4.0%2.5%6.0%4.5%3.9%
Skew 10d5.9%4.4%11.3%10.7%7.1%
Call IV 25d15.5%9.4%18.7%13.7%14.8%
Put IV 25d19.5%15.4%22.2%18.2%18.7%
Bid-Ask Spread %36.1717.87100.2790.5027.00
Gamma HHI0.740.490.870.560.84
Net GEX959.5K800.6K1.4M1.2M875.5K
Net DEX-92.1M-141.6M-49.9M-129.2M-54.0M
Net VEX-98.3K-124.1K-73.5K-122.8K-84.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio22.010.6146.4746.470.81
Total Volume7,575.66742714,08114,003439
Total OI31,663.52417,74945,32745,32717,838

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$59.01$53.0016.0%4.6%10.8%17.6%14.9%4.5%1.9%1.2M-129.2M-122.8K46.4790.50N/AN/A29513,70824,84020,487
2016-09-02$59.72$53.0013.4%3.9%10.6%7.4%13.7%6.0%2.0%1.1M-133.6M-111.7K46.47100.27N/AN/A29513,70824,84020,487
2016-09-06$61.08$0.0014.6%4.3%13.0%12.2%0.0%2.5%0.5%974.3K-141.6M-87.5K46.4748.33N/AN/A29513,70824,84020,487
2016-09-07$61.09$0.0014.3%4.3%12.9%12.4%0.0%3.9%1.6%801.3K-132.0M-88.4K46.4762.09N/AN/A29513,70823,34020,487
2016-09-08$61.00$0.0014.9%4.5%12.9%15.0%0.0%3.8%0.8%824.6K-131.9M-87.9K46.4762.51N/AN/A29513,70823,34020,487
2016-09-09$59.47$0.0020.3%5.4%15.6%39.7%16.2%4.4%-0.1%1.1M-123.1M-116.0K38.6127.71N/AN/A35513,70823,34020,487
2016-09-12$59.66$62.0019.7%5.2%15.6%37.0%16.5%4.4%-0.1%1.1M-124.5M-105.9K36.7518.73N/AN/A37313,70823,40020,487
2016-09-13$58.23$62.0028.7%6.1%17.3%77.8%17.2%3.5%-1.2%1.3M-115.9M-124.1K36.7521.23N/AN/A37313,70823,40020,487
2016-09-14$58.63$62.0020.4%5.9%17.5%40.0%17.7%3.8%-0.9%1.4M-118.0M-123.7K36.7519.84N/AN/A37313,70823,40020,487
2016-09-15$59.67$62.0018.9%5.4%18.6%33.0%17.3%4.3%-0.1%987.9K-124.2M-111.9K36.7519.06N/AN/A37313,70823,40020,487
2016-09-16$59.30$62.0019.6%5.6%18.5%36.4%16.7%4.5%-0.3%855.1K-122.5M-112.8K36.7521.08N/AN/A37313,70823,40020,487
2016-09-19$59.67$62.0018.6%5.3%18.5%31.7%16.9%4.0%-0.1%837.1K-49.9M-101.6K0.6618.88N/AN/A29519510,8056,944
2016-09-20$59.80$62.0018.5%5.3%18.1%31.6%16.6%4.4%-0.2%861.5K-50.2M-101.0K0.6617.87N/AN/A29519510,8056,944
2016-09-21$61.21$62.0016.2%4.6%19.8%20.8%14.6%3.5%-0.2%816.7K-56.3M-73.5K0.6130.24N/AN/A32119510,8056,944
2016-09-22$61.52$57.0014.7%4.2%19.8%14.0%17.6%2.7%1.5%800.6K-57.3M-79.6K0.7132.49N/AN/A27419510,8716,944
2016-09-23$60.65$57.0015.6%4.5%20.6%18.0%12.6%4.1%0.6%859.7K-54.6M-81.9K0.7123.20N/AN/A27419510,8826,944
2016-09-26$59.91$57.0017.3%5.0%21.0%25.9%19.1%3.5%0.8%897.5K-51.6M-96.4K0.8432.41N/AN/A23219510,8826,944
2016-09-27$60.60$57.0015.9%4.5%21.3%19.4%14.5%3.9%1.3%902.0K-53.9M-86.3K0.8427.76N/AN/A23219610,8796,944
2016-09-28$61.05$57.0015.3%4.4%21.4%16.7%13.1%3.3%1.7%853.7K-56.1M-78.6K0.8128.78N/AN/A24319610,8796,945
2016-09-29$60.38$57.0018.3%5.2%21.7%30.3%18.9%4.5%0.8%868.6K-52.8M-87.5K0.8129.62N/AN/A24319610,8936,945
2016-09-30$60.64$57.0015.9%4.6%21.7%19.6%14.1%3.9%2.0%875.5K-54.0M-84.9K0.8127.00N/AN/A24319610,8936,945