AAXJ Options History — October 2016

In October 2016, AAXJ traded between $58.89 and $61.23. ATM implied volatility averaged 17.4%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.2% (HV 20d: 17.2%). Max pain ranged from $57.00 to $62.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2016-10-28: Highest Volume — 3,179 contracts
  • 2016-10-11: Largest IV spike — 15.3% change
  • 2016-10-31: Highest IV Rank — 40.6%
  • 2016-10-31: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.94$58.89$61.23$60.84$58.97
Max Pain$58.90$57.00$62.00$57.00$59.00
ATM IV17.4%15.5%20.5%16.2%20.5%
Expected Move5.1%4.6%5.9%4.7%5.9%
HV 20d17.2%13.9%21.3%21.3%13.9%
HV 60d15.5%14.8%16.0%14.9%15.8%
IV Rank26.2%17.9%40.6%21.0%40.6%
IV Percentile25.9%13.1%55.6%17.5%55.6%
Term Structure-0.0%-2.2%2.3%1.7%-2.2%
VWIV21.3%16.0%55.6%55.6%20.9%
Skew 25d3.9%3.3%4.8%4.0%4.7%
Skew 10d6.3%4.2%9.0%7.1%6.7%
Call IV 25d16.1%14.2%18.6%14.8%18.6%
Put IV 25d20.0%17.8%23.4%18.8%23.4%
Bid-Ask Spread %75.2516.20100.4838.0189.51
Gamma HHI0.880.800.920.840.87
Net GEX1.0M837.3K1.2M875.8K1.1M
Net DEX-49.3M-59.0M-43.0M-55.1M-44.5M
Net VEX-66.3K-84.5K-50.1K-76.4K-60.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.811.420.811.06
Total Volume2,329.193363,1794393,179
Total OI19,665.38117,83520,63017,83820,614

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$60.84$57.0016.2%4.7%21.3%21.0%55.6%4.0%1.7%875.8K-55.1M-76.4K0.8138.01N/AN/A24319610,8936,945
2016-10-04$60.31$57.0017.9%5.1%20.0%28.8%16.0%4.2%1.3%881.6K-53.0M-84.5K0.8129.20N/AN/A24319710,8936,945
2016-10-05$60.97$57.0016.1%4.6%20.4%20.6%53.1%3.6%2.3%852.5K-56.2M-74.8K0.8152.74N/AN/A24319710,8936,946
2016-10-06$61.06$0.0016.1%5.3%20.4%20.7%17.7%3.4%-0.3%838.9K-56.6M-68.7K1.4216.20N/AN/A13919710,8936,946
2016-10-07$60.75$62.0015.5%5.1%18.2%17.9%17.0%4.6%-0.0%879.7K-55.6M-74.3K1.4261.41N/AN/A13919710,8966,946
2016-10-10$61.23$62.0015.8%5.2%18.3%19.1%17.2%4.3%-0.1%837.3K-59.0M-50.4K1.4262.96N/AN/A13919710,8966,946
2016-10-11$59.68$62.0018.2%5.4%18.6%30.0%16.5%4.4%-0.4%970.7K-52.1M-80.1K1.0478.01N/AN/A1,4941,54710,8896,946
2016-10-12$59.68$62.0018.7%5.4%18.5%32.2%16.0%4.8%-0.4%985.3K-44.8M-75.7K1.0476.78N/AN/A1,4941,54712,2448,296
2016-10-13$59.08$62.0019.6%5.6%17.8%36.1%17.2%3.8%-0.8%1.0M-43.0M-82.5K1.0480.62N/AN/A1,4941,54712,2448,296
2016-10-14$59.19$58.0018.9%5.4%17.7%33.3%19.3%4.1%-0.6%1.1M-43.7M-82.2K0.9881.30N/AN/A1,5741,54712,3248,296
2016-10-17$59.02$58.0018.6%5.3%17.5%31.8%18.9%4.0%-0.5%1.1M-44.0M-73.6K0.9883.98N/AN/A1,5741,54712,3248,296
2016-10-18$59.90$58.0017.5%5.0%18.3%26.8%18.8%3.4%-0.4%1.0M-47.6M-60.7K0.9880.20N/AN/A1,5841,54712,3248,296
2016-10-19$60.23$58.0016.8%4.8%16.3%23.8%17.9%3.3%0.0%1.0M-48.6M-57.4K0.9884.13N/AN/A1,5841,54712,3348,296
2016-10-20$59.98$58.0016.2%4.7%16.2%21.1%17.4%3.7%0.4%1.1M-48.3M-58.3K0.9987.36N/AN/A1,5551,54712,3348,296
2016-10-21$59.90$58.0015.9%4.6%15.5%19.7%17.3%3.6%0.5%1.1M-47.9M-57.9K0.9992.83N/AN/A1,5591,54712,3348,296
2016-10-24$60.17$58.0016.1%4.6%14.9%20.3%17.3%3.3%0.1%1.1M-49.2M-50.5K1.0096.68N/AN/A1,5431,54512,2298,294
2016-10-25$60.16$58.0016.0%4.6%14.3%20.1%17.3%3.8%0.2%1.0M-49.2M-50.1K1.00100.48N/AN/A1,5431,54512,2298,294
2016-10-26$59.62$58.0016.6%4.8%14.3%22.9%18.2%3.9%0.0%1.1M-46.9M-55.1K1.0092.50N/AN/A1,5431,54512,2298,294
2016-10-27$59.14$58.0017.9%5.1%14.1%28.6%18.3%3.8%-0.3%1.2M-45.8M-56.0K1.0397.19N/AN/A1,5431,58612,2298,294
2016-10-28$58.89$58.0019.2%5.5%14.0%34.5%19.4%3.3%-0.9%1.2M-44.3M-62.0K1.0698.06N/AN/A1,5431,63612,2298,335
2016-10-31$58.97$59.0020.5%5.9%13.9%40.6%20.9%4.7%-2.2%1.1M-44.5M-60.2K1.0689.51N/AN/A1,5431,63612,2298,385