AAXJ Options History — November 2016

In November 2016, AAXJ traded between $55.18 and $59.54. ATM implied volatility averaged 43.6%, placing in the 63.5% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 26.1% (HV 20d: 17.6%). Max pain ranged from $50.00 to $59.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2016-11-16: Highest Volume — 50,368 contracts
  • 2016-11-22: Largest IV spike — 268.1% change
  • 2016-11-15: Highest IV Rank — 100.0%
  • 2016-11-23: Largest Expected Move — 25.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.94$55.18$59.54$58.81$57.14
Max Pain$50.86$50.00$59.00$59.00$50.00
ATM IV43.6%17.1%88.0%23.0%71.2%
Expected Move12.2%4.9%25.2%6.6%20.4%
HV 20d17.6%13.1%20.0%13.7%20.0%
HV 60d17.6%15.7%18.6%15.8%17.8%
IV Rank63.5%7.8%100.0%51.8%78.0%
IV Percentile80.6%25.8%100.0%78.6%98.4%
Term Structure-1.9%-49.4%42.5%-3.2%13.2%
VWIV56.0%17.9%112.5%23.2%46.7%
Skew 25d-1.6%-101.6%6.5%4.3%1.9%
Skew 10d4.0%-118.0%98.0%8.6%98.0%
Call IV 25d59.7%15.2%140.2%21.4%140.2%
Put IV 25d58.1%21.0%142.1%25.7%142.1%
Bid-Ask Spread %118.0456.17166.4289.60166.42
Gamma HHI0.880.860.940.870.86
Net GEX962.4K362.3K1.8M1.1M362.3K
Net DEX-50.1M-74.0M-29.3M-43.0M-68.9M
Net VEX-508.0K-1.1M-47.6K-64.3K-999.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.061.061.060.06
Total Volume18,366.2383,17550,3683,17929,320
Total OI51,622.52420,58088,36320,61486,950

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$58.81$59.0023.0%6.6%13.7%51.8%23.2%4.3%-3.2%1.1M-43.0M-64.3K1.0689.60N/AN/A1,5431,63612,2298,385
2016-11-02$58.36$59.0024.5%7.0%13.1%58.6%23.5%4.2%-4.2%1.2M-41.3M-64.0K1.06103.26N/AN/A1,5431,63612,2298,385
2016-11-03$57.99$50.0026.6%6.2%13.1%68.2%49.7%6.5%-2.2%1.1M-38.7M-74.3K1.0665.00N/AN/A1,5431,63612,2298,385
2016-11-04$57.63$50.0026.6%6.1%13.1%67.9%29.9%5.9%-2.2%1.2M-37.9M-73.4K1.0656.17N/AN/A1,5431,63612,2298,385
2016-11-07$59.02$50.0025.6%5.7%15.8%63.7%29.8%5.6%-1.4%1.1M-44.5M-55.2K1.0672.28N/AN/A1,5431,63612,2298,385
2016-11-08$59.54$50.0024.3%5.4%13.4%57.8%28.2%5.0%-1.5%1.1M-46.7M-48.2K1.0667.97N/AN/A1,5391,63612,2298,385
2016-11-09$57.74$50.0018.1%5.2%17.3%29.5%24.8%4.6%-0.0%1.5M-42.3M-47.6K1.0672.52N/AN/A1,5391,63612,2318,385
2016-11-10$56.63$50.0020.9%6.0%18.2%42.2%40.8%5.5%-1.7%1.3M-34.5M-67.0K1.0678.22N/AN/A1,5391,63612,1958,385
2016-11-11$55.69$50.0022.3%6.4%18.8%48.6%31.3%5.6%-2.5%1.2M-29.3M-73.6K1.0674.41N/AN/A1,5391,63612,1958,385
2016-11-14$55.18$50.0022.6%6.5%18.9%50.1%23.0%0.4%-2.9%1.3M-30.1M-53.2K1.02131.91N/AN/A6,6266,74012,1958,385
2016-11-15$56.04$50.0051.4%14.7%19.0%100.0%83.0%1.3%11.2%517.5K-37.1M-401.6K0.26155.54N/AN/A6,6261,74225,07121,289
2016-11-16$55.63$50.0081.9%23.5%18.8%100.0%91.9%-1.8%-41.5%363.4K-34.4M-408.4K0.82160.33N/AN/A27,62622,74225,07121,292
2016-11-17$55.80$50.0082.5%23.6%18.9%100.0%89.4%4.5%-49.4%796.9K-74.0M-1.0M0.82155.33N/AN/A27,62622,74246,07142,292
2016-11-18$55.76$50.0017.3%4.9%19.0%8.0%20.5%5.0%0.4%1.6M-61.1M-1.0M0.07115.77N/AN/A27,6261,82046,07142,292
2016-11-21$55.86$50.0017.1%4.9%18.8%7.8%17.9%5.8%42.5%1.8M-66.0M-996.8K0.06112.86N/AN/A27,5361,77045,31741,620
2016-11-22$56.58$50.0062.8%18.0%19.7%72.3%98.9%0.1%14.4%383.9K-63.7M-1.1M0.06160.01N/AN/A27,5361,77345,31741,620
2016-11-23$56.20$50.0088.0%25.2%19.6%100.0%100.1%0.7%-35.8%468.3K-54.5M-1.0M0.06166.31N/AN/A27,5361,77345,31741,623
2016-11-25$56.56$50.0066.6%19.1%19.8%72.0%100.0%0.9%7.5%674.1K-68.3M-1.0M0.06149.76N/AN/A27,5361,77345,31741,623
2016-11-28$56.70$50.0069.9%20.0%19.8%76.3%110.8%-101.6%12.3%486.5K-67.9M-1.0M0.06165.03N/AN/A27,5361,77345,31741,623
2016-11-29$56.89$50.0073.1%20.9%19.9%80.4%112.5%1.5%7.5%507.8K-68.5M-1.0M0.06160.08N/AN/A27,5451,77345,31741,623
2016-11-30$57.14$50.0071.2%20.4%20.0%78.0%46.7%1.9%13.2%362.3K-68.9M-999.0K0.06166.42N/AN/A27,5471,77345,32741,623