AAXJ Options History — January 2017

In January 2017, AAXJ traded between $55.43 and $59.03. ATM implied volatility averaged 30.1%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 17.0% (HV 20d: 13.1%). Max pain ranged from $56.00 to $60.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2017-01-19: Highest Volume — 58,336 contracts
  • 2017-01-09: Largest IV spike — 316.4% change
  • 2017-01-10: Highest IV Rank — 56.9%
  • 2017-01-03: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.68$55.43$59.03$55.43$59.03
Max Pain$57.16$56.00$60.00$60.00$57.00
ATM IV30.1%14.0%70.9%51.6%48.1%
Expected Move7.8%4.0%14.8%14.8%13.8%
HV 20d13.1%9.6%16.7%15.2%9.6%
HV 60d15.8%15.5%16.5%16.1%15.6%
IV Rank17.8%2.3%56.9%38.4%35.0%
IV Percentile48.3%4.8%97.2%94.4%91.7%
Term Structure-8.5%-41.7%5.1%-17.8%-41.7%
VWIV24.4%8.6%49.1%28.1%49.1%
Skew 25d-0.0%-66.3%24.9%18.7%1.9%
Skew 10d7.2%-16.0%36.5%19.5%7.0%
Call IV 25d34.1%10.3%109.3%109.3%67.6%
Put IV 25d34.0%11.9%128.0%128.0%69.6%
Bid-Ask Spread %128.99102.00166.58166.58138.19
Gamma HHI0.790.330.980.360.98
Net GEX-2.7M-4.9M-34.9K-34.9K-4.9M
Net DEX-70.0M-118.6M-31.7M-31.7M-118.6M
Net VEX-855.6K-1.0M-599.9K-843.7K-599.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.041.160.041.16
Total Volume50,078.5528,23258,33628,23256,281
Total OI88,709.568,46798,54268,46796,505

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$55.43$60.0051.6%14.8%15.2%38.4%28.1%18.7%-17.8%-34.9K-31.7M-843.7K0.04166.58N/AN/A27,0331,19934,12334,344
2017-01-04$56.00$60.0019.1%5.5%15.6%7.2%17.9%4.2%-0.3%-75.5K-47.1M-810.7K0.04149.76N/AN/A27,0351,19934,12534,344
2017-01-05$56.92$0.0014.2%4.6%16.7%2.5%15.4%3.8%0.3%-90.5K-64.5M-777.4K0.04102.00N/AN/A27,0461,19934,12734,344
2017-01-06$56.63$58.0015.3%8.0%15.9%3.6%14.9%6.9%-22.5%-87.0K-59.3M-782.4K0.04115.88N/AN/A27,0461,19934,13834,344
2017-01-09$56.64$58.0063.6%9.8%15.9%49.9%43.1%8.0%-10.4%-40.5K-53.9M-793.0K0.04143.88N/AN/A27,0461,19934,13834,344
2017-01-10$57.24$58.0070.9%7.4%16.2%56.9%26.5%24.9%5.1%-42.6K-86.6M-706.7K1.15132.46N/AN/A27,07031,19934,13834,344
2017-01-11$57.71$56.0014.4%4.1%15.9%2.7%13.5%5.0%0.2%-4.1M-46.9M-1.0M1.15119.80N/AN/A27,07431,21134,16264,344
2017-01-12$57.72$56.0016.3%4.7%15.2%4.5%15.9%2.1%1.0%-3.6M-53.3M-1.0M1.15130.53N/AN/A27,07331,21134,18464,354
2017-01-13$57.81$56.0014.7%4.2%12.9%3.0%13.1%4.1%1.3%-3.9M-53.1M-994.8K1.15127.14N/AN/A27,07531,21134,18664,354
2017-01-17$57.68$56.0014.1%4.0%12.9%2.4%14.6%4.1%1.2%-3.8M-53.0M-985.4K1.15105.25N/AN/A27,07531,21134,18864,354
2017-01-18$57.58$56.0014.6%4.2%12.6%2.9%15.6%5.3%0.9%-3.7M-48.9M-1.0M1.15113.23N/AN/A27,07531,21134,18664,354
2017-01-19$57.43$56.0049.9%14.3%12.5%36.7%45.5%-0.3%-37.4%-3.6M-55.6M-1.0M1.15165.26N/AN/A27,07531,26134,18663,354
2017-01-20$57.46$57.0015.2%4.3%12.4%3.4%13.7%5.8%-0.3%-4.0M-49.8M-1.0M1.15115.50N/AN/A27,07431,26134,18663,404
2017-01-23$58.10$57.0014.0%4.0%11.2%2.3%14.2%4.1%1.4%-4.2M-76.2M-879.0K1.16108.70N/AN/A26,05830,22933,17863,328
2017-01-24$58.57$57.0043.9%12.6%10.1%31.0%8.6%-35.4%-1.2%-4.0M-103.6M-759.4K1.16159.29N/AN/A26,05830,22933,17863,328
2017-01-25$59.03$57.0027.7%7.9%10.2%15.5%47.7%7.7%-33.4%-4.0M-114.9M-679.0K1.16116.34N/AN/A26,05830,22933,17863,328
2017-01-26$58.96$57.0014.0%4.0%10.3%2.3%15.7%0.8%-3.6%-3.3M-95.3M-841.7K1.16118.72N/AN/A26,05830,22933,17863,328
2017-01-27$58.91$57.0049.1%14.1%10.4%35.9%25.5%-66.3%-3.3%-3.6M-107.1M-760.1K1.16124.84N/AN/A26,05830,22933,17863,328
2017-01-30$58.79$57.0031.4%9.0%9.9%19.1%48.6%-6.0%-9.5%-3.6M-81.0M-849.5K1.16126.44N/AN/A26,05830,22933,17863,328
2017-01-31$59.03$57.0048.1%13.8%9.6%35.0%49.1%1.9%-41.7%-4.9M-118.6M-599.9K1.16138.19N/AN/A26,05230,22933,17763,328