AAXJ Options History — February 2017

In February 2017, AAXJ traded between $59.18 and $61.40. ATM implied volatility averaged 63.5%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 56.3% (HV 20d: 7.1%). Max pain ranged from $54.00 to $57.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.15.

Notable Days

  • 2017-02-22: Highest Volume — 56,721 contracts
  • 2017-02-15: Largest IV spike — 631.1% change
  • 2017-02-27: Highest IV Rank — 77.0%
  • 2017-02-27: Largest Expected Move — 26.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.31$59.18$61.40$59.18$60.61
Max Pain$54.16$54.00$57.00$57.00$54.00
ATM IV63.5%9.4%91.4%77.7%71.2%
Expected Move15.7%2.7%26.2%22.3%20.4%
HV 20d7.1%6.2%9.3%9.3%7.1%
HV 60d12.4%11.2%15.5%15.5%11.4%
IV Rank50.6%0.0%77.0%63.4%58.1%
IV Percentile81.3%0.0%99.6%98.4%94.0%
Term Structure-30.5%-81.5%29.1%-81.5%-21.1%
VWIV37.2%11.9%82.5%57.9%82.5%
Skew 25d-13.5%-49.2%40.9%-26.2%-17.5%
Skew 10d1.9%-42.0%71.3%21.4%9.6%
Call IV 25d47.8%11.3%115.6%77.4%115.6%
Put IV 25d34.4%8.2%100.5%51.2%98.1%
Bid-Ask Spread %135.49106.91156.37136.15156.28
Gamma HHI0.880.630.970.970.66
Net GEX-3.0M-4.9M-1.8M-3.4M-3.8M
Net DEX-110.5M-163.3M-57.8M-91.8M-90.8M
Net VEX-622.2K-865.9K-306.2K-787.2K-552.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.151.141.161.161.14
Total Volume56,393.57956,22156,72156,28156,720
Total OI95,272.42191,41196,52096,52091,910

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$59.18$57.0077.7%22.3%9.3%63.4%57.9%-26.2%-81.5%-3.4M-91.8M-787.2K1.16136.15N/AN/A26,05230,22933,19263,328
2017-02-02$59.23$54.0079.8%3.4%9.0%65.4%12.9%3.8%28.0%-2.6M-80.0M-859.2K1.16136.25N/AN/A26,05230,22933,19263,328
2017-02-03$59.49$54.0058.4%3.6%7.5%44.9%14.1%-41.5%29.1%-2.9M-84.4M-865.9K1.16116.64N/AN/A26,05230,22933,19263,328
2017-02-06$59.58$54.009.6%4.0%7.0%0.0%16.3%-5.0%1.7%-2.9M-121.0M-662.3K1.16106.91N/AN/A26,05030,22933,19263,328
2017-02-07$59.29$54.0068.6%3.6%7.4%55.5%17.2%3.2%26.6%-3.1M-99.0M-753.8K1.16121.81N/AN/A26,05030,22933,19063,328
2017-02-08$59.73$54.0012.6%3.6%7.0%2.8%11.9%-2.1%1.4%-3.5M-139.2M-519.9K1.16128.13N/AN/A26,05030,22933,19063,328
2017-02-09$59.99$54.0064.7%18.6%6.7%51.9%40.7%-20.4%-34.4%-2.8M-77.5M-841.9K1.16137.76N/AN/A26,05030,22933,19063,328
2017-02-10$60.23$54.0068.0%19.5%6.7%54.9%30.9%-6.3%-39.3%-3.7M-111.3M-686.6K1.16134.22N/AN/A26,05030,22933,17963,328
2017-02-13$60.52$54.0068.8%19.7%6.8%55.7%36.9%1.2%-33.9%-2.6M-149.5M-343.3K1.16141.65N/AN/A26,05730,22933,17963,328
2017-02-14$60.39$54.009.4%2.7%6.8%0.0%33.0%-2.7%26.5%-1.8M-163.3M-378.3K1.16135.16N/AN/A26,05830,22933,18663,328
2017-02-15$60.87$54.0068.6%19.7%6.9%55.6%34.8%-33.1%-33.7%-2.6M-109.9M-716.5K1.16141.84N/AN/A26,04830,22933,18763,328
2017-02-16$60.73$54.0073.1%21.0%6.8%59.9%15.9%-34.3%-67.8%-2.4M-150.2M-488.1K1.16136.09N/AN/A26,04830,22933,18963,328
2017-02-17$60.54$54.0073.8%21.2%7.1%60.5%15.7%-27.9%-38.0%-2.7M-129.1M-627.2K1.16115.87N/AN/A26,06030,22933,18963,328
2017-02-21$61.09$54.0064.9%18.6%6.8%52.2%48.3%-8.4%-74.2%-2.5M-115.3M-612.9K1.16141.48N/AN/A26,04230,17933,13363,278
2017-02-22$61.28$54.0080.5%23.1%6.5%66.8%44.1%13.2%-71.9%-2.8M-57.8M-819.1K1.14147.28N/AN/A26,54230,17928,13363,278
2017-02-23$61.40$54.0080.7%23.1%6.2%67.0%51.0%-49.2%-66.4%-4.9M-104.1M-306.2K1.14146.76N/AN/A26,54230,17928,63363,278
2017-02-24$60.94$54.0084.5%24.2%7.0%70.6%70.7%40.9%-54.1%-2.8M-105.3M-562.6K1.14156.37N/AN/A26,54230,17928,63363,278
2017-02-27$60.76$54.0091.4%26.2%7.1%77.0%72.2%-44.1%-76.1%-3.0M-120.3M-438.0K1.14137.65N/AN/A26,54130,17928,63363,278
2017-02-28$60.61$54.0071.2%20.4%7.1%58.1%82.5%-17.5%-21.1%-3.8M-90.8M-552.4K1.14156.28N/AN/A26,54130,17928,63263,278