AAXJ Options History — September 2017

In September 2017, AAXJ traded between $71.44 and $73.82. ATM implied volatility averaged 11.6%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 0.2% (HV 20d: 11.5%). Max pain ranged from $63.00 to $75.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 103.80.

Notable Days

  • 2017-09-28: Highest Volume — 72,396 contracts
  • 2017-09-05: Largest IV spike — 30.5% change
  • 2017-09-25: Highest IV Rank — 5.5%
  • 2017-09-05: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.48$71.44$73.82$72.41$72.27
Max Pain$71.65$63.00$75.00$63.00$73.00
ATM IV11.6%10.2%13.5%10.2%12.2%
Expected Move3.4%2.9%4.0%2.9%3.5%
HV 20d11.5%9.6%14.4%13.5%12.4%
HV 60d11.8%11.5%12.1%11.8%11.9%
IV Rank3.8%2.5%5.5%2.5%4.3%
IV Percentile17.9%4.4%31.0%4.4%24.2%
Term Structure1.4%0.6%2.4%2.0%0.9%
VWIV12.6%9.4%15.8%13.0%14.3%
Skew 25d3.2%2.7%3.8%3.0%3.3%
Skew 10d8.4%4.5%10.5%7.0%9.6%
Call IV 25d10.7%8.1%12.5%8.1%10.8%
Put IV 25d14.0%11.1%16.0%11.1%14.2%
Bid-Ask Spread %88.1069.39112.17112.1796.73
Gamma HHI0.510.290.590.590.29
Net GEX15.7M11.7M21.5M17.4M21.5M
Net DEX-135.4M-213.4M-61.9M-141.6M-113.3M
Net VEX-1.5M-1.9M-1.4M-1.5M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio103.801.39202.4590.131.39
Total Volume26,370.8510,20772,39610,20772,378
Total OI146,005.1132,193209,397132,193209,397

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$72.41$63.0010.2%2.9%13.5%2.5%13.0%3.0%2.0%17.4M-141.6M-1.5M90.13112.17N/AN/A11210,09569,60162,592
2017-09-05$71.44$70.0013.3%4.0%14.4%5.3%13.1%3.5%0.6%14.6M-91.6M-1.5M89.3469.39N/AN/A11310,09569,60162,596
2017-09-06$71.73$70.0011.1%3.6%14.4%3.3%12.6%3.4%0.9%16.6M-104.3M-1.5M89.3472.85N/AN/A11310,09569,60262,596
2017-09-07$72.18$70.0011.0%3.6%14.2%3.2%12.4%3.6%1.1%17.2M-125.8M-1.5M89.3473.85N/AN/A11310,09569,60262,596
2017-09-08$71.93$70.0011.6%3.6%10.4%3.7%12.8%3.3%1.1%16.5M-114.0M-1.5M70.1083.53N/AN/A14410,09569,60262,596
2017-09-11$72.93$70.0011.2%3.4%11.2%3.3%12.5%3.2%1.3%17.6M-171.3M-1.4M200.7578.01N/AN/A12525,09469,63562,596
2017-09-12$72.82$70.0010.5%3.3%10.8%2.7%12.1%3.1%1.4%14.8M-148.3M-1.6M197.5984.98N/AN/A12725,09469,63677,596
2017-09-13$72.53$70.0010.5%3.0%11.0%2.7%9.5%3.3%2.2%16.6M-124.2M-1.6M197.6788.22N/AN/A12725,10469,63677,596
2017-09-14$72.60$75.0010.5%3.0%10.7%2.8%9.4%2.7%2.4%15.7M-129.9M-1.6M197.6785.92N/AN/A12725,10469,63677,606
2017-09-15$73.12$75.0010.6%3.0%9.7%2.8%10.0%3.1%2.2%17.1M-179.3M-1.4M202.4587.03N/AN/A12425,10469,63677,606
2017-09-18$73.82$73.0011.0%3.2%9.9%3.2%12.3%2.7%1.6%14.3M-197.0M-1.5M83.1787.13N/AN/A30225,11869,56977,590
2017-09-19$73.78$73.0011.3%3.2%10.0%3.5%12.7%2.9%1.5%15.9M-213.4M-1.4M82.0881.88N/AN/A30625,11869,79277,618
2017-09-20$73.44$73.0011.6%3.3%9.6%3.7%12.4%3.3%1.3%16.0M-192.7M-1.4M82.0888.13N/AN/A30625,11869,79677,618
2017-09-21$73.50$73.0012.0%3.5%9.6%4.1%12.5%3.1%1.4%16.2M-203.4M-1.4M79.2488.55N/AN/A31725,11869,79677,618
2017-09-22$72.95$73.0012.1%3.5%10.0%4.2%12.6%3.8%1.2%15.6M-163.9M-1.4M79.2494.43N/AN/A31725,11869,80777,618
2017-09-25$71.63$73.0013.5%3.9%12.0%5.5%15.8%3.5%0.8%11.7M-79.8M-1.5M79.2995.24N/AN/A31725,13469,80777,618
2017-09-26$71.57$73.0012.6%3.6%11.8%4.6%14.4%3.2%1.5%12.6M-80.2M-1.5M79.3299.26N/AN/A31725,14569,80777,639
2017-09-27$71.51$73.0012.6%3.6%11.8%4.7%14.4%3.4%1.3%13.2M-72.5M-1.4M84.33100.86N/AN/A32127,07169,80777,650
2017-09-28$71.46$73.0013.1%3.8%11.8%5.1%13.0%3.1%0.9%14.0M-61.9M-1.4M1.3993.89N/AN/A30,32442,07269,81679,576
2017-09-29$72.27$73.0012.2%3.5%12.4%4.3%14.3%3.3%0.9%21.5M-113.3M-1.9M1.3996.73N/AN/A30,30642,07299,820109,577