AAXJ Options History — November 2017

In November 2017, AAXJ traded between $75.22 and $78.39. ATM implied volatility averaged 13.8%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.0% (HV 20d: 10.7%). Max pain ranged from $70.00 to $73.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 139.32.

Notable Days

  • 2017-11-22: Highest Volume — 56,456 contracts
  • 2017-11-29: Largest IV spike — 20.1% change
  • 2017-11-29: Highest IV Rank — 8.0%
  • 2017-11-29: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.58$75.22$78.39$75.92$75.62
Max Pain$70.14$70.00$73.00$73.00$70.00
ATM IV13.8%12.3%16.2%13.1%15.5%
Expected Move4.0%3.5%4.6%3.8%4.4%
HV 20d10.7%9.3%13.8%9.9%13.8%
HV 60d10.9%10.0%12.1%12.1%11.9%
IV Rank5.7%4.4%8.0%5.1%7.3%
IV Percentile41.7%27.0%56.3%35.3%55.6%
Term Structure0.7%-2.3%2.7%0.7%-1.1%
VWIV17.2%12.4%23.3%15.4%17.6%
Skew 25d3.8%1.7%19.2%2.9%1.7%
Skew 10d5.8%-15.2%10.6%8.2%7.9%
Call IV 25d12.9%11.4%16.4%12.3%14.8%
Put IV 25d16.6%14.2%35.6%15.2%16.5%
Bid-Ask Spread %58.8321.90106.9264.59100.97
Gamma HHI0.290.270.360.330.31
Net GEX46.3M34.0M58.7M34.0M58.7M
Net DEX-555.8M-729.4M-422.4M-464.3M-479.6M
Net VEX-947.7K-1.2M-656.9K-1.2M-878.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio139.322.97243.23216.332.97
Total Volume46,492.95236,34256,45642,38052,434
Total OI227,894.952207,461246,724207,461246,724

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$75.92$73.0013.1%3.8%9.9%5.1%15.4%2.9%0.7%34.0M-464.3M-1.2M216.3364.59N/AN/A19542,18599,945107,516
2017-11-02$76.11$70.0012.6%3.9%9.7%4.6%17.9%3.4%1.5%35.8M-474.9M-1.1M217.4570.72N/AN/A19442,18599,948107,636
2017-11-03$75.89$70.0012.3%4.0%9.4%4.4%16.4%3.3%1.0%38.3M-481.1M-1.0M217.3734.36N/AN/A19442,17099,958107,636
2017-11-06$76.47$70.0013.5%4.0%9.7%5.5%18.5%3.5%1.3%43.0M-528.6M-1.1M205.7161.33N/AN/A20542,170114,958107,645
2017-11-07$76.17$70.0013.9%4.0%9.4%5.9%18.6%3.6%1.0%44.7M-512.9M-1.1M201.7723.29N/AN/A20942,170114,970107,645
2017-11-08$76.50$70.0013.6%3.9%9.5%5.6%17.9%2.9%1.2%46.5M-539.7M-1.1M206.7224.14N/AN/A20442,170114,974107,645
2017-11-09$76.11$70.0014.0%4.0%9.7%6.0%18.7%3.5%1.0%45.3M-495.4M-1.1M153.9164.06N/AN/A27442,171114,959107,645
2017-11-10$76.08$70.0014.1%4.0%9.4%6.0%17.1%3.3%1.3%47.6M-515.3M-1.0M152.2461.99N/AN/A27742,171114,959107,646
2017-11-13$76.06$70.0014.1%4.0%9.3%6.1%19.3%3.8%1.3%48.0M-506.5M-1.0M218.5221.90N/AN/A19342,174114,962107,646
2017-11-14$75.64$70.0014.1%4.0%9.4%6.0%17.1%3.7%1.5%50.0M-479.2M-949.6K223.1222.16N/AN/A18942,169114,960107,650
2017-11-15$75.22$70.0015.0%4.3%9.5%6.9%19.6%4.0%1.2%47.7M-422.4M-1.0M221.9449.95N/AN/A19042,169114,959107,649
2017-11-16$76.68$70.0013.8%4.0%11.0%5.8%19.9%3.1%1.9%47.9M-564.3M-906.5K243.2323.72N/AN/A19046,213114,956107,649
2017-11-17$76.72$70.0012.3%3.5%10.9%4.4%15.5%3.3%2.7%51.0M-580.2M-902.6K183.8723.91N/AN/A19736,223114,956111,693
2017-11-20$77.12$70.0013.7%3.9%10.7%5.6%14.8%2.0%0.2%50.0M-616.7M-805.0K233.4698.24N/AN/A15536,187114,907111,614
2017-11-21$78.29$70.0013.4%3.8%11.6%5.4%15.3%1.8%-0.2%42.8M-716.9M-656.9K4.5593.45N/AN/A10,15146,190114,902111,617
2017-11-22$78.39$70.0013.8%3.9%11.5%5.7%14.6%1.7%-0.4%40.2M-728.9M-801.1K4.50100.82N/AN/A10,26246,194124,902121,620
2017-11-24$78.28$70.0012.6%3.6%11.5%4.7%12.4%2.8%0.3%43.8M-729.4M-748.0K4.5095.39N/AN/A10,26246,187125,015121,631
2017-11-27$77.03$70.0013.9%4.0%12.8%5.9%15.9%2.8%0.3%50.4M-629.8M-804.0K4.5255.56N/AN/A10,21946,208125,015121,634
2017-11-28$77.51$70.0013.5%3.9%12.6%5.5%15.0%3.0%0.3%48.4M-660.6M-785.6K4.5237.86N/AN/A10,21946,208125,065121,659
2017-11-29$76.32$70.0016.2%4.6%13.7%8.0%23.3%19.2%-2.3%57.0M-545.6M-830.0K4.52106.92N/AN/A10,21746,208125,065121,659
2017-11-30$75.62$70.0015.5%4.4%13.8%7.3%17.6%1.7%-1.1%58.7M-479.6M-878.3K2.97100.97N/AN/A13,21639,218125,065121,659