AAXJ Options History — December 2017

In December 2017, AAXJ traded between $73.90 and $76.25. ATM implied volatility averaged 13.4%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 1.4% (HV 20d: 14.8%). Max pain ranged from $70.00 to $80.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.85.

Notable Days

  • 2017-12-14: Highest Volume — 56,778 contracts
  • 2017-12-28: Largest IV spike — 81.4% change
  • 2017-12-06: Highest IV Rank — 12.8%
  • 2017-12-04: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.26$73.90$76.25$75.14$76.25
Max Pain$74.80$70.00$80.00$70.00$74.00
ATM IV13.4%6.3%21.4%15.9%12.3%
Expected Move3.6%1.8%4.7%4.6%3.5%
HV 20d14.8%13.2%16.4%14.0%13.2%
HV 60d12.3%11.6%12.6%11.9%12.3%
IV Rank5.8%0.0%12.8%7.7%6.2%
IV Percentile34.9%0.0%60.7%56.7%31.7%
Term Structure2.1%-2.0%10.0%-0.4%1.2%
VWIV12.8%7.9%22.8%22.8%11.7%
Skew 25d2.0%-2.2%6.7%0.4%1.8%
Skew 10d6.5%-4.3%14.7%14.7%3.9%
Call IV 25d11.9%8.8%17.2%17.2%10.5%
Put IV 25d13.9%7.9%19.2%17.6%12.2%
Bid-Ask Spread %94.9856.02117.6599.3979.67
Gamma HHI0.470.310.720.310.47
Net GEX33.8M-3.1M88.2M61.0M-2.0M
Net DEX-195.4M-575.3M72.1M-409.6M50.5M
Net VEX-565.7K-945.5K-358.5K-945.5K-397.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.732.972.971.11
Total Volume39,690.321,32656,77852,43721,326
Total OI162,020.843,097263,020252,73943,302

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$75.14$70.0015.9%4.6%14.0%7.7%22.8%0.4%-0.4%61.0M-409.6M-945.5K2.9799.39N/AN/A13,21939,218128,070124,669
2017-12-04$75.00$76.0017.3%4.7%13.9%9.0%15.9%2.9%0.5%58.4M-371.5M-882.8K2.97108.11N/AN/A13,22439,218128,069124,669
2017-12-05$75.03$76.0017.1%4.2%13.6%8.8%13.6%4.7%-0.1%60.7M-390.0M-813.7K2.97101.60N/AN/A13,22639,218128,069124,669
2017-12-06$73.90$76.0021.4%4.2%14.5%12.8%15.2%1.2%0.9%57.4M-234.2M-750.7K2.7199.08N/AN/A15,30941,423128,070124,669
2017-12-07$74.42$75.0016.7%4.2%14.7%8.4%13.0%3.1%0.0%67.5M-268.4M-771.7K2.71102.80N/AN/A15,30941,423133,073129,874
2017-12-08$75.26$75.0014.8%3.9%15.3%6.7%13.2%2.5%1.9%74.5M-395.9M-762.0K2.7172.13N/AN/A15,30941,423133,073129,874
2017-12-11$75.75$75.0014.3%3.6%15.5%6.3%13.4%6.7%1.8%77.3M-500.7M-652.5K2.70112.70N/AN/A15,31541,423133,073129,874
2017-12-12$75.21$75.0017.3%4.2%15.7%9.0%14.8%3.2%2.3%77.9M-397.5M-626.9K2.72114.49N/AN/A15,25241,423133,080129,854
2017-12-13$76.19$75.0012.7%3.6%16.2%4.7%12.7%2.1%1.6%88.2M-575.3M-559.6K2.70117.65N/AN/A15,33341,423133,085129,854
2017-12-14$75.52$75.0012.2%3.5%16.4%4.9%12.4%2.6%1.5%79.2M-450.4M-523.8K2.70108.86N/AN/A15,33341,445133,166129,854
2017-12-15$75.39$75.0012.0%3.4%14.8%4.6%12.6%3.3%10.0%-2.9M-454.0M-410.4K0.75117.50N/AN/A15,33311,446133,067129,866
2017-12-18$75.86$75.0011.5%3.3%15.0%4.2%11.6%-1.5%9.4%-2.7M68.1M-403.9K0.73103.83N/AN/A15,20111,12918,51424,587
2017-12-19$74.53$80.0011.8%3.4%16.0%4.4%11.9%2.8%1.8%-2.9M72.1M-413.5K0.73109.72N/AN/A15,28611,13218,49724,600
2017-12-20$74.61$74.0010.9%3.1%14.8%3.4%10.2%0.7%-0.6%-3.0M65.6M-358.5K0.7359.50N/AN/A15,29711,13218,57224,601
2017-12-21$74.98$74.0013.7%3.9%15.0%6.4%12.9%-2.2%-2.0%-2.8M62.7M-369.3K0.7356.02N/AN/A15,21711,13218,58324,600
2017-12-22$75.54$74.009.9%2.8%15.4%2.4%9.5%-2.1%-0.4%-3.1M53.2M-402.1K1.1094.20N/AN/A10,21811,21418,58824,600
2017-12-26$75.22$74.008.6%2.5%14.5%1.1%9.2%2.5%3.7%-2.9M64.7M-388.0K1.1068.73N/AN/A10,20411,22718,58924,640
2017-12-27$75.38$74.006.3%1.8%14.3%0.0%7.9%3.6%6.9%-1.4M46.4M-475.3K1.1068.22N/AN/A10,24611,22718,59024,650
2017-12-28$75.96$74.0011.4%3.3%13.6%5.3%12.1%1.9%2.0%-2.4M55.2M-405.7K1.11105.29N/AN/A10,14611,22718,63224,650
2017-12-29$76.25$74.0012.3%3.5%13.2%6.2%11.7%1.8%1.2%-2.0M50.5M-397.2K1.1179.67N/AN/A10,09911,22718,65224,650