AAXJ Options History — January 2018

In January 2018, AAXJ traded between $77.81 and $83.43. ATM implied volatility averaged 14.3%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.8% (HV 20d: 12.4%). Max pain ranged from $74.00 to $80.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 3.22.

Notable Days

  • 2018-01-19: Highest Volume — 21,656 contracts
  • 2018-01-29: Largest IV spike — 13.5% change
  • 2018-01-30: Highest IV Rank — 13.0%
  • 2018-01-30: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.56$77.81$83.43$77.81$81.77
Max Pain$75.62$74.00$80.00$74.00$80.00
ATM IV14.3%11.0%18.9%11.3%18.4%
Expected Move4.2%3.2%5.4%3.2%5.3%
HV 20d12.4%10.0%14.9%14.7%12.1%
HV 60d13.0%12.9%13.6%12.9%13.6%
IV Rank8.2%4.9%13.0%5.2%12.4%
IV Percentile48.8%16.7%68.3%19.8%67.9%
Term Structure0.9%-0.2%2.5%2.5%2.4%
VWIV15.6%12.4%22.2%12.4%22.2%
Skew 25d2.4%0.1%5.9%2.3%4.0%
Skew 10d5.4%2.4%11.9%4.9%11.2%
Call IV 25d14.3%11.0%22.1%11.0%22.1%
Put IV 25d16.6%13.2%26.1%13.2%26.1%
Bid-Ask Spread %59.5430.40119.6258.12102.69
Gamma HHI0.490.360.640.390.36
Net GEX2.2M-713.5K5.5M-707.9K5.5M
Net DEX-15.7M-62.2M29.4M29.4M-47.3M
Net VEX-463.2K-615.2K-431.3K-448.8K-615.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.220.6115.111.1210.06
Total Volume18,009.0957,04121,65621,3877,279
Total OI44,224.76243,30253,14443,30253,144

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$77.81$74.0011.3%3.2%14.7%5.2%12.4%2.3%2.5%-707.9K29.4M-448.8K1.1258.12N/AN/A10,10711,28018,65224,650
2018-01-03$78.58$74.0011.3%3.2%14.9%5.2%13.4%5.9%1.6%-713.5K25.7M-472.2K1.12119.62N/AN/A10,11511,29018,65824,711
2018-01-04$78.73$75.0011.0%3.7%14.9%4.9%14.2%2.4%0.4%594.4K11.1M-487.2K1.1148.21N/AN/A10,17411,29418,66924,721
2018-01-05$79.41$75.0011.5%3.7%13.5%5.3%13.7%2.2%0.8%987.2K5.1M-475.8K1.1036.95N/AN/A10,17011,20918,73424,737
2018-01-08$79.50$75.0012.4%3.9%13.5%6.4%15.0%3.1%1.0%1.1M1.5M-468.5K1.1030.40N/AN/A10,17711,21418,75424,763
2018-01-09$79.44$75.0012.4%4.0%13.2%6.3%15.2%2.6%1.2%1.0M3.6M-482.1K1.1031.68N/AN/A10,17811,17318,78324,768
2018-01-10$78.94$75.0013.6%3.9%13.5%7.5%15.1%2.7%1.0%401.1K13.0M-457.4K1.1051.59N/AN/A10,17911,15118,78324,771
2018-01-11$79.36$75.0013.1%3.8%13.1%7.0%14.6%2.3%1.1%890.4K5.9M-461.0K1.1155.27N/AN/A10,17711,32618,80324,803
2018-01-12$80.10$75.0013.4%3.8%12.7%7.3%14.1%2.0%0.4%1.8M-7.7M-465.2K1.1154.95N/AN/A10,17611,33418,81624,978
2018-01-16$79.75$75.0014.1%4.0%12.3%8.0%14.5%1.9%0.5%1.4M-2.4M-456.1K1.1141.55N/AN/A10,23711,32118,81524,986
2018-01-17$80.69$75.0013.9%4.0%12.6%7.8%14.6%2.2%0.4%2.5M-18.5M-461.9K1.1042.51N/AN/A10,28711,32118,87624,979
2018-01-18$80.47$75.0014.3%4.1%12.7%8.2%14.5%2.6%0.6%2.3M-14.1M-449.1K1.1050.25N/AN/A10,27511,32018,86724,979
2018-01-19$81.29$75.0013.9%4.0%10.3%7.8%14.5%1.9%0.4%3.1M-27.2M-458.2K1.1048.57N/AN/A10,33611,32018,89024,980
2018-01-22$81.71$75.0013.8%4.0%10.3%7.7%15.2%2.1%0.6%3.6M-30.9M-437.1K1.1056.07N/AN/A10,29711,30118,87024,934
2018-01-23$82.25$75.0014.9%4.3%10.3%8.9%15.6%2.2%-0.1%4.1M-45.1M-441.8K0.6153.23N/AN/A10,3056,29718,93524,934
2018-01-24$82.45$75.0015.2%4.4%10.3%9.2%15.8%2.1%0.4%4.2M-48.9M-431.3K0.6164.22N/AN/A10,3016,30218,94424,938
2018-01-25$82.33$75.0016.8%4.8%10.0%10.8%17.4%1.8%0.7%3.9M-45.9M-438.3K15.1169.64N/AN/A4376,60418,93424,944
2018-01-26$83.43$75.0016.6%4.8%10.4%10.6%17.3%1.1%1.2%4.3M-62.2M-434.8K13.0472.82N/AN/A5086,62418,98025,243
2018-01-29$82.38$80.0018.9%5.4%12.1%13.0%19.5%1.9%-0.2%3.6M-45.8M-431.6K12.0770.77N/AN/A5476,60019,05625,263
2018-01-30$81.27$80.0018.9%5.4%13.6%13.0%19.7%0.1%1.2%2.6M-28.5M-454.1K0.7391.22N/AN/A9,0276,62119,13525,540
2018-01-31$81.77$80.0018.4%5.3%12.1%12.4%22.2%4.0%2.4%5.5M-47.3M-615.2K10.06102.69N/AN/A6586,62127,55325,591