AAXJ Options History — February 2018

In February 2018, AAXJ traded between $73.45 and $80.58. ATM implied volatility averaged 21.8%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 3.0% (HV 20d: 24.8%). Max pain ranged from $80.00 to $80.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 9.73.

Notable Days

  • 2018-02-13: Highest Volume — 7,804 contracts
  • 2018-02-05: Largest IV spike — 69.6% change
  • 2018-02-05: Highest IV Rank — 28.3%
  • 2018-02-09: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.48$73.45$80.58$80.58$76.85
Max Pain$80.00$80.00$80.00$80.00$80.00
ATM IV21.8%17.3%33.8%18.8%22.4%
Expected Move5.8%5.0%7.3%5.1%6.4%
HV 20d24.8%13.2%28.9%13.2%28.9%
HV 60d18.4%13.9%20.0%13.9%20.0%
IV Rank15.9%11.4%28.3%12.8%16.6%
IV Percentile70.0%66.7%73.8%68.3%73.8%
Term Structure-0.8%-3.2%2.1%0.7%-2.7%
VWIV24.2%17.8%41.0%19.0%20.7%
Skew 25d5.0%2.3%9.3%2.3%5.1%
Skew 10d11.3%5.4%23.5%5.4%7.6%
Call IV 25d18.5%16.1%24.6%17.7%19.2%
Put IV 25d23.5%19.7%29.3%20.0%24.3%
Bid-Ask Spread %85.7875.34114.4082.6790.40
Gamma HHI0.300.250.420.320.32
Net GEX494.9K-2.6M4.2M4.2M-578.5K
Net DEX25.2M-38.8M77.2M-38.8M40.4M
Net VEX-428.1K-585.0K-327.5K-585.0K-327.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.737.2211.279.257.22
Total Volume7,5807,2567,8047,3367,780
Total OI53,326.73753,18353,44653,18353,446

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$80.58$80.0018.8%5.1%13.2%12.8%19.0%2.3%0.7%4.2M-38.8M-585.0K9.2582.67N/AN/A7166,62027,59225,591
2018-02-02$78.64$80.0019.9%5.5%16.0%14.0%19.1%4.4%-0.6%2.2M-140.2K-530.2K10.4189.10N/AN/A6366,62027,67125,597
2018-02-05$76.70$80.0033.8%5.5%18.0%28.3%33.6%9.3%-2.5%640.3K20.6M-528.3K9.02114.40N/AN/A7386,65427,67025,597
2018-02-06$78.35$80.0031.6%5.9%19.7%26.0%21.1%4.3%-0.2%1.8M6.1M-534.7K9.2693.89N/AN/A7216,67827,77025,625
2018-02-07$75.90$80.0021.5%6.2%22.6%15.7%32.6%4.7%-1.2%-1.1M50.5M-421.9K10.4884.88N/AN/A6376,67827,74925,660
2018-02-08$73.45$80.0025.1%7.2%25.0%19.4%41.0%8.4%-2.9%-2.6M77.2M-378.6K10.2687.48N/AN/A6496,65827,75125,660
2018-02-09$74.46$80.0025.4%7.3%25.6%19.7%34.5%3.4%-3.2%-2.4M76.8M-360.3K11.0182.73N/AN/A6417,05827,74625,685
2018-02-12$75.23$80.0022.0%6.3%25.7%16.1%35.5%5.1%-0.9%-1.9M60.9M-397.5K10.1381.36N/AN/A6977,05827,74225,577
2018-02-13$76.07$80.0021.3%6.1%26.2%15.5%29.7%6.4%-0.9%-1.4M53.0M-392.3K9.4675.34N/AN/A7467,05827,80925,577
2018-02-14$77.61$80.0018.9%5.4%26.9%13.0%19.3%5.1%-0.7%215.5K27.3M-444.8K9.5086.97N/AN/A7427,04927,78025,578
2018-02-15$79.01$80.0018.7%5.4%27.8%12.8%20.2%5.3%2.1%869.0K10.3M-429.7K10.4784.05N/AN/A6767,07527,71525,580
2018-02-16$79.06$80.0019.2%5.5%27.5%13.3%21.7%6.7%0.9%2.1M7.1M-465.1K10.3482.68N/AN/A6827,05227,73425,607
2018-02-20$77.91$80.0020.0%5.7%27.8%14.2%19.7%2.3%-0.9%570.2K22.3M-412.3K11.2780.50N/AN/A6237,02227,66425,554
2018-02-21$77.91$80.0020.5%5.9%27.6%14.6%18.9%5.6%-2.0%1.1M15.8M-404.9K10.1290.15N/AN/A6947,02227,67525,554
2018-02-22$77.77$80.0019.3%5.5%27.5%13.4%19.5%3.9%0.0%559.9K28.5M-387.5K9.7382.18N/AN/A7036,84027,71725,554
2018-02-23$78.96$80.0017.3%5.0%28.3%11.4%17.8%3.9%1.0%1.3M9.9M-372.4K9.7675.43N/AN/A7006,83227,72725,592
2018-02-26$79.75$80.0017.6%5.0%28.1%11.6%18.2%3.6%-0.3%2.7M-9.1M-388.5K8.9786.33N/AN/A7626,83227,73125,594
2018-02-27$77.82$80.0020.3%5.8%28.9%14.4%18.2%5.1%-1.7%1.2M19.9M-371.8K8.1579.21N/AN/A8386,83327,74325,594
2018-02-28$76.85$80.0022.4%6.4%28.9%16.6%20.7%5.1%-2.7%-578.5K40.4M-327.5K7.2290.40N/AN/A9476,83327,85125,595