AAXJ Options History — March 2018

In March 2018, AAXJ traded between $75.30 and $79.82. ATM implied volatility averaged 20.0%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 1.4% (HV 20d: 21.5%). Max pain ranged from $79.00 to $80.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 10.18.

Notable Days

  • 2018-03-05: Highest Volume — 7,708 contracts
  • 2018-03-22: Largest IV spike — 50.4% change
  • 2018-03-01: Highest IV Rank — 22.6%
  • 2018-03-01: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.02$75.30$79.82$76.71$77.53
Max Pain$79.10$79.00$80.00$80.00$79.00
ATM IV20.0%13.2%28.2%28.2%19.2%
Expected Move5.6%3.8%8.1%8.1%5.5%
HV 20d21.5%16.3%28.7%28.7%23.4%
HV 60d20.5%19.6%22.5%20.0%22.5%
IV Rank15.5%8.3%22.6%22.6%15.6%
IV Percentile69.8%42.5%77.8%77.4%71.0%
Term Structure-0.2%-8.4%3.7%-8.4%3.7%
VWIV22.4%19.1%27.6%26.2%22.5%
Skew 25d4.4%0.0%7.0%5.5%3.0%
Skew 10d9.1%1.9%15.2%15.2%11.4%
Call IV 25d18.1%15.2%24.2%24.2%18.5%
Put IV 25d22.6%19.4%29.7%29.7%21.4%
Bid-Ask Spread %77.4550.8899.4499.4480.45
Gamma HHI0.490.320.680.320.57
Net GEX904.7K-2.0M2.3M-851.2K983.2K
Net DEX16.7M-8.8M53.4M44.0M-156.2K
Net VEX-241.3K-344.6K-162.2K-344.6K-196.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.187.8313.477.8410.74
Total Volume6,620.8575,1517,7087,7055,423
Total OI36,676.66714,04653,56253,56014,325

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$76.71$80.0028.2%8.1%28.7%22.6%26.2%5.5%-8.4%-851.2K44.0M-344.6K7.8499.44N/AN/A8726,83327,96525,595
2018-03-02$77.02$80.0023.6%6.8%28.5%17.9%22.3%3.4%-3.9%-2.0M51.0M-280.6K7.8597.64N/AN/A8716,83527,96525,595
2018-03-05$76.75$79.0021.0%5.8%27.3%15.2%20.3%4.9%-0.4%-728.1K43.0M-295.4K7.8350.88N/AN/A8736,83527,96525,597
2018-03-06$77.48$79.0022.0%5.5%26.0%16.2%20.0%5.3%1.3%-268.8K41.3M-294.9K8.4660.37N/AN/A8086,83527,96525,582
2018-03-07$77.54$79.0021.4%5.5%24.8%15.6%19.1%4.2%1.0%-267.7K42.7M-276.7K8.2158.83N/AN/A8286,79827,97325,580
2018-03-08$77.75$79.0017.4%5.5%21.9%11.4%20.7%4.5%1.2%1.2M47.2M-215.3K8.6393.72N/AN/A7886,79827,96925,579
2018-03-09$79.45$79.0018.2%5.0%19.0%12.2%19.1%4.1%0.9%2.3M8.1M-293.2K8.4464.15N/AN/A8056,79827,96925,579
2018-03-12$79.82$79.0017.8%4.8%18.7%12.0%19.8%4.2%1.1%2.3M-8.8M-279.8K9.6472.43N/AN/A7056,79827,97225,579
2018-03-13$79.19$79.0020.8%5.1%18.9%15.2%20.4%5.1%1.6%2.0M22.3M-240.4K9.5270.37N/AN/A7146,79827,97325,579
2018-03-14$79.49$79.0018.2%5.2%18.7%14.4%19.6%4.6%0.8%2.2M12.6M-265.2K9.5265.39N/AN/A7146,79927,93025,579
2018-03-15$79.68$79.0017.3%5.0%17.4%13.3%24.6%0.0%1.1%2.2M1.1M-255.5K9.1688.79N/AN/A7416,78927,93025,584
2018-03-16$79.61$79.0016.2%4.6%16.3%11.9%19.1%4.6%1.8%1.7M53.4M-227.9K9.3971.98N/AN/A7236,79027,91025,584
2018-03-19$78.61$79.0018.2%5.2%16.9%14.4%19.9%3.9%1.1%1.2M-194.6K-195.3K13.0084.03N/AN/A3684,7839,1014,945
2018-03-20$79.48$79.0018.3%5.2%16.5%14.5%19.7%3.6%0.5%1.6M-4.2M-218.6K13.0064.68N/AN/A3684,7839,1034,946
2018-03-21$79.52$79.0013.2%3.8%16.5%8.3%27.6%7.0%-0.2%1.9M-8.0M-228.8K13.2798.40N/AN/A3684,8839,1034,946
2018-03-22$76.88$79.0019.9%5.7%20.6%16.4%25.5%6.4%-0.8%209.6K5.3M-162.2K13.4779.62N/AN/A3684,9589,1035,046
2018-03-23$75.30$79.0022.8%6.5%20.9%19.9%26.1%6.1%-0.6%638.6K1.8M-199.2K13.2679.15N/AN/A3744,9599,1035,121
2018-03-26$77.76$79.0022.1%6.3%23.9%19.1%26.9%4.8%-2.6%1.1M-1.6M-199.4K11.0074.40N/AN/A4514,9599,1125,122
2018-03-27$76.62$79.0022.8%6.5%22.9%19.9%23.7%4.9%-0.7%740.2K1.7M-189.2K10.7488.05N/AN/A4624,9609,1905,122
2018-03-28$76.17$79.0022.0%6.3%22.6%19.0%27.0%3.4%-2.4%889.8K-2.4M-207.5K10.7483.69N/AN/A4624,9619,2015,123
2018-03-29$77.53$79.0019.2%5.5%23.4%15.6%22.5%3.0%3.7%983.2K-156.2K-196.6K10.7480.45N/AN/A4624,9619,2015,124