AAXJ Options History — April 2018

In April 2018, AAXJ traded between $74.95 and $77.99. ATM implied volatility averaged 19.8%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 3.7% (HV 20d: 23.5%). Max pain ranged from $77.00 to $83.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.46.

Notable Days

  • 2018-04-11: Highest Volume — 14,501 contracts
  • 2018-04-11: Largest IV drop — 13.8% change
  • 2018-04-02: Highest IV Rank — 22.2%
  • 2018-04-02: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.64$74.95$77.99$75.99$76.40
Max Pain$79.86$77.00$83.00$79.00$77.00
ATM IV19.8%17.3%24.7%24.7%17.6%
Expected Move5.6%5.0%7.1%7.1%5.0%
HV 20d23.5%16.2%26.3%24.5%16.2%
HV 60d23.4%22.7%23.8%22.7%23.3%
IV Rank16.3%13.3%22.2%22.2%13.6%
IV Percentile70.7%63.5%79.8%79.8%65.1%
Term Structure0.3%-1.8%1.8%-1.8%1.2%
VWIV19.7%15.3%34.1%27.1%16.5%
Skew 25d3.9%-1.2%6.5%6.0%3.9%
Skew 10d8.1%-5.2%16.2%12.7%7.9%
Call IV 25d18.1%14.5%23.0%23.0%15.2%
Put IV 25d22.0%18.8%29.1%29.1%19.1%
Bid-Ask Spread %76.7154.0397.8269.3087.61
Gamma HHI0.300.170.550.500.26
Net GEX-2.2K-705.1K944.0K687.0K-197.8K
Net DEX4.9M-839.2K8.6M1.9M6.5M
Net VEX-155.4K-202.1K-130.6K-190.3K-144.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.460.5310.6310.630.53
Total Volume12,471.195,37314,5015,37313,837
Total OI9,395.5717,47314,37614,3257,476

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$75.99$79.0024.7%7.1%24.5%22.2%27.1%6.0%-1.8%687.0K1.9M-190.3K10.6369.30N/AN/A4624,9119,2015,124
2018-04-03$77.00$79.0022.4%6.4%25.0%19.5%24.0%5.1%-1.2%944.0K-839.2K-202.1K10.6374.80N/AN/A4624,9119,2015,175
2018-04-04$76.91$79.0021.4%6.1%24.7%18.2%23.2%4.0%0.0%597.8K2.4M-172.4K10.6383.27N/AN/A4624,9119,2015,175
2018-04-05$77.11$83.0021.8%5.7%24.7%18.7%16.6%4.5%0.4%672.4K2.8M-177.6K10.6354.03N/AN/A4624,9119,2015,175
2018-04-06$75.33$83.0023.9%6.2%26.0%21.3%19.8%5.0%0.8%425.4K3.9M-173.5K0.5354.32N/AN/A9,2254,8539,2015,175
2018-04-09$76.53$83.0021.8%5.8%25.4%18.8%29.3%4.3%0.0%-120.9K5.4M-155.8K0.5362.72N/AN/A9,2254,8532,5965,178
2018-04-10$77.84$83.0021.3%6.0%26.2%18.1%18.0%4.5%0.8%-41.9K4.2M-152.0K0.5462.02N/AN/A9,4185,0822,5965,178
2018-04-11$77.88$83.0018.4%5.3%26.1%14.6%34.1%6.5%1.8%3.8K3.6M-152.5K0.5489.15N/AN/A9,4195,0822,8005,354
2018-04-12$77.99$83.0019.8%5.7%26.0%16.3%17.9%4.5%-0.4%3.5K3.3M-140.8K0.5566.00N/AN/A9,2855,0822,8015,355
2018-04-13$77.04$83.0019.6%5.6%26.3%16.1%19.5%3.6%0.8%-219.8K5.7M-152.3K0.5574.09N/AN/A9,1995,0822,7605,355
2018-04-16$77.01$83.0019.2%5.5%26.3%15.6%16.5%4.3%0.4%-237.7K5.4M-148.4K0.5572.84N/AN/A9,1995,0822,7495,355
2018-04-17$77.08$83.0017.7%5.1%26.0%13.8%17.4%3.7%0.7%-251.6K5.0M-139.8K0.5679.79N/AN/A9,2005,1072,7495,355
2018-04-18$77.56$77.0017.5%5.0%25.8%13.5%15.3%4.3%0.8%-206.0K5.2M-149.5K0.5587.92N/AN/A9,2535,1072,7505,380
2018-04-19$77.17$77.0018.8%5.4%25.8%15.1%17.2%5.3%-1.1%-248.8K5.2M-144.0K0.5597.82N/AN/A9,2555,1072,7485,380
2018-04-20$76.11$77.0018.1%5.2%23.3%14.3%15.6%2.0%0.4%-705.1K7.1M-147.8K0.5581.04N/AN/A9,2535,0912,7485,380
2018-04-23$75.84$77.0017.9%5.1%22.1%14.1%16.9%3.4%0.1%-256.0K7.5M-147.6K0.5367.52N/AN/A9,0484,7852,5344,970
2018-04-24$75.31$77.0019.6%5.6%18.8%16.1%15.5%3.1%-0.4%-182.3K5.4M-130.6K0.5376.54N/AN/A9,0454,7902,5294,975
2018-04-25$74.95$77.0019.6%5.6%18.2%16.0%18.3%-1.2%1.4%-285.4K8.6M-147.2K0.5395.55N/AN/A9,0454,7902,5024,975
2018-04-26$75.96$77.0017.8%5.1%18.8%13.8%16.7%3.4%0.9%-189.4K7.2M-149.6K0.5377.42N/AN/A9,0124,7902,5024,975
2018-04-27$76.45$77.0017.3%5.0%17.7%13.3%17.2%2.4%1.1%-237.2K7.0M-145.3K0.5397.09N/AN/A9,0124,7902,4984,975
2018-04-30$76.40$77.0017.6%5.0%16.2%13.6%16.5%3.9%1.2%-197.8K6.5M-144.2K0.5387.61N/AN/A9,0474,7902,5014,975