AAXJ Options History — May 2018

In May 2018, AAXJ traded between $75.40 and $77.74. ATM implied volatility averaged 18.0%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.3% (HV 20d: 13.7%). Max pain ranged from $77.00 to $82.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.53.

Notable Days

  • 2018-05-24: Highest Volume — 14,022 contracts
  • 2018-05-02: Largest IV spike — 75.8% change
  • 2018-05-02: Highest IV Rank — 35.7%
  • 2018-05-02: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.33$75.40$77.74$75.94$76.19
Max Pain$80.68$77.00$82.00$77.00$81.00
ATM IV18.0%15.6%35.9%20.4%16.6%
Expected Move5.2%4.5%10.3%5.8%4.8%
HV 20d13.7%10.5%15.6%15.6%15.2%
HV 60d19.6%18.3%22.8%22.8%18.7%
IV Rank14.1%11.3%35.7%17.0%12.4%
IV Percentile65.4%57.5%89.7%77.0%61.1%
Term Structure-0.8%-15.9%1.5%-1.8%-0.3%
VWIV16.7%11.8%26.1%16.6%17.4%
Skew 25d2.4%-16.9%6.0%2.8%0.4%
Skew 10d9.2%3.9%28.2%10.5%11.2%
Call IV 25d17.1%13.7%46.0%16.4%17.7%
Put IV 25d19.5%17.3%29.2%19.1%18.1%
Bid-Ask Spread %87.3067.51131.7994.1187.45
Gamma HHI0.290.230.340.320.31
Net GEX-265.3K-375.4K-85.4K-300.3K-355.2K
Net DEX6.4M4.0M8.9M7.4M6.8M
Net VEX-131.9K-144.6K-115.9K-137.0K-126.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.530.540.530.54
Total Volume13,91613,81014,02213,89813,993
Total OI7,561.9097,4667,6357,4667,635

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$75.94$77.0020.4%5.8%15.6%17.0%16.6%2.8%-1.8%-300.3K7.4M-137.0K0.5394.11N/AN/A9,1084,7902,4914,975
2018-05-02$75.78$77.0035.9%10.3%15.6%35.7%26.1%-16.9%-15.9%-85.4K4.3M-142.3K0.53131.79N/AN/A9,0204,7902,5654,975
2018-05-03$75.59$82.0017.8%5.1%15.6%13.8%15.3%6.0%-0.3%-262.4K7.2M-143.3K0.5383.86N/AN/A9,0604,7902,5714,975
2018-05-04$75.86$81.0016.2%5.0%13.2%11.9%15.2%3.9%1.2%-277.0K7.7M-144.6K0.5383.97N/AN/A9,0584,7902,6184,975
2018-05-07$75.46$81.0016.4%5.0%12.0%12.3%16.8%3.9%1.1%-186.6K5.6M-126.6K0.5379.63N/AN/A9,0624,7902,6194,975
2018-05-08$76.04$81.0016.7%4.9%10.5%12.5%16.1%2.9%0.7%-279.1K6.7M-135.7K0.5386.82N/AN/A9,0474,7902,6234,975
2018-05-09$76.07$81.0016.7%4.8%10.5%12.6%14.1%5.0%1.1%-198.2K4.9M-118.7K0.5385.56N/AN/A9,0494,7902,6254,975
2018-05-10$77.29$81.0017.0%4.9%12.1%12.9%11.8%2.6%0.0%-239.4K6.3M-138.4K0.5384.94N/AN/A9,0504,7902,6274,975
2018-05-11$77.52$81.0015.6%4.5%11.3%11.3%13.0%3.2%1.5%-201.2K5.4M-134.4K0.5386.77N/AN/A9,0504,8052,6294,975
2018-05-14$77.74$81.0017.3%4.9%11.4%13.2%12.3%3.4%-1.2%-186.2K4.0M-123.2K0.53100.84N/AN/A9,1284,8052,6294,975
2018-05-15$76.13$81.0016.8%4.8%13.7%12.7%16.4%4.8%1.0%-303.0K7.3M-137.0K0.5387.72N/AN/A9,1264,8052,5554,975
2018-05-16$77.33$81.0017.9%5.1%14.7%14.1%20.0%4.5%-0.7%-227.1K5.8M-130.2K0.5385.10N/AN/A9,1264,8052,5554,975
2018-05-17$76.39$81.0016.6%4.7%15.2%12.4%15.8%3.6%-0.1%-215.9K5.5M-122.8K0.5380.22N/AN/A9,1264,8052,5554,975
2018-05-18$76.02$81.0016.8%4.8%14.5%12.7%15.7%2.7%0.8%-310.6K6.7M-127.7K0.5376.58N/AN/A9,1264,8052,5554,975
2018-05-21$76.56$81.0016.4%4.7%14.6%12.2%16.2%1.9%-0.3%-210.9K5.2M-117.8K0.5381.25N/AN/A9,1184,8252,5314,975
2018-05-22$76.62$81.0015.6%4.5%14.3%11.3%15.6%4.0%1.3%-245.5K5.3M-115.9K0.5380.96N/AN/A9,1184,8462,5314,981
2018-05-23$76.58$81.0017.2%4.9%14.2%13.1%18.5%1.4%-1.6%-306.9K7.6M-137.4K0.5396.47N/AN/A9,1184,8562,5314,986
2018-05-24$76.26$81.0018.1%5.2%13.5%14.3%16.6%2.3%-0.3%-336.8K7.3M-136.0K0.5467.51N/AN/A9,1184,9042,5314,996
2018-05-25$76.80$81.0016.6%4.8%13.6%12.4%16.9%3.2%0.2%-359.1K6.7M-129.4K0.5484.90N/AN/A9,1044,9052,5315,044
2018-05-29$75.40$81.0020.5%5.9%15.1%17.2%20.7%4.5%-2.3%-374.5K8.9M-139.1K0.5484.00N/AN/A9,0624,9192,5325,057
2018-05-30$75.75$81.0016.7%4.8%15.1%12.5%19.2%3.3%-0.7%-375.4K8.4M-137.8K0.5490.20N/AN/A9,0614,9192,5365,098
2018-05-31$76.19$81.0016.6%4.8%15.2%12.4%17.4%0.4%-0.3%-355.2K6.8M-126.1K0.5487.45N/AN/A9,0744,9192,5375,098