AAXJ Options History — June 2018

In June 2018, AAXJ traded between $70.53 and $78.60. ATM implied volatility averaged 17.5%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.2% (HV 20d: 15.4%). Max pain ranged from $72.00 to $80.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 5.79.

Notable Days

  • 2018-06-04: Highest Volume — 14,030 contracts
  • 2018-06-14: Largest IV drop — 29.5% change
  • 2018-06-27: Highest IV Rank — 36.8%
  • 2018-06-13: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.97$70.53$78.60$76.83$71.74
Max Pain$72.38$72.00$80.00$80.00$72.00
ATM IV17.5%14.8%22.6%15.1%16.7%
Expected Move4.8%4.2%6.5%4.3%4.8%
HV 20d15.4%12.9%16.9%15.4%16.9%
HV 60d17.4%15.4%18.9%18.8%15.9%
IV Rank21.2%10.6%36.8%10.6%27.9%
IV Percentile69.6%54.0%92.9%56.0%62.3%
Term Structure0.3%-9.4%2.2%-0.1%1.7%
VWIV21.2%15.6%43.1%15.6%28.5%
Skew 25d4.5%2.2%11.1%2.5%11.1%
Skew 10d7.5%-2.4%14.0%5.5%-2.4%
Call IV 25d16.3%13.0%37.8%14.6%22.9%
Put IV 25d20.8%17.1%40.8%17.1%34.0%
Bid-Ask Spread %88.4973.32124.6682.8596.28
Gamma HHI0.410.240.520.300.51
Net GEX-342.6K-408.8K-213.5K-327.5K-391.0K
Net DEX7.5M6.0M9.7M7.3M8.3M
Net VEX-131.3K-141.9K-123.2K-128.8K-138.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.790.5413.140.5411.60
Total Volume9,666.6194,83614,03013,9934,875
Total OI6,426.1434,9657,7267,6495,078

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$76.83$80.0015.1%4.3%15.4%10.6%15.6%2.5%-0.1%-327.5K7.3M-128.8K0.5482.85N/AN/A9,0744,9192,5515,098
2018-06-04$77.69$72.0016.0%4.3%15.8%11.7%22.2%4.1%2.1%-332.4K6.0M-126.0K0.5483.56N/AN/A9,1114,9192,5475,098
2018-06-05$77.47$72.0015.9%4.5%15.7%11.6%22.4%3.7%0.7%-382.1K7.2M-129.1K0.5488.25N/AN/A9,1114,9192,5095,098
2018-06-06$78.60$72.0015.6%4.2%16.3%11.2%19.4%4.0%1.4%-394.2K6.3M-125.2K0.5478.95N/AN/A9,1114,9192,5115,208
2018-06-07$77.89$72.0016.7%4.5%16.7%12.6%21.5%3.7%0.8%-393.4K6.7M-124.2K0.5473.32N/AN/A9,1064,9192,5115,208
2018-06-08$77.63$72.0016.5%4.4%15.8%12.3%21.4%4.6%0.7%-382.8K7.1M-124.7K0.5473.70N/AN/A9,1064,9192,5115,208
2018-06-11$77.73$72.0019.9%4.4%15.8%16.4%19.6%4.3%1.3%-382.1K6.9M-123.2K0.5479.41N/AN/A9,1074,9202,5115,208
2018-06-12$77.30$72.0021.4%4.5%15.9%18.3%18.9%4.3%1.7%-363.6K7.8M-125.7K0.5490.47N/AN/A9,1034,9202,5125,209
2018-06-13$76.82$72.0022.6%6.5%14.1%28.7%43.1%3.0%-9.4%-213.5K6.2M-126.3K0.54124.66N/AN/A9,1134,9052,5125,209
2018-06-14$76.35$72.0015.9%4.6%13.1%17.0%19.1%4.7%1.9%-297.8K8.8M-132.8K0.54103.52N/AN/A9,0964,9052,5225,204
2018-06-15$75.57$72.0014.8%4.2%12.9%14.9%18.8%4.6%2.2%-290.1K9.6M-134.3K0.54101.66N/AN/A9,0964,9052,5185,199
2018-06-18$74.76$72.0015.6%4.5%13.3%16.4%19.2%2.2%1.3%-321.8K7.6M-135.5K10.5984.33N/AN/A4244,4894404,525
2018-06-19$73.38$72.0017.6%5.0%14.4%19.9%20.3%4.2%-1.9%-321.9K7.6M-136.7K10.3182.66N/AN/A4364,4944404,525
2018-06-20$73.75$72.0017.1%4.9%14.6%19.0%19.0%3.2%0.4%-294.3K6.7M-130.6K13.1484.59N/AN/A3424,4944514,535
2018-06-21$72.45$72.0019.9%5.7%15.6%36.7%19.9%3.6%-0.3%-328.7K7.5M-135.8K11.7692.92N/AN/A3824,4944514,535
2018-06-22$73.12$72.0016.9%4.8%16.1%28.6%16.6%3.8%0.8%-296.4K7.1M-135.7K11.7683.04N/AN/A3824,4945024,535
2018-06-25$72.05$72.0017.8%5.1%16.4%31.0%19.7%5.8%1.5%-319.5K8.1M-135.8K11.6588.78N/AN/A3854,4855024,535
2018-06-26$71.97$72.0017.7%5.1%15.3%30.8%19.4%5.2%1.3%-350.7K7.5M-134.0K11.6595.09N/AN/A3854,4855054,572
2018-06-27$70.53$72.0019.9%5.7%16.3%36.8%21.0%6.0%-1.9%-408.8K9.7M-141.9K11.6088.52N/AN/A3874,4885054,572
2018-06-28$70.72$72.0018.5%5.3%16.1%32.9%19.5%5.2%0.3%-401.4K8.0M-132.6K11.6081.66N/AN/A3874,4885044,575
2018-06-29$71.74$72.0016.7%4.8%16.9%27.9%28.5%11.1%1.7%-391.0K8.3M-138.4K11.6096.28N/AN/A3874,4885044,574