AAXJ Options History — July 2018

In July 2018, AAXJ traded between $70.24 and $73.56. ATM implied volatility averaged 17.4%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 0.2% (HV 20d: 17.6%). Max pain ranged from $70.00 to $73.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 8.92.

Notable Days

  • 2018-07-27: Highest Volume — 5,330 contracts
  • 2018-07-31: Largest IV spike — 63.3% change
  • 2018-07-31: Highest IV Rank — 53.7%
  • 2018-07-31: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.85$70.24$73.56$70.60$73.13
Max Pain$70.76$70.00$73.00$72.00$73.00
ATM IV17.4%14.9%26.2%19.2%26.2%
Expected Move5.0%4.3%7.5%5.5%7.5%
HV 20d17.6%15.0%19.3%16.5%15.8%
HV 60d15.7%14.7%16.5%15.6%16.5%
IV Rank30.0%23.2%53.7%34.7%53.7%
IV Percentile63.9%44.8%98.0%81.0%98.0%
Term Structure-0.0%-5.2%2.0%0.3%-5.2%
VWIV17.3%12.8%31.5%21.5%31.5%
Skew 25d5.8%1.6%22.7%4.1%5.3%
Skew 10d7.5%1.4%12.1%10.1%1.4%
Call IV 25d16.5%14.1%32.6%17.8%32.6%
Put IV 25d22.3%16.1%37.9%21.9%37.9%
Bid-Ask Spread %87.9473.81105.7573.81101.43
Gamma HHI0.450.340.530.490.43
Net GEX-299.6K-418.6K-95.1K-418.6K-225.2K
Net DEX6.0M1.6M8.5M8.0M4.8M
Net VEX-127.4K-136.7K-110.2K-131.1K-135.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.925.1611.7711.685.16
Total Volume5,075.5244,9045,3304,9075,330
Total OI5,243.815,0785,4965,0785,496

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$70.60$72.0019.2%5.5%16.5%34.7%21.5%4.1%0.3%-418.6K8.0M-131.1K11.6873.81N/AN/A3874,5205044,574
2018-07-03$70.62$72.0019.5%5.6%16.6%35.6%22.7%5.6%0.6%-390.3K8.2M-136.5K11.6888.20N/AN/A3874,5205044,606
2018-07-05$70.24$70.0019.8%5.6%15.0%36.3%17.5%14.9%-0.1%-411.5K8.5M-135.7K11.6889.39N/AN/A3874,5205044,606
2018-07-06$71.04$70.0019.3%5.2%16.1%35.0%16.9%4.0%0.3%-404.0K8.3M-132.6K11.7775.58N/AN/A3844,5205044,606
2018-07-09$72.32$70.0017.1%5.1%17.9%29.0%16.1%3.3%0.1%-248.0K5.0M-110.2K11.4775.75N/AN/A3944,5205044,606
2018-07-10$72.02$70.0015.7%4.7%17.8%25.4%15.0%3.4%0.2%-264.3K5.4M-113.7K11.4579.00N/AN/A3944,5135144,606
2018-07-11$70.96$70.0017.2%4.9%18.3%29.3%16.6%12.2%0.2%-320.0K5.6M-114.2K11.4585.09N/AN/A3944,5135144,611
2018-07-12$71.89$70.0017.3%5.0%19.2%29.6%20.2%4.7%0.1%-395.2K7.8M-133.1K11.45104.05N/AN/A3944,5135144,611
2018-07-13$71.92$70.0016.3%4.7%19.3%27.0%17.4%3.7%2.0%-353.1K7.3M-130.2K11.4599.97N/AN/A3944,5135144,611
2018-07-16$71.65$70.0016.4%4.7%19.1%27.3%16.3%4.0%0.3%-363.7K7.0M-127.4K11.4582.96N/AN/A3944,5135144,611
2018-07-17$71.96$70.0016.4%4.7%19.0%27.2%16.0%3.9%0.0%-239.7K5.6M-116.6K11.4596.70N/AN/A3944,5135134,611
2018-07-18$71.79$70.0018.3%5.3%17.9%32.5%13.2%7.0%-2.6%-402.6K7.7M-130.9K11.45103.64N/AN/A3944,5135134,611
2018-07-19$71.01$70.0016.6%4.8%18.1%27.8%14.6%4.8%0.7%-413.4K7.4M-127.5K6.22105.75N/AN/A7254,5135134,611
2018-07-20$72.03$70.0016.0%4.6%17.9%26.1%17.1%4.0%0.8%-255.5K5.6M-134.7K6.2295.57N/AN/A7254,5138444,611
2018-07-23$71.45$70.0016.8%4.8%17.8%28.2%12.8%3.6%0.4%-156.4K3.5M-115.4K5.3682.28N/AN/A8294,4447814,477
2018-07-24$72.46$70.0016.3%4.7%17.8%27.0%16.0%2.8%0.4%-245.0K5.4M-136.7K5.1985.46N/AN/A8584,4559414,507
2018-07-25$73.56$70.0015.5%4.4%18.5%24.8%15.2%1.6%1.9%-95.1K1.6M-115.9K5.2080.52N/AN/A8584,4659714,508
2018-07-26$72.79$73.0015.3%4.4%17.3%24.3%15.1%2.5%0.6%-225.9K4.1M-132.4K5.2075.25N/AN/A8584,4659714,518
2018-07-27$72.91$73.0014.9%4.3%17.3%23.2%16.1%22.7%-0.5%-231.5K4.4M-133.2K5.1689.38N/AN/A8654,4659714,518
2018-07-30$72.55$73.0016.1%4.6%16.8%26.3%16.1%2.7%-0.4%-232.1K4.1M-131.2K5.1676.96N/AN/A8654,4659784,518
2018-07-31$73.13$73.0026.2%7.5%15.8%53.7%31.5%5.3%-5.2%-225.2K4.8M-135.4K5.16101.43N/AN/A8654,4659784,518