AAXJ Options History — August 2018

In August 2018, AAXJ traded between $68.52 and $72.79. ATM implied volatility averaged 16.6%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 0.8% (HV 20d: 17.4%). Max pain ranged from $71.00 to $73.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 4.80.

Notable Days

  • 2018-08-28: Highest Volume — 5,557 contracts
  • 2018-08-13: Largest IV spike — 29.6% change
  • 2018-08-13: Highest IV Rank — 41.2%
  • 2018-08-30: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.22$68.52$72.79$72.39$71.52
Max Pain$71.70$71.00$73.00$73.00$71.00
ATM IV16.6%13.9%21.6%17.5%16.7%
Expected Move4.7%4.0%5.2%5.0%4.8%
HV 20d17.4%14.4%19.7%16.3%19.7%
HV 60d16.9%16.0%17.6%16.5%17.6%
IV Rank28.4%20.6%41.2%30.3%35.2%
IV Percentile56.0%37.7%91.3%68.3%56.0%
Term Structure0.8%-1.2%2.1%-0.5%1.4%
VWIV16.3%14.0%19.2%17.4%17.1%
Skew 25d3.8%1.6%23.3%1.9%2.3%
Skew 10d3.7%0.1%6.6%2.7%4.1%
Call IV 25d15.6%13.5%18.0%18.0%16.0%
Put IV 25d19.3%16.2%38.1%19.9%18.4%
Bid-Ask Spread %83.8964.99108.48108.4889.82
Gamma HHI0.440.320.570.480.44
Net GEX-191.8K-288.4K-49.6K-264.5K-196.1K
Net DEX4.5M1.1M6.6M4.7M4.8M
Net VEX-132.1K-141.7K-115.3K-133.7K-131.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.804.455.425.164.45
Total Volume5,448.2615,2945,5575,3305,517
Total OI5,682.3485,4965,8135,4965,813

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-08-01$72.39$73.0017.5%5.0%16.3%30.3%17.4%1.9%-0.5%-264.5K4.7M-133.7K5.16108.48N/AN/A8654,4659784,518
2018-08-02$71.36$73.0016.5%4.7%17.1%27.6%16.3%7.6%2.1%-140.3K2.9M-119.4K5.4287.01N/AN/A8244,4709784,518
2018-08-03$71.59$73.0013.9%4.0%16.7%20.6%14.6%2.6%1.3%-245.9K4.8M-135.3K5.36100.08N/AN/A8344,4709844,523
2018-08-06$71.31$72.0015.1%4.6%15.4%23.8%16.4%3.1%0.2%-252.0K5.5M-136.8K5.3679.80N/AN/A8344,4709944,523
2018-08-07$72.22$72.0015.0%4.4%16.0%23.4%14.6%2.5%1.2%-238.5K4.7M-131.5K4.9581.06N/AN/A9054,4779944,523
2018-08-08$72.28$72.0014.3%4.4%15.0%21.5%14.4%3.1%0.1%-195.4K3.8M-135.2K4.9379.47N/AN/A9084,4811,0654,534
2018-08-09$72.49$72.0014.9%4.3%14.4%23.2%14.0%2.7%0.1%-211.1K3.9M-131.5K4.9285.50N/AN/A9104,4811,0824,538
2018-08-10$71.29$72.0016.6%5.0%15.6%27.9%16.1%3.3%0.1%-207.3K5.4M-138.2K4.9286.54N/AN/A9104,4811,0994,537
2018-08-13$70.33$72.0021.6%5.0%16.2%41.2%16.9%3.1%-1.2%-108.6K2.9M-116.9K4.9383.75N/AN/A9084,4811,1054,537
2018-08-14$70.39$72.0019.1%5.0%16.1%34.4%17.3%3.8%0.3%-275.5K5.5M-135.6K4.9590.28N/AN/A9054,4811,1204,537
2018-08-15$68.52$72.0018.1%5.2%18.6%31.7%16.1%2.3%-0.1%-144.2K4.5M-123.0K4.9687.75N/AN/A9054,4871,1184,537
2018-08-16$69.16$72.0017.2%4.9%18.7%29.5%17.3%2.6%0.8%-275.7K6.6M-139.2K5.0184.69N/AN/A9054,5311,1184,544
2018-08-17$69.87$72.0016.7%4.8%18.3%28.2%16.7%3.0%-0.7%-288.4K5.9M-139.2K4.4766.83N/AN/A1,0134,5311,1184,589
2018-08-20$70.14$71.0017.0%4.9%18.2%28.8%16.4%2.8%1.5%-218.7K5.5M-136.1K4.5477.26N/AN/A9944,5151,2044,563
2018-08-21$71.11$71.0015.0%4.3%18.2%23.6%15.8%2.5%1.5%-168.1K4.8M-136.4K4.5473.23N/AN/A9944,5171,2054,573
2018-08-22$71.45$71.0016.0%4.6%17.3%26.2%16.6%2.5%1.4%-160.6K5.6M-141.7K4.5194.13N/AN/A1,0084,5431,2024,575
2018-08-23$70.53$71.0016.2%4.6%17.5%26.6%16.3%2.7%2.0%-209.9K5.5M-137.1K4.5171.99N/AN/A1,0084,5451,2144,591
2018-08-24$71.44$71.0016.0%4.6%18.2%26.1%15.9%2.9%2.1%-50.0K2.5M-122.1K4.5164.99N/AN/A1,0084,5451,2144,593
2018-08-27$72.42$71.0017.7%5.1%18.9%30.9%19.2%1.6%1.0%-156.8K3.7M-131.6K4.5183.77N/AN/A1,0084,5451,2144,593
2018-08-28$72.24$71.0016.1%4.6%18.7%26.4%16.1%23.3%0.7%-164.8K4.3M-133.5K4.4987.90N/AN/A1,0124,5451,2144,593
2018-08-29$72.79$71.0015.8%4.5%18.5%25.8%16.2%3.0%1.4%-49.6K1.1M-115.3K4.4974.69N/AN/A1,0124,5451,2184,593
2018-08-30$71.15$71.0018.1%5.2%19.6%39.8%17.9%1.8%1.3%-189.6K5.3M-137.0K4.4590.55N/AN/A1,0124,5051,2184,593
2018-08-31$71.52$71.0016.7%4.8%19.7%35.2%17.1%2.3%1.4%-196.1K4.8M-131.9K4.4589.82N/AN/A1,0124,5051,2184,595