AAXJ Options History — September 2018

In September 2018, AAXJ traded between $68.06 and $71.26. ATM implied volatility averaged 18.6%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.1% (HV 20d: 18.4%). Max pain ranged from $71.00 to $73.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 4.70.

Notable Days

  • 2018-09-21: Highest Volume — 5,595 contracts
  • 2018-09-13: Largest IV drop — 12.2% change
  • 2018-09-04: Highest IV Rank — 54.1%
  • 2018-09-06: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.79$68.06$71.26$70.59$70.43
Max Pain$71.42$71.00$73.00$71.00$71.00
ATM IV18.6%16.8%22.3%22.3%17.7%
Expected Move5.4%4.8%6.4%6.4%5.1%
HV 20d18.4%15.1%20.3%20.2%15.1%
HV 60d17.7%17.1%18.1%17.8%17.1%
IV Rank41.5%35.7%54.1%54.1%38.5%
IV Percentile71.7%52.4%94.0%94.0%62.3%
Term Structure0.8%-1.0%7.6%1.4%-0.1%
VWIV18.0%14.5%20.5%20.5%16.9%
Skew 25d3.4%1.6%5.2%1.6%2.5%
Skew 10d6.9%-4.4%18.1%-4.4%5.4%
Call IV 25d17.9%16.4%20.0%18.8%16.4%
Put IV 25d21.4%18.8%24.5%20.5%18.8%
Bid-Ask Spread %77.3750.67111.10100.0083.21
Gamma HHI0.440.320.540.440.35
Net GEX-176.1K-301.8K145.0K-175.4K-122.1K
Net DEX5.6M3.5M7.5M5.9M3.5M
Net VEX-130.5K-140.2K-115.8K-140.2K-115.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.704.135.054.874.94
Total Volume5,467.1585,3875,5955,4305,396
Total OI5,842.5795,6415,9795,8135,657

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$70.59$71.0022.3%6.4%20.2%54.1%20.5%1.6%1.4%-175.4K5.9M-140.2K4.87100.00N/AN/A9254,5051,2184,595
2018-09-05$69.41$71.0019.8%5.7%20.3%45.7%18.5%4.3%0.6%-96.6K3.8M-116.1K4.8895.41N/AN/A9244,5051,2234,595
2018-09-06$69.22$73.0018.6%6.4%20.3%41.8%19.6%5.2%-0.0%-224.6K6.2M-134.6K4.6564.76N/AN/A9704,5061,2234,598
2018-09-07$68.65$73.0018.4%5.7%20.3%41.0%19.0%3.2%-0.6%-131.1K5.0M-124.9K4.6662.79N/AN/A9704,5171,2754,598
2018-09-10$68.10$73.0019.6%5.8%19.8%44.8%18.8%4.8%-0.4%-242.4K7.1M-134.7K4.6362.48N/AN/A9754,5171,2754,609
2018-09-11$68.06$73.0018.3%5.8%19.3%40.7%18.8%4.5%0.2%-280.8K7.4M-136.4K4.6170.71N/AN/A9814,5181,2804,609
2018-09-12$68.65$71.0019.5%5.6%19.6%44.6%18.8%4.5%-0.6%-134.9K5.0M-123.2K4.6168.48N/AN/A9814,5231,2904,612
2018-09-13$69.60$71.0017.1%4.9%17.8%36.6%17.0%4.3%-0.5%-201.1K5.6M-135.8K4.6590.36N/AN/A9834,5671,2904,616
2018-09-14$69.69$71.0019.1%5.5%17.5%43.2%19.3%3.3%-0.6%-211.8K6.2M-136.1K4.5883.53N/AN/A9834,5021,2974,672
2018-09-17$68.68$71.0020.0%5.7%17.9%46.5%19.0%3.7%-1.0%-298.8K7.5M-135.2K4.5880.37N/AN/A9844,5021,2974,677
2018-09-18$69.38$71.0018.6%5.3%18.2%41.6%18.3%2.7%1.1%-280.6K6.6M-134.1K4.5872.71N/AN/A9844,5021,2984,677
2018-09-19$70.30$71.0018.2%5.2%18.2%40.3%16.4%3.0%0.1%-35.5K4.1M-121.2K4.5650.67N/AN/A9884,5021,2984,677
2018-09-20$71.00$71.0017.0%4.9%18.5%36.3%17.0%2.9%1.2%54.1K5.3M-132.8K4.5675.00N/AN/A9884,5021,3024,677
2018-09-21$71.26$71.0017.5%5.0%17.9%38.0%16.7%2.5%-0.0%145.0K4.1M-129.1K4.1369.25N/AN/A1,0914,5041,3024,677
2018-09-24$70.40$71.0017.9%5.1%17.8%39.4%18.1%1.9%3.6%-301.8K6.8M-134.3K5.0598.20N/AN/A8914,4961,0304,611
2018-09-25$70.77$71.0017.7%5.1%17.2%38.6%17.9%2.7%0.5%-270.8K5.4M-130.3K4.9669.42N/AN/A9064,4961,0304,611
2018-09-26$70.93$71.0018.6%5.3%17.2%41.7%14.5%5.1%7.6%-276.9K4.9M-131.6K4.94111.10N/AN/A9094,4871,0454,611
2018-09-27$70.98$71.0016.8%4.8%16.9%35.7%16.9%2.6%2.8%-260.4K6.3M-133.8K4.9461.52N/AN/A9094,4871,0454,612
2018-09-28$70.43$71.0017.7%5.1%15.1%38.5%16.9%2.5%-0.1%-122.1K3.5M-115.8K4.9483.21N/AN/A9094,4871,0454,612