AAXJ Options History — November 2018

In November 2018, AAXJ traded between $63.29 and $67.31. ATM implied volatility averaged 26.6%, placing in the 63.9% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 0.9% (HV 20d: 27.5%). Max pain ranged from $67.00 to $69.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 6.69.

Notable Days

  • 2018-11-15: Highest Volume — 51,250 contracts
  • 2018-11-30: Largest IV spike — 44.7% change
  • 2018-11-13: Highest IV Rank — 100.0%
  • 2018-11-15: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.42$63.29$67.31$65.14$66.72
Max Pain$67.19$67.00$69.00$69.00$67.00
ATM IV26.6%19.1%39.5%26.1%29.4%
Expected Move7.2%5.3%9.6%7.5%8.4%
HV 20d27.5%23.5%28.5%28.0%23.5%
HV 60d22.4%21.6%23.2%21.8%22.9%
IV Rank63.9%38.6%100.0%66.8%69.6%
IV Percentile91.3%64.7%100.0%96.0%96.8%
Term Structure-2.9%-10.6%9.0%-4.5%9.0%
VWIV22.2%17.2%37.0%37.0%27.4%
Skew 25d8.2%0.9%24.7%0.9%4.5%
Skew 10d10.5%-6.7%31.3%16.4%8.2%
Call IV 25d22.1%16.6%39.6%39.6%24.8%
Put IV 25d30.3%24.2%49.4%40.5%29.2%
Bid-Ask Spread %106.2686.93122.97120.36113.22
Gamma HHI0.560.470.610.610.51
Net GEX-384.6K-423.6K-302.6K-421.0K-364.9K
Net DEX63.4M8.9M117.6M10.3M74.5M
Net VEX-328.9K-566.5K-115.6K-124.4K-509.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.690.9928.966.5325.27
Total Volume30,776.9525,22951,2505,28024,479
Total OI33,961.2865,43051,6415,43051,633

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$65.14$69.0026.1%7.5%28.0%66.8%37.0%0.9%-4.5%-421.0K10.3M-124.4K6.53120.36N/AN/A7014,5797594,671
2018-11-02$65.68$69.0023.8%6.8%28.1%59.2%28.4%7.8%-4.5%-399.1K9.2M-121.0K6.54121.78N/AN/A7014,5847574,681
2018-11-05$65.50$67.0029.2%7.1%28.1%77.4%23.3%7.2%-5.8%-418.1K9.5M-120.9K6.52108.58N/AN/A7014,5717574,681
2018-11-06$65.35$67.0026.1%6.8%28.0%67.0%18.8%5.3%-2.0%-344.7K8.9M-115.6K6.5287.01N/AN/A7014,5717574,688
2018-11-07$66.79$67.0020.6%6.0%27.3%48.5%18.6%5.9%-0.6%-382.2K9.6M-125.2K6.5286.93N/AN/A7014,5717574,688
2018-11-08$65.25$67.0025.6%5.3%28.5%65.3%17.2%15.5%-6.8%-354.7K9.8M-123.8K6.95105.17N/AN/A6584,5717574,688
2018-11-09$64.03$67.0024.1%6.4%28.3%60.1%20.4%4.8%-1.2%-406.8K10.4M-118.8K6.46105.51N/AN/A7084,5717614,688
2018-11-12$63.29$67.0032.9%6.7%28.5%89.8%19.9%5.6%-0.8%-392.5K10.5M-118.0K1.16102.31N/AN/A23,67827,5707614,688
2018-11-13$64.36$67.0039.5%8.6%28.4%100.0%17.6%19.8%4.7%-416.6K114.3M-402.7K1.16105.80N/AN/A23,67827,57023,76127,687
2018-11-14$64.85$67.0028.5%8.2%28.2%67.1%17.7%10.5%-9.5%-414.8K106.7M-429.9K1.16104.49N/AN/A23,67827,57023,76127,687
2018-11-15$66.03$67.0033.5%9.6%27.7%82.0%25.5%24.7%-10.6%-423.6K72.8M-566.5K1.16122.97N/AN/A23,68027,57023,76127,687
2018-11-16$66.30$67.0024.0%6.9%27.5%53.4%22.0%5.8%0.4%-399.5K90.2M-516.0K1.00103.49N/AN/A23,68023,57023,76627,687
2018-11-19$65.12$67.0019.1%5.5%28.0%38.6%20.5%3.1%-8.7%-360.2K101.5M-457.2K0.99104.55N/AN/A23,67823,51723,76427,634
2018-11-20$63.99$67.0027.2%7.8%28.4%63.0%24.6%8.9%-0.9%-413.5K114.0M-389.2K0.9994.79N/AN/A23,67823,55723,76327,634
2018-11-21$65.08$67.0024.8%7.1%27.5%55.8%23.1%6.3%-2.2%-354.8K74.8M-506.5K0.99110.33N/AN/A23,67823,55723,76327,674
2018-11-23$64.45$67.0029.5%8.5%27.7%70.0%24.6%6.0%-8.8%-407.6K110.2M-397.3K0.99108.35N/AN/A23,87523,55723,76327,674
2018-11-26$65.77$67.0024.3%7.0%27.7%54.4%21.0%5.2%-1.6%-365.1K102.8M-434.9K0.99102.11N/AN/A23,88123,55723,96027,674
2018-11-27$65.88$67.0025.0%7.2%26.1%56.4%18.6%6.4%-2.8%-376.5K117.6M-363.2K0.99105.36N/AN/A23,88123,55723,96727,674
2018-11-28$67.31$67.0024.5%7.0%26.1%54.9%18.3%10.2%-4.1%-358.2K88.9M-467.9K28.96108.44N/AN/A81323,54723,96727,674
2018-11-29$66.89$67.0020.3%5.8%25.8%42.2%22.0%7.1%-0.4%-302.6K83.8M-497.8K28.58109.96N/AN/A82423,54723,95927,674
2018-11-30$66.72$67.0029.4%8.4%23.5%69.6%27.4%4.5%9.0%-364.9K74.5M-509.1K25.27113.22N/AN/A93223,54723,95927,674