AAXJ Options History — December 2018

In December 2018, AAXJ traded between $62.28 and $68.23. ATM implied volatility averaged 25.0%, placing in the 55.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.6% (HV 20d: 22.4%). Max pain ranged from $67.00 to $70.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 10.62.

Notable Days

  • 2018-12-24: Highest Volume — 10,555 contracts
  • 2018-12-11: Largest IV drop — 26.2% change
  • 2018-12-07: Highest IV Rank — 77.6%
  • 2018-12-24: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.63$62.28$68.23$68.23$63.50
Max Pain$69.55$67.00$70.00$67.00$70.00
ATM IV25.0%21.2%32.0%22.3%23.8%
Expected Move6.8%5.0%7.6%6.4%6.8%
HV 20d22.4%19.2%25.6%24.6%19.5%
HV 60d23.8%23.4%24.3%23.4%23.6%
IV Rank55.6%44.8%77.6%48.3%44.8%
IV Percentile86.3%71.8%98.0%81.3%80.2%
Term Structure-0.8%-3.5%1.3%-2.0%-0.1%
VWIV25.8%14.4%29.6%25.8%28.1%
Skew 25d5.3%1.7%11.3%1.7%3.3%
Skew 10d12.7%7.1%20.6%16.8%7.1%
Call IV 25d21.8%17.2%24.4%23.5%22.2%
Put IV 25d27.2%25.2%29.1%25.2%25.5%
Bid-Ask Spread %95.4282.31108.60108.6090.46
Gamma HHI0.500.410.560.410.53
Net GEX185.0K-407.0K1.1M-232.1K936.9K
Net DEX106.9M61.6M133.1M61.6M106.7M
Net VEX-393.1K-521.4K-249.8K-521.4K-402.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.620.0079.331.5059.50
Total Volume2,604.2110,555151
Total OI55,132.0551,70661,73551,71458,833

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$68.23$67.0022.3%6.4%24.6%48.3%25.8%1.7%-2.0%-232.1K61.6M-521.4K1.50108.60N/AN/A6924,04327,671
2018-12-04$66.98$67.0024.5%7.0%25.6%55.0%27.8%7.6%-3.5%-295.4K82.4M-461.7K0.41103.24N/AN/A22924,04627,666
2018-12-05$66.85$67.0024.2%6.9%25.6%54.0%29.4%9.4%-3.4%-285.3K80.5M-464.4K0.41105.50N/AN/A22924,04627,666
2018-12-06$66.03$70.0028.1%6.8%24.8%65.7%0.0%5.6%-1.5%-317.9K109.2M-379.0K0.0094.45N/AN/A1024,04627,666
2018-12-07$65.37$70.0032.0%5.0%23.6%77.6%0.0%11.3%1.3%-292.4K95.4M-408.1K0.39105.67N/AN/A23924,05527,666
2018-12-10$64.42$70.0031.4%7.0%23.2%75.7%0.0%5.6%-0.7%-388.1K127.5M-288.6K0.5094.31N/AN/A2124,04727,666
2018-12-11$64.94$70.0023.2%6.6%22.9%50.9%0.0%6.2%-0.2%-369.8K125.0M-317.1K0.0395.31N/AN/A36124,04527,666
2018-12-12$66.03$70.0021.2%6.1%22.9%44.9%0.0%7.0%-0.3%-321.1K107.1M-354.6K0.03104.20N/AN/A36124,04627,666
2018-12-13$66.03$70.0022.1%6.3%22.8%47.7%20.0%4.5%0.9%-302.7K116.5M-340.9K0.0298.53N/AN/A42124,04627,666
2018-12-14$65.09$70.0023.0%6.6%22.4%50.2%14.4%6.4%-0.2%-376.6K123.8M-312.5K0.0296.95N/AN/A42124,04027,666
2018-12-17$64.26$70.0024.7%7.1%22.8%55.5%29.6%4.8%-0.4%-407.0K121.3M-299.0K0.00102.45N/AN/A10024,04027,666
2018-12-18$64.02$70.0024.9%7.1%21.9%55.9%26.1%4.6%-1.5%-389.5K133.1M-249.8K0.0082.31N/AN/A10,019624,04827,672
2018-12-19$62.66$70.0024.3%7.0%22.4%54.2%25.1%4.3%-0.5%950.8K105.7M-453.7K0.0085.53N/AN/A10,0273534,04827,671
2018-12-20$63.19$70.0024.5%7.0%21.7%54.7%24.3%4.2%-0.7%839.4K111.9M-464.5K0.0185.24N/AN/A10,0435534,05627,669
2018-12-21$62.67$70.0024.9%7.2%21.6%56.2%26.6%3.6%-0.9%881.4K112.0M-438.3K0.0192.89N/AN/A10,2429334,07227,663
2018-12-24$62.28$70.0026.5%7.6%20.1%60.9%28.0%4.2%-1.5%762.6K121.8M-411.9K0.0394.81N/AN/A10,27428134,03427,559
2018-12-26$63.26$70.0024.7%7.1%21.1%55.6%27.3%3.6%0.1%1.1M100.0M-436.3K79.3390.91N/AN/A323834,03424,785
2018-12-27$63.14$70.0025.6%7.3%19.2%58.1%28.1%4.1%-0.8%1.1M100.8M-422.8K59.5086.02N/AN/A423834,03724,796
2018-12-28$63.66$70.0024.2%7.0%19.5%46.5%27.3%4.3%-0.7%1.1M95.5M-434.7K59.5090.98N/AN/A423834,03724,796
2018-12-31$63.50$70.0023.8%6.8%19.5%44.8%28.1%3.3%-0.1%936.9K106.7M-402.1K0.0090.46N/AN/A0134,03724,796