AAXJ Options History — January 2019

In January 2019, AAXJ traded between $61.73 and $68.83. ATM implied volatility averaged 19.3%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 0.9% (HV 20d: 20.2%). Max pain ranged from $62.00 to $70.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 236.89.

Notable Days

  • 2019-01-11: Highest Volume — 22,018 contracts
  • 2019-01-22: Largest IV spike — 17.8% change
  • 2019-01-03: Highest IV Rank — 46.1%
  • 2019-01-03: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.74$61.73$68.83$62.97$68.83
Max Pain$63.81$62.00$70.00$70.00$68.00
ATM IV19.3%16.5%24.1%23.5%16.5%
Expected Move5.5%4.8%6.8%6.7%5.0%
HV 20d20.2%17.3%21.6%17.3%20.5%
HV 60d23.3%21.4%24.9%23.7%21.4%
IV Rank24.2%12.7%46.1%43.8%12.7%
IV Percentile47.7%14.3%81.7%78.6%14.3%
Term Structure0.3%-1.1%1.2%-1.1%0.5%
VWIV19.6%13.9%27.6%27.6%18.3%
Skew 25d3.2%1.9%4.7%4.4%3.5%
Skew 10d7.4%4.5%12.0%7.3%6.9%
Call IV 25d17.8%16.2%22.3%21.2%16.6%
Put IV 25d21.1%18.1%26.3%25.6%20.1%
Bid-Ask Spread %72.6147.9092.1592.1555.40
Gamma HHI0.430.340.620.530.34
Net GEX-235.1K-1.3M1.7M979.1K-325.8K
Net DEX45.7M-4.7M109.1M109.1M-4.7M
Net VEX-697.7K-854.9K-361.4K-376.8K-757.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio236.890.002750.000.001.13
Total Volume2,150.286022,018134
Total OI52,318.04837,15970,84858,83337,640

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$62.97$70.0023.5%6.7%17.3%43.8%27.6%4.4%-1.1%979.1K109.1M-376.8K0.0092.15N/AN/A0134,03724,796
2019-01-03$61.73$62.0024.1%6.8%17.4%46.1%0.0%4.1%0.1%991.6K42.1M-361.4K0.0047.90N/AN/A0134,03714,796
2019-01-04$63.72$62.0021.9%6.3%21.6%38.3%0.0%4.7%-0.2%1.4M43.0M-381.0K0.0052.83N/AN/A0234,03714,796
2019-01-07$64.08$62.0021.9%6.2%21.4%37.3%20.1%3.9%0.1%1.3M41.3M-383.1K0.0071.40N/AN/A4034,03714,793
2019-01-08$64.18$62.0021.7%6.0%21.2%34.3%19.6%3.5%0.2%1.2M45.6M-376.4K0.0060.94N/AN/A4034,04114,793
2019-01-09$65.27$62.0020.3%5.8%21.4%29.2%19.7%3.4%0.3%1.7M39.1M-389.8K0.0066.65N/AN/A8034,04514,793
2019-01-10$65.76$62.0019.4%5.5%21.4%23.6%19.4%3.2%-0.0%-308.0K82.3M-850.7K2750.0069.54N/AN/A822,00034,04536,793
2019-01-11$65.44$62.0018.7%5.4%20.6%21.0%17.1%3.5%0.6%-936.4K83.5M-852.6K1222.2274.94N/AN/A1822,00034,04536,793
2019-01-14$64.84$62.0018.8%5.4%20.9%21.3%0.0%3.4%0.3%-1.1M85.9M-849.0K0.0072.43N/AN/A0034,05536,793
2019-01-15$65.33$62.0018.4%5.3%20.4%19.9%0.0%2.8%0.4%-1.0M80.9M-834.5K0.0079.45N/AN/A1034,05536,793
2019-01-16$66.17$62.0018.0%5.2%20.3%18.1%21.3%3.0%0.4%-990.6K80.8M-841.8K19.0078.88N/AN/A11934,05536,793
2019-01-17$66.37$62.0018.1%5.2%20.2%18.6%21.6%2.5%0.3%-910.6K79.7M-827.6K19.0081.28N/AN/A11934,05536,793
2019-01-18$66.88$62.0016.8%4.8%18.3%13.8%18.2%1.9%0.9%-886.2K77.8M-842.3K4.5474.76N/AN/A135934,05536,793
2019-01-22$65.49$65.0019.8%5.7%20.1%25.2%23.2%2.6%0.1%-1.3M15.5M-854.9K5.7988.30N/AN/A148110,67926,480
2019-01-23$66.12$65.0018.5%5.3%19.9%20.1%17.8%2.5%0.1%-877.3K18.4M-833.2K0.7375.74N/AN/A1148310,69226,561
2019-01-24$66.77$65.0017.5%5.0%19.8%16.3%18.0%3.1%0.5%-852.2K14.2M-833.3K0.6778.37N/AN/A1238310,79226,559
2019-01-25$67.84$65.0016.9%4.8%19.8%13.9%18.2%3.1%1.2%-738.6K7.8M-820.8K2.1575.72N/AN/A12326410,89226,559
2019-01-28$67.10$66.0018.4%5.3%20.4%19.9%0.0%3.1%0.2%-835.7K7.6M-798.3K0.6370.61N/AN/A161010,89226,740
2019-01-29$67.15$66.0017.7%5.1%20.3%17.0%19.1%2.8%0.6%-822.9K7.8M-801.5K0.6382.27N/AN/A161010,89626,740
2019-01-30$68.41$66.0017.8%5.1%21.0%17.7%13.9%2.3%0.2%-614.2K1.5M-784.4K0.6375.22N/AN/A161010,90026,740
2019-01-31$68.83$68.0016.5%5.0%20.5%12.7%18.3%3.5%0.5%-325.8K-4.7M-757.5K1.1355.40N/AN/A161810,90026,740