AAXJ Options History — July 2019

In July 2019, AAXJ traded between $67.92 and $70.74. ATM implied volatility averaged 15.0%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.4% (HV 20d: 12.7%). Max pain ranged from $67.00 to $76.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 121.84.

Notable Days

  • 2019-07-18: Highest Volume — 602 contracts
  • 2019-07-08: Largest IV spike — 14.5% change
  • 2019-07-30: Highest IV Rank — 13.3%
  • 2019-07-30: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.56$67.92$70.74$70.74$67.92
Max Pain$68.64$67.00$76.00$70.00$67.00
ATM IV15.0%13.2%16.5%14.4%15.8%
Expected Move4.4%3.8%4.7%4.1%4.5%
HV 20d12.7%7.4%16.7%15.7%7.9%
HV 60d16.3%15.6%16.7%16.6%15.6%
IV Rank7.9%0.8%13.3%5.6%10.8%
IV Percentile19.8%0.4%38.1%10.3%29.4%
Term Structure0.6%-0.3%1.3%0.8%0.6%
VWIV15.4%12.9%17.4%13.9%15.5%
Skew 25d2.9%1.9%3.3%2.2%3.1%
Skew 10d7.9%2.8%10.7%9.1%10.7%
Call IV 25d14.0%12.8%15.3%13.8%15.0%
Put IV 25d16.9%14.7%18.6%16.0%18.1%
Bid-Ask Spread %68.1248.4182.3957.8972.59
Gamma HHI0.350.340.370.350.35
Net GEX-621.7K-936.2K-347.6K-592.0K-936.2K
Net DEX-5.3M-14.8M8.1M-13.0M8.1M
Net VEX-521.5K-547.0K-505.5K-512.1K-522.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio121.840.00601.000.000.00
Total Volume152.6820602715
Total OI40,734.27339,59241,80841,20239,630

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$70.74$70.0014.4%4.1%15.7%5.6%13.9%2.2%0.8%-592.0K-13.0M-512.1K0.0057.89N/AN/A7010,36230,840
2019-07-02$70.72$70.0013.2%3.8%15.8%0.9%12.9%2.2%1.2%-347.6K-14.8M-509.0K0.0060.44N/AN/A5010,36930,840
2019-07-03$70.38$70.0014.1%4.0%15.7%4.2%13.9%1.9%1.3%-396.4K-12.9M-509.0K0.6782.39N/AN/A151010,36930,840
2019-07-05$69.76$76.0013.2%4.3%16.2%0.8%0.0%3.2%0.5%-504.3K-9.0M-529.0K0.6352.91N/AN/A161010,36930,840
2019-07-08$69.10$76.0015.1%4.5%16.7%8.0%17.4%3.3%0.1%-897.8K-2.0M-547.0K10.0054.54N/AN/A33010,36030,830
2019-07-09$68.88$67.0014.8%4.4%16.4%6.8%17.2%3.3%0.4%-770.9K-2.4M-526.9K9.0048.41N/AN/A43610,36030,850
2019-07-10$69.28$67.0014.8%4.2%16.2%7.1%16.4%2.7%0.6%-704.5K-4.4M-519.6K9.0065.70N/AN/A43610,35930,856
2019-07-11$69.27$67.0015.1%4.3%15.2%8.2%17.1%3.3%0.8%-712.0K-3.0M-542.8K3.0073.93N/AN/A123610,35930,856
2019-07-12$69.42$67.0015.7%4.5%15.2%10.5%17.0%2.7%0.8%-805.3K-1.8M-546.8K2.4372.65N/AN/A143410,35530,856
2019-07-15$69.74$68.0014.9%4.3%14.8%7.5%0.0%3.3%0.8%-658.8K-5.0M-541.6K0.0075.71N/AN/A060010,35630,850
2019-07-16$69.78$68.0014.8%4.2%14.6%7.1%0.0%2.9%0.9%-545.9K-8.3M-508.1K600.0081.43N/AN/A160010,35631,450
2019-07-17$69.52$68.0014.7%4.2%11.8%6.6%0.0%3.2%0.9%-528.0K-6.5M-514.1K600.0079.39N/AN/A160010,35731,450
2019-07-18$69.76$68.0014.9%4.3%11.5%7.4%0.0%2.8%1.1%-574.1K-5.4M-525.7K601.0078.11N/AN/A160110,35731,450
2019-07-19$69.70$68.0015.1%4.3%10.2%8.1%0.0%3.1%0.8%-768.2K-4.6M-521.7K601.0081.99N/AN/A160110,35731,451
2019-07-22$69.65$68.0015.8%4.5%10.1%10.8%0.0%3.3%0.3%-551.3K-6.3M-515.1K0.0066.75N/AN/A0010,35129,241
2019-07-23$69.94$68.0015.3%4.4%10.2%9.1%14.0%2.5%0.4%-507.7K-7.3M-517.2K0.0071.03N/AN/A2010,35129,241
2019-07-24$69.99$68.0015.3%4.4%9.5%9.0%14.2%2.6%0.3%-462.0K-7.6M-515.4K0.0066.21N/AN/A6010,35329,241
2019-07-25$69.49$68.0016.2%4.6%9.4%12.1%15.9%2.9%0.2%-582.3K-4.9M-509.0K0.0065.72N/AN/A21010,35729,241
2019-07-26$69.55$67.0015.1%4.3%8.8%8.2%15.5%2.8%0.7%-534.6K-5.8M-505.5K0.0065.21N/AN/A21010,37229,241
2019-07-29$69.16$67.0016.3%4.7%9.0%12.5%0.0%2.4%-0.3%-608.0K-1.9M-510.5K0.0058.31N/AN/A1010,37429,241
2019-07-30$68.60$67.0016.5%4.7%7.4%13.3%0.0%3.3%0.1%-690.5K2.0M-523.1K0.0067.40N/AN/A15010,37529,241
2019-07-31$67.92$67.0015.8%4.5%7.9%10.8%0.0%3.1%0.6%-936.2K8.1M-522.8K0.0072.59N/AN/A15010,38929,241