AAXJ Options History — August 2019

In August 2019, AAXJ traded between $62.97 and $66.42. ATM implied volatility averaged 21.8%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.5% (HV 20d: 20.3%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 4.30.

Notable Days

  • 2019-08-12: Highest Volume — 251 contracts
  • 2019-08-05: Largest IV spike — 59.1% change
  • 2019-08-05: Highest IV Rank — 64.1%
  • 2019-08-14: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.54$62.97$66.42$66.42$65.23
Max Pain$61.55$60.00$70.00$67.00$60.00
ATM IV21.8%18.1%29.9%20.0%19.8%
Expected Move6.0%5.2%7.0%5.7%5.7%
HV 20d20.3%10.7%23.8%10.7%22.6%
HV 60d16.7%15.5%17.4%15.5%17.3%
IV Rank33.3%19.5%64.1%26.4%25.8%
IV Percentile73.8%55.6%97.6%71.4%65.1%
Term Structure-0.7%-3.0%0.7%-1.0%0.7%
VWIV22.6%16.5%26.8%24.1%23.1%
Skew 25d5.7%3.8%7.7%4.8%4.3%
Skew 10d12.4%8.0%20.6%12.2%8.0%
Call IV 25d18.7%16.6%21.1%17.8%17.9%
Put IV 25d24.3%21.0%28.8%22.6%22.2%
Bid-Ask Spread %62.5550.0884.2776.1574.53
Gamma HHI0.370.360.400.360.36
Net GEX-2.0M-2.5M-1.5M-1.5M-1.8M
Net DEX35.2M19.7M48.1M19.7M28.9M
Net VEX-519.0K-558.1K-477.2K-544.3K-477.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.300.0040.830.000.00
Total Volume28.6820251161
Total OI39,685.81839,62939,84739,63039,638

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$66.42$67.0020.0%5.7%10.7%26.4%0.0%4.8%-1.0%-1.5M19.7M-544.3K0.0076.15N/AN/A16010,38929,241
2019-08-02$65.74$67.0018.8%5.4%10.8%22.2%0.0%4.8%0.1%-1.6M24.8M-546.9K0.0084.27N/AN/A1010,38829,241
2019-08-05$63.15$70.0029.9%6.9%17.0%64.1%24.1%6.3%-2.8%-2.5M48.1M-558.1K5.7551.87N/AN/A84610,38829,241
2019-08-06$63.84$70.0025.1%6.3%17.9%45.8%26.2%6.6%-1.1%-2.2M41.3M-541.6K0.0756.58N/AN/A2061410,39629,267
2019-08-07$64.16$60.0024.2%6.4%17.8%42.3%0.0%7.1%-1.8%-2.2M39.2M-542.2K0.0053.94N/AN/A0010,57129,275
2019-08-08$65.05$60.0018.8%5.6%18.8%22.1%22.9%6.0%-0.6%-1.8M31.1M-533.1K0.0058.78N/AN/A0110,57129,275
2019-08-09$64.42$60.0020.3%5.9%18.9%27.5%0.0%6.2%-0.8%-2.2M36.9M-533.7K0.0071.32N/AN/A30010,57129,276
2019-08-12$63.59$60.0023.8%6.2%18.9%40.8%25.4%7.4%-1.4%-2.4M43.4M-536.2K40.8365.03N/AN/A624510,56229,276
2019-08-13$64.40$60.0024.1%6.1%19.8%42.2%19.1%6.2%-1.3%-2.0M34.9M-526.7K0.2556.88N/AN/A4110,56529,146
2019-08-14$62.97$60.0024.5%7.0%20.8%43.6%26.8%7.7%-3.0%-2.4M47.7M-530.4K0.0050.21N/AN/A2010,56729,146
2019-08-15$63.52$60.0023.4%6.7%21.2%39.3%21.4%7.4%-2.1%-2.2M44.7M-516.1K0.0050.08N/AN/A03610,56829,135
2019-08-16$64.58$60.0021.3%6.1%22.5%31.5%0.0%6.2%-0.7%-1.9M35.6M-523.8K0.0051.85N/AN/A0010,56829,121
2019-08-19$65.17$60.0020.4%5.8%22.9%28.0%0.0%5.3%0.5%-1.7M30.0M-513.7K0.0051.36N/AN/A0010,54329,088
2019-08-20$65.26$60.0019.5%5.6%22.8%24.7%0.0%5.1%0.5%-1.7M28.3M-494.3K0.0059.04N/AN/A0010,54329,088
2019-08-21$65.55$60.0018.1%5.2%22.9%19.5%16.5%4.4%0.7%-1.6M26.6M-505.8K0.0059.58N/AN/A2010,54329,088
2019-08-22$64.70$60.0019.3%5.5%23.2%24.0%0.0%4.3%0.2%-2.1M33.6M-513.6K0.0066.52N/AN/A0010,54529,088
2019-08-23$63.82$60.0022.2%6.4%23.4%35.0%0.0%5.8%-0.4%-2.2M40.6M-514.2K0.0056.81N/AN/A0010,54529,088
2019-08-26$64.22$60.0023.0%6.6%23.7%37.9%0.0%5.6%-0.6%-2.1M37.6M-492.5K0.0065.57N/AN/A0010,54529,088
2019-08-27$64.58$60.0021.7%6.2%23.8%33.1%20.1%4.9%-0.6%-2.0M35.0M-503.1K0.4070.72N/AN/A5210,54529,088
2019-08-28$64.51$60.0021.0%6.0%23.7%30.3%0.0%4.4%-0.2%-2.0M36.3M-488.8K0.0067.87N/AN/A0110,55029,090
2019-08-29$65.09$60.0019.7%5.7%22.8%25.5%23.1%3.8%0.1%-1.8M30.9M-481.8K0.0077.17N/AN/A0410,55029,091
2019-08-30$65.23$60.0019.8%5.7%22.6%25.8%0.0%4.3%0.7%-1.8M28.9M-477.2K0.0074.53N/AN/A1010,55029,088