AAXJ Options History — September 2019

In September 2019, AAXJ traded between $64.81 and $68.94. ATM implied volatility averaged 17.0%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.3% (HV 20d: 14.7%). Max pain ranged from $60.00 to $67.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.25.

Notable Days

  • 2019-09-17: Highest Volume — 359 contracts
  • 2019-09-24: Largest IV spike — 15.3% change
  • 2019-09-03: Highest IV Rank — 31.1%
  • 2019-09-03: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.23$64.81$68.94$64.81$66.38
Max Pain$65.85$60.00$67.00$60.00$67.00
ATM IV17.0%14.8%21.2%21.2%17.5%
Expected Move4.9%4.3%6.1%6.1%5.0%
HV 20d14.7%11.7%18.6%17.2%13.6%
HV 60d16.8%16.1%17.7%17.3%16.4%
IV Rank15.1%7.1%31.1%31.1%17.1%
IV Percentile39.4%14.7%69.8%69.8%48.4%
Term Structure1.1%-0.5%3.1%-0.5%0.4%
VWIV16.2%9.8%20.4%20.4%9.8%
Skew 25d4.0%3.2%5.2%5.2%4.2%
Skew 10d8.7%6.4%12.8%11.6%9.7%
Call IV 25d15.4%14.1%19.4%19.4%15.1%
Put IV 25d19.4%17.5%24.6%24.6%19.3%
Bid-Ask Spread %71.1953.5885.5069.5681.65
Gamma HHI0.370.350.390.370.39
Net GEX-1.4M-2.3M-442.1K-2.1M-2.3M
Net DEX11.1M-2.0M33.1M33.1M17.1M
Net VEX-403.1K-473.3K-339.0K-473.3K-339.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.250.0021.330.000.00
Total Volume34.85035921
Total OI39,786.339,63740,14439,63939,729

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$64.81$60.0021.2%6.1%17.2%31.1%20.4%5.2%-0.5%-2.1M33.1M-473.3K0.0069.56N/AN/A2010,55129,088
2019-09-04$66.10$60.0019.6%5.6%18.1%25.1%19.0%5.1%-0.1%-1.6M21.5M-461.2K0.0077.96N/AN/A3010,54929,088
2019-09-05$66.98$64.0017.1%5.1%18.6%15.5%0.0%3.6%0.6%-1.1M14.0M-446.7K0.0659.74N/AN/A16110,55129,088
2019-09-06$67.16$64.0016.3%5.0%18.1%12.7%0.0%4.1%0.8%-1.0M13.0M-455.5K0.0053.58N/AN/A0010,55529,088
2019-09-09$67.38$64.0017.7%5.0%17.6%17.9%17.5%4.0%1.6%-1.2M12.8M-459.7K0.0057.32N/AN/A0110,55529,087
2019-09-10$67.35$67.0017.8%5.0%16.7%18.3%0.0%4.2%0.6%-934.0K10.3M-445.8K0.0059.66N/AN/A011010,55529,088
2019-09-11$67.94$67.0016.4%4.7%16.4%13.2%0.0%4.0%1.2%-734.9K5.9M-432.0K21.3368.66N/AN/A36410,55529,198
2019-09-12$68.44$67.0016.6%4.7%13.5%13.6%13.6%4.2%0.9%-527.0K1.9M-429.2K0.0072.47N/AN/A3010,55329,262
2019-09-13$68.94$67.0015.5%4.4%13.4%9.7%0.0%3.5%1.6%-442.1K-2.0M-413.8K0.6371.23N/AN/A161010,55429,262
2019-09-16$67.99$67.0016.9%4.8%14.0%14.9%0.0%3.7%0.4%-963.9K6.9M-442.0K0.0070.91N/AN/A01010,55729,272
2019-09-17$68.05$67.0016.7%4.8%13.8%14.3%0.0%3.8%1.1%-702.3K5.9M-424.5K0.4875.46N/AN/A24311610,55729,282
2019-09-18$67.83$67.0016.2%4.7%14.0%12.4%0.0%3.6%2.5%-1.6M3.3M-356.8K0.0078.74N/AN/A04010,78029,324
2019-09-19$67.51$67.0015.4%4.4%14.1%9.2%0.0%3.2%3.1%-1.8M5.4M-358.3K0.0079.52N/AN/A0010,78029,364
2019-09-20$67.55$67.0015.3%4.4%13.0%9.1%0.0%3.7%2.8%-1.8M3.5M-341.5K0.0081.75N/AN/A01010,78029,364
2019-09-23$67.58$67.0014.8%4.3%11.7%7.1%0.0%3.4%1.5%-1.7M5.9M-339.0K0.0085.50N/AN/A0010,52829,214
2019-09-24$67.03$67.0017.1%4.9%12.2%15.7%17.1%3.8%0.6%-2.0M11.0M-352.5K0.0073.83N/AN/A1010,52829,214
2019-09-25$66.94$67.0016.2%4.6%12.2%12.3%9.8%4.1%1.5%-2.0M13.4M-357.2K0.0069.09N/AN/A1010,52829,214
2019-09-26$66.81$67.0016.4%4.7%12.2%12.8%0.0%4.0%0.9%-2.1M12.6M-350.4K0.0073.59N/AN/A0010,52829,214
2019-09-27$65.81$67.0018.4%5.3%13.3%20.5%0.0%4.9%0.5%-2.0M26.9M-382.5K0.0063.54N/AN/A04610,52829,214
2019-09-30$66.38$67.0017.5%5.0%13.6%17.1%0.0%4.2%0.4%-2.3M17.1M-339.8K0.0081.65N/AN/A1010,52729,202