AAXJ Options History — October 2019

In October 2019, AAXJ traded between $65.62 and $69.67. ATM implied volatility averaged 15.8%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.5% (HV 20d: 12.3%). Max pain ranged from $66.00 to $69.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 2.09.

Notable Days

  • 2019-10-07: Highest Volume — 1,570 contracts
  • 2019-10-31: Largest IV spike — 12.7% change
  • 2019-10-07: Highest IV Rank — 23.9%
  • 2019-10-03: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.80$65.62$69.67$65.90$69.05
Max Pain$66.87$66.00$69.00$67.00$69.00
ATM IV15.8%12.6%19.3%17.7%14.2%
Expected Move4.5%3.6%5.6%5.1%4.1%
HV 20d12.3%11.1%13.6%13.6%11.3%
HV 60d16.5%14.0%17.4%16.3%14.0%
IV Rank10.9%0.0%23.9%18.1%6.0%
IV Percentile28.5%0.0%63.5%51.6%12.7%
Term Structure1.8%0.2%2.7%0.5%2.3%
VWIV16.4%13.0%19.7%19.6%13.4%
Skew 25d3.6%1.8%5.5%4.8%2.5%
Skew 10d9.7%5.8%14.9%14.2%7.5%
Call IV 25d14.4%12.3%17.6%15.8%13.1%
Put IV 25d17.9%14.1%22.6%20.7%15.6%
Bid-Ask Spread %75.7959.46101.2669.3293.48
Gamma HHI0.470.360.660.360.60
Net GEX356.0K-2.7M3.1M-1.8M2.7M
Net DEX-4.9M-26.8M27.6M26.4M-20.1M
Net VEX-252.7K-376.4K-185.2K-376.3K-195.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.090.0015.000.330.00
Total Volume82.43501,57040
Total OI40,789.34839,71241,14639,73041,145

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-10-01$65.90$67.0017.7%5.1%13.6%18.1%19.6%4.8%0.5%-1.8M26.4M-376.3K0.0069.32N/AN/A0410,52829,202
2019-10-02$65.62$67.0019.1%5.5%11.8%23.0%0.0%5.0%0.2%-2.2M27.6M-373.0K0.0085.33N/AN/A02210,52829,206
2019-10-03$66.31$66.0019.0%5.6%11.4%22.9%19.7%5.5%1.1%-1.7M22.7M-376.4K0.3359.46N/AN/A3110,52829,184
2019-10-04$66.44$66.0018.3%5.3%11.4%20.3%0.0%4.7%1.4%-2.4M16.7M-327.2K0.0061.66N/AN/A0010,52929,184
2019-10-07$66.08$66.0019.3%5.4%11.4%23.9%0.0%4.8%0.9%-2.7M18.7M-310.7K0.0074.84N/AN/A1,570010,52929,184
2019-10-08$65.66$66.0019.0%5.3%11.5%22.8%0.0%4.8%1.2%-1.7M25.0M-354.5K0.0064.82N/AN/A0511,79629,184
2019-10-09$66.17$66.0018.7%5.4%11.4%21.6%0.0%4.6%1.4%-2.5M15.0M-316.0K0.0084.13N/AN/A0011,79629,189
2019-10-10$66.74$66.0017.4%5.0%11.6%16.7%0.0%4.4%1.2%-2.3M5.2M-273.5K0.0065.49N/AN/A02011,79629,189
2019-10-11$68.01$66.0016.6%4.8%13.3%13.7%0.0%3.4%1.9%-775.9K-8.6M-261.5K0.0069.79N/AN/A151011,79629,169
2019-10-14$67.60$66.0015.9%4.6%12.5%11.3%0.0%4.4%1.7%-779.9K-6.7M-242.9K0.0071.70N/AN/A0211,93729,169
2019-10-15$68.26$66.0015.3%4.4%13.0%9.0%0.0%3.4%2.1%642.0K-15.0M-211.6K0.0065.21N/AN/A01211,93729,171
2019-10-16$68.40$66.0015.0%4.3%13.0%7.7%0.0%3.5%2.4%945.4K-16.4M-212.5K0.0069.57N/AN/A0011,93729,171
2019-10-17$68.67$66.0014.1%4.0%12.9%4.3%0.0%3.3%2.3%2.1M-19.4M-205.8K0.0067.64N/AN/A0011,93729,171
2019-10-18$68.15$66.0014.8%4.3%13.2%7.1%0.0%3.2%2.2%896.9K-13.4M-206.7K0.0069.68N/AN/A0011,93729,171
2019-10-21$68.72$66.0014.0%4.0%13.5%4.0%13.0%2.4%2.3%2.3M-19.7M-197.2K0.0083.69N/AN/A5011,93429,161
2019-10-22$68.59$66.0013.8%4.0%13.2%3.4%0.0%2.9%2.6%1.6M-16.2M-209.0K0.0074.14N/AN/A0011,93729,161
2019-10-23$68.55$66.0013.7%3.9%13.1%2.8%13.4%3.3%1.9%2.3M-16.6M-197.8K1.4075.47N/AN/A202811,93729,161
2019-10-24$68.74$69.0013.6%3.9%13.1%2.6%0.0%2.9%2.6%2.3M-19.0M-194.7K0.0089.13N/AN/A02211,95729,189
2019-10-25$69.15$69.0013.4%3.8%11.6%1.6%0.0%2.6%2.6%2.7M-22.5M-195.0K0.0072.88N/AN/A10011,95729,157
2019-10-28$69.67$69.0013.4%3.8%11.6%1.6%0.0%2.0%2.5%2.7M-26.8M-203.4K15.0083.95N/AN/A11511,96729,157
2019-10-29$69.31$69.0014.4%4.1%11.3%5.5%0.0%2.0%2.3%2.8M-24.7M-186.6K0.0090.52N/AN/A0011,96829,172
2019-10-30$69.56$69.0012.6%3.6%11.1%0.0%0.0%1.8%2.7%3.1M-25.9M-185.2K0.00101.26N/AN/A5011,96829,172
2019-10-31$69.05$69.0014.2%4.1%11.3%6.0%0.0%2.5%2.3%2.7M-20.1M-195.6K0.0093.48N/AN/A0011,97329,172