AAXJ Options History — November 2019

In November 2019, AAXJ traded between $69.58 and $72.04. ATM implied volatility averaged 15.0%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.7% (HV 20d: 12.3%). Max pain ranged from $68.00 to $69.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2019-11-20: Highest Volume — 2,530 contracts
  • 2019-11-11: Largest IV spike — 15.9% change
  • 2019-11-14: Highest IV Rank — 19.2%
  • 2019-11-13: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.54$69.58$72.04$70.28$69.58
Max Pain$68.05$68.00$69.00$69.00$68.00
ATM IV15.0%12.5%17.1%13.7%15.8%
Expected Move4.5%3.9%4.9%3.9%4.5%
HV 20d12.3%11.3%14.3%12.6%14.3%
HV 60d12.8%11.9%14.2%14.2%12.3%
IV Rank11.1%0.0%19.2%4.1%16.6%
IV Percentile25.5%0.0%54.0%7.5%38.9%
Term Structure-0.7%-1.5%2.3%2.3%-1.5%
VWIV16.8%15.8%17.8%17.8%16.3%
Skew 25d2.9%1.4%3.5%1.4%2.7%
Skew 10d4.3%1.4%8.7%3.9%4.2%
Call IV 25d14.4%12.3%15.8%13.3%14.8%
Put IV 25d17.3%14.7%19.2%14.7%17.5%
Bid-Ask Spread %72.4559.83103.68103.6882.75
Gamma HHI0.800.750.850.820.76
Net GEX3.8M3.1M4.6M3.6M3.4M
Net DEX-32.9M-49.4M-14.9M-33.3M-14.9M
Net VEX-172.0K-186.3K-159.9K-186.3K-167.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.003.673.670.50
Total Volume137.302,53003
Total OI41,930.841,14543,71841,14543,718

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$70.28$69.0013.7%3.9%12.6%4.1%0.0%1.4%2.3%3.6M-33.3M-186.3K0.00103.68N/AN/A0011,97329,172
2019-11-04$71.12$68.0014.1%4.8%12.5%5.5%17.8%3.4%-0.9%3.5M-40.8M-180.3K3.6759.83N/AN/A31111,97329,172
2019-11-05$71.58$68.0013.5%4.7%12.0%3.3%17.3%3.3%-1.0%3.5M-44.8M-174.4K1.2362.68N/AN/A354311,97629,169
2019-11-06$71.49$68.0013.8%4.8%12.1%4.1%0.0%3.1%-1.1%3.6M-44.0M-177.3K0.0063.05N/AN/A0011,99529,165
2019-11-07$72.04$68.0013.5%4.6%12.0%3.1%0.0%3.2%-1.0%3.6M-49.4M-167.6K0.0068.38N/AN/A0011,99529,165
2019-11-08$71.51$68.0012.5%4.5%11.3%0.0%0.0%3.0%-0.8%3.5M-44.8M-172.2K0.0067.78N/AN/A0011,99529,165
2019-11-11$70.81$68.0014.5%4.7%11.7%7.4%0.0%3.2%-0.5%3.7M-38.8M-169.9K0.0064.79N/AN/A01811,99529,165
2019-11-12$70.42$68.0016.3%4.8%11.7%13.8%16.9%3.2%-1.0%4.0M-34.6M-173.4K0.0069.23N/AN/A02811,99529,183
2019-11-13$69.74$68.0017.1%4.9%12.4%16.8%17.0%3.5%-1.3%3.8M-28.0M-170.4K0.0063.63N/AN/A3011,99529,197
2019-11-14$69.63$68.0016.6%4.7%12.3%19.2%16.2%2.8%-1.0%4.0M-26.7M-167.2K0.2067.44N/AN/A5111,99829,197
2019-11-15$70.09$68.0016.2%4.7%12.1%17.6%15.8%2.9%-0.9%4.1M-31.5M-168.3K0.0072.68N/AN/A41011,99829,198
2019-11-18$70.22$68.0015.6%4.5%11.8%15.6%0.0%2.7%-0.7%4.4M-32.7M-162.9K0.0071.44N/AN/A0011,97829,184
2019-11-19$70.56$68.0015.3%4.4%11.8%14.5%0.0%2.6%-0.8%4.5M-36.5M-160.8K0.0069.39N/AN/A8011,97829,185
2019-11-20$70.06$68.0015.9%4.6%12.2%17.3%0.0%2.9%-1.3%4.6M-30.7M-159.9K0.0072.79N/AN/A02,53011,98629,185
2019-11-21$69.74$68.0015.5%4.4%12.3%15.3%0.0%3.0%-0.5%3.1M-17.6M-183.1K0.0073.29N/AN/A01011,98631,715
2019-11-22$69.74$68.0015.0%4.3%12.2%12.7%0.0%3.2%-0.4%3.3M-17.0M-181.0K0.0084.73N/AN/A0711,98631,725
2019-11-25$70.74$68.0014.9%4.3%12.9%12.4%0.0%2.5%-0.7%3.5M-31.0M-174.8K0.0073.88N/AN/A0011,98631,732
2019-11-26$70.58$68.0014.5%4.2%12.8%10.2%0.0%2.4%-0.1%3.9M-28.8M-172.2K0.0075.65N/AN/A0011,98631,732
2019-11-27$70.88$68.0014.9%4.3%12.8%12.1%0.0%3.4%-1.4%3.8M-33.2M-170.1K0.0081.85N/AN/A0011,98631,732
2019-11-29$69.58$68.0015.8%4.5%14.3%16.6%16.3%2.7%-1.5%3.4M-14.9M-167.6K0.5082.75N/AN/A2111,98631,732