AAXJ Options History — December 2019

In December 2019, AAXJ traded between $68.94 and $73.60. ATM implied volatility averaged 14.8%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.0% (HV 20d: 12.8%). Max pain ranged from $68.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2019-12-13: Highest Volume — 719 contracts
  • 2019-12-11: Largest IV drop — 16.4% change
  • 2019-12-03: Highest IV Rank — 26.8%
  • 2019-12-03: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.73$68.94$73.60$69.42$73.51
Max Pain$69.71$68.00$70.00$68.00$70.00
ATM IV14.8%13.1%17.8%17.3%14.5%
Expected Move4.1%3.7%5.1%4.9%4.2%
HV 20d12.8%10.8%14.2%12.8%10.8%
HV 60d12.5%12.0%13.0%12.3%12.2%
IV Rank12.0%2.9%26.8%24.2%10.7%
IV Percentile26.0%1.2%66.7%59.9%23.8%
Term Structure1.1%-2.3%2.5%-2.3%0.9%
VWIV14.5%11.1%17.8%16.2%14.2%
Skew 25d2.1%1.1%2.9%2.5%2.7%
Skew 10d4.8%1.4%9.3%3.6%8.4%
Call IV 25d13.6%12.4%16.0%15.3%14.0%
Put IV 25d15.7%14.0%18.6%17.8%16.7%
Bid-Ask Spread %82.0664.3188.4282.4064.31
Gamma HHI0.780.640.920.760.71
Net GEX3.4M2.2M5.1M3.4M2.4M
Net DEX-47.0M-72.8M-5.9M-12.3M-70.0M
Net VEX-117.7K-160.1K-71.5K-160.1K-72.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.008.200.000.00
Total Volume56.04807191690
Total OI43,988.14343,72044,46843,72043,981

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$69.42$68.0017.3%4.9%12.8%24.2%16.2%2.5%-2.3%3.4M-12.3M-160.1K0.0082.40N/AN/A16011,98831,732
2019-12-03$68.94$68.0017.8%5.1%12.1%26.8%16.1%2.7%-2.2%3.1M-5.9M-153.0K0.0080.63N/AN/A32011,98831,732
2019-12-04$69.42$68.0017.0%4.9%12.1%23.1%17.0%2.9%-1.9%3.6M-11.7M-156.3K0.0075.92N/AN/A0112,02031,732
2019-12-05$69.83$70.0016.3%4.1%12.4%19.2%0.0%2.8%1.6%3.8M-17.6M-156.2K0.0082.45N/AN/A1012,02031,733
2019-12-06$70.23$70.0015.9%3.9%12.2%17.4%13.3%1.6%2.1%4.7M-23.8M-153.9K0.0080.80N/AN/A10012,02031,733
2019-12-09$69.81$70.0017.3%3.9%12.1%24.6%0.0%1.7%2.5%4.2M-16.8M-148.7K3.0087.36N/AN/A1312,03031,733
2019-12-10$70.09$70.0016.5%4.0%11.8%21.1%13.9%2.1%1.7%4.8M-21.6M-146.3K0.5079.74N/AN/A4212,03231,735
2019-12-11$70.98$70.0013.8%4.0%12.5%6.9%13.4%1.7%1.9%5.1M-36.3M-140.9K0.0681.02N/AN/A66412,03631,735
2019-12-12$72.41$70.0014.2%4.1%13.7%9.0%11.1%1.5%1.1%4.9M-58.8M-106.3K0.0885.35N/AN/A12112,02731,735
2019-12-13$72.38$70.0013.1%3.7%13.7%2.9%13.1%1.1%1.9%5.0M-61.3M-97.1K0.6687.42N/AN/A43328612,03731,735
2019-12-16$72.01$70.0014.0%4.0%13.8%7.9%14.2%1.8%1.0%3.3M-56.0M-125.8K0.2587.08N/AN/A8212,42332,021
2019-12-17$72.77$70.0014.1%4.0%14.2%8.4%14.7%2.5%1.2%2.8M-61.8M-119.6K0.4985.23N/AN/A532612,42732,022
2019-12-18$72.91$70.0013.7%3.9%14.1%6.4%0.0%2.1%1.9%2.7M-64.7M-110.9K0.0083.14N/AN/A4012,42832,034
2019-12-19$72.80$70.0013.7%3.9%13.8%6.1%13.0%2.1%2.1%2.7M-63.2M-109.2K0.0084.94N/AN/A6012,42832,034
2019-12-20$73.01$70.0013.1%3.8%13.6%3.0%15.5%2.1%2.5%2.3M-66.9M-99.5K8.2087.30N/AN/A54112,43432,034
2019-12-23$72.99$70.0013.6%3.9%13.6%5.6%12.8%2.4%1.3%2.7M-64.4M-96.8K0.2182.36N/AN/A24512,10931,875
2019-12-24$72.73$70.0013.5%3.9%13.0%5.0%0.0%1.9%1.6%2.9M-63.4M-93.9K0.0088.42N/AN/A0012,11531,880
2019-12-26$73.27$70.0013.5%3.9%13.1%5.0%17.8%2.0%1.6%2.5M-68.8M-79.3K0.0086.18N/AN/A0712,11531,880
2019-12-27$73.60$70.0013.6%3.9%13.1%5.9%14.4%1.9%1.1%2.2M-72.8M-71.5K0.2686.46N/AN/A23612,11531,884
2019-12-30$73.24$70.0015.0%4.3%11.0%13.2%16.2%1.8%1.0%2.5M-69.3M-73.5K1.5064.80N/AN/A2312,09831,881
2019-12-31$73.51$70.0014.5%4.2%10.8%10.7%14.2%2.7%0.9%2.4M-70.0M-72.6K0.0064.31N/AN/A90012,09931,882