AAXJ Options History — January 2020

In January 2020, AAXJ traded between $68.69 and $76.35. ATM implied volatility averaged 15.8%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 0.5% (HV 20d: 15.3%). Max pain ranged from $70.00 to $76.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 7.73.

Notable Days

  • 2020-01-31: Highest Volume — 411 contracts
  • 2020-01-13: Largest IV spike — 23.1% change
  • 2020-01-31: Highest IV Rank — 45.2%
  • 2020-01-31: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.67$68.69$76.35$74.83$68.69
Max Pain$73.71$70.00$76.00$70.00$72.00
ATM IV15.8%12.5%21.0%14.2%21.0%
Expected Move4.6%3.9%6.0%4.1%6.0%
HV 20d15.3%11.4%21.2%11.4%21.1%
HV 60d13.6%12.2%16.2%12.5%16.2%
IV Rank17.5%0.1%45.2%8.8%45.2%
IV Percentile43.9%0.4%92.9%19.0%92.9%
Term Structure0.5%-1.4%1.3%0.8%-1.4%
VWIV16.5%14.1%20.8%14.9%19.4%
Skew 25d3.0%1.1%5.1%1.6%5.1%
Skew 10d6.9%4.7%9.7%6.6%9.5%
Call IV 25d14.8%13.1%19.3%14.0%19.3%
Put IV 25d17.9%15.2%24.4%15.6%24.4%
Bid-Ask Spread %57.7540.4082.8580.2959.96
Gamma HHI0.380.230.690.540.45
Net GEX794.9K407.3K2.2M1.2M407.3K
Net DEX-50.4M-88.6M-2.0M-82.3M-2.0M
Net VEX-27.2K-58.3K-18.5K-37.1K-21.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.730.0055.000.083.52
Total Volume52.667041128411
Total OI26,262.5242,36044,20743,9812,641

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$74.83$70.0014.2%4.1%11.4%8.8%14.9%1.6%0.8%1.2M-82.3M-37.1K0.0880.29N/AN/A26212,09931,882
2020-01-03$73.70$70.0016.3%4.7%13.2%20.4%16.8%1.1%-0.2%2.1M-74.5M-58.3K55.0082.85N/AN/A15512,09831,883
2020-01-06$73.41$71.0016.8%4.6%13.4%23.1%0.0%3.1%0.8%2.2M-73.5M-54.5K0.0052.95N/AN/A4012,09731,938
2020-01-07$73.67$71.0014.9%4.3%13.4%12.6%0.0%3.1%0.7%1.7M-78.1M-41.9K1.0046.23N/AN/A4412,10131,938
2020-01-08$74.10$71.0014.3%4.3%13.0%9.5%0.0%3.1%0.9%996.0K-82.3M-29.1K0.0051.12N/AN/A0412,09731,936
2020-01-09$74.56$71.0012.7%4.1%13.1%1.1%0.0%3.0%0.8%587.1K-84.6M-24.1K0.0056.97N/AN/A0412,09731,934
2020-01-10$75.08$71.0012.5%4.1%12.7%0.1%15.1%2.8%1.1%530.1K-85.8M-22.2K1.2061.42N/AN/A5612,09731,932
2020-01-13$76.35$76.0015.4%4.2%12.2%15.6%15.0%3.0%1.3%456.9K-88.4M-18.5K0.1053.54N/AN/A92912,09732,006
2020-01-14$75.90$76.0014.8%4.1%12.5%12.2%0.0%2.9%1.0%513.8K-87.8M-20.9K0.0558.45N/AN/A19112,18932,011
2020-01-15$75.30$76.0014.5%4.2%12.8%10.6%14.1%2.8%1.1%517.7K-86.7M-20.8K0.1063.17N/AN/A10112,19132,012
2020-01-16$75.85$76.0013.8%3.9%12.5%6.6%0.0%2.3%1.0%603.5K-88.0M-19.4K0.0063.45N/AN/A0012,19532,012
2020-01-17$76.15$76.0013.8%4.0%12.5%6.8%17.2%2.1%1.2%725.4K-88.6M-19.0K0.6359.06N/AN/A8512,19532,012
2020-01-21$74.15$76.0015.4%4.4%16.2%15.6%14.8%2.5%0.3%551.9K-9.4M-21.9K0.8940.40N/AN/A981,953407
2020-01-22$74.51$75.0014.6%4.2%16.2%11.1%14.2%1.9%0.9%555.0K-9.9M-20.7K34.0057.78N/AN/A31021,960407
2020-01-23$73.88$75.0015.5%4.4%16.6%15.7%17.1%3.1%0.6%523.6K-8.7M-22.7K1.0052.46N/AN/A111,960503
2020-01-24$73.08$75.0016.7%4.8%17.0%22.2%16.8%3.5%0.3%524.4K-7.7M-24.0K0.1247.07N/AN/A1721,959504
2020-01-27$70.76$75.0019.9%5.7%20.3%39.3%20.8%3.7%-1.0%507.8K-4.8M-23.8K6.0055.17N/AN/A161,967505
2020-01-28$71.17$75.0018.5%5.3%20.4%31.8%16.5%4.1%0.1%529.1K-5.2M-23.6K35.3351.47N/AN/A62121,967509
2020-01-29$71.58$75.0017.1%4.9%20.5%24.2%0.0%4.0%0.1%502.4K-5.6M-24.3K0.2256.31N/AN/A46101,968620
2020-01-30$70.33$75.0019.0%5.4%21.2%34.5%18.7%4.8%0.0%472.4K-4.0M-23.9K0.0062.58N/AN/A1102,014620
2020-01-31$68.69$72.0021.0%6.0%21.1%45.2%19.4%5.1%-1.4%407.3K-2.0M-21.5K3.5259.96N/AN/A913202,021620