AAXJ Options History — March 2020

In March 2020, AAXJ traded between $53.73 and $70.01. ATM implied volatility averaged 52.3%, placing in the 75.0% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 2.6% (HV 20d: 49.7%). Max pain ranged from $64.00 to $70.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 19.24.

Notable Days

  • 2020-03-12: Highest Volume — 137 contracts
  • 2020-03-09: Largest IV spike — 41.2% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.39$53.73$70.01$68.91$59.64
Max Pain$66.18$64.00$70.00$70.00$66.00
ATM IV52.3%28.4%81.3%34.2%42.0%
Expected Move14.5%8.1%23.3%9.8%12.0%
HV 20d49.7%21.0%73.7%23.7%73.4%
HV 60d33.8%19.9%45.7%19.9%45.6%
IV Rank75.0%42.8%100.0%70.3%42.8%
IV Percentile98.2%93.3%100.0%99.6%93.3%
Term Structure-9.9%-25.2%-2.5%-6.8%-4.4%
VWIV46.3%33.7%68.2%33.7%49.2%
Skew 25d18.4%8.1%40.8%10.0%24.4%
Skew 10d32.2%2.5%79.4%20.1%38.7%
Call IV 25d44.6%23.9%80.6%30.2%40.5%
Put IV 25d62.9%32.8%99.1%40.2%64.9%
Bid-Ask Spread %79.6144.16106.5447.6697.48
Gamma HHI0.240.130.290.260.27
Net GEX111.9K-35.3K521.9K378.4K-32.2K
Net DEX2.0M-2.5M5.6M-1.0M1.2M
Net VEX-8.6K-20.1K-2.3K-20.0K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio19.248.5032.0019.338.50
Total Volume27.6820137610
Total OI2,527.2273663,5753,570372

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$68.91$70.0034.2%9.8%23.7%70.3%33.7%10.0%-6.8%378.4K-1.0M-20.0K19.3347.66N/AN/A3582,3781,192
2020-03-03$69.08$70.0036.6%10.5%23.3%78.3%36.9%11.1%-7.5%379.3K-1.2M-20.1K26.5049.28N/AN/A41062,3801,195
2020-03-04$70.01$70.0028.4%8.2%21.0%51.7%0.0%8.1%-3.8%521.9K-2.5M-19.3K0.0053.54N/AN/A022,3841,183
2020-03-05$69.08$64.0034.9%8.1%21.4%72.8%38.1%8.9%-2.9%411.8K-1.0M-18.3K0.0044.16N/AN/A0912,3841,183
2020-03-06$67.91$64.0039.1%9.3%21.8%86.3%43.0%9.3%-4.0%315.7K461.2K-16.7K13.0053.44N/AN/A1132,3841,157
2020-03-09$65.08$64.0055.2%11.8%25.7%100.0%50.7%14.8%-7.5%165.7K2.1M-13.8K32.0060.04N/AN/A2642,3831,155
2020-03-10$67.24$64.0048.1%11.2%28.6%83.4%39.0%13.6%-4.0%273.2K783.3K-14.6K0.0061.79N/AN/A022,3851,160
2020-03-11$64.97$66.0049.4%14.2%30.0%86.4%58.4%16.5%-13.3%170.7K1.8M-13.2K0.0078.91N/AN/A052,3851,159
2020-03-12$59.05$66.0060.3%17.3%42.7%100.0%51.5%10.6%-17.1%28.4K4.7M-7.1K16.1379.58N/AN/A81292,3851,161
2020-03-13$61.85$66.0055.1%15.8%47.4%89.1%46.5%40.8%-14.2%67.4K4.1M-8.8K0.0094.79N/AN/A012,3831,157
2020-03-16$56.19$66.0073.7%21.1%56.5%100.0%68.2%35.1%-25.2%18.9K4.8M-5.2K0.0082.74N/AN/A0512,3831,155
2020-03-17$58.46$66.0066.0%18.9%59.5%87.3%0.0%23.5%-12.4%-12.3K5.2M-4.5K0.0087.28N/AN/A0182,3831,115
2020-03-18$54.09$66.0081.3%23.3%63.6%100.0%0.0%18.6%-20.7%-12.3K5.2M-3.4K0.0097.55N/AN/A0242,3831,113
2020-03-19$54.40$66.0074.7%21.4%64.0%90.4%0.0%24.9%-17.3%-24.2K5.4M-2.8K0.0090.68N/AN/A002,3831,088
2020-03-20$55.15$66.0066.0%18.9%64.7%77.8%0.0%17.6%-16.0%-20.3K5.6M-2.6K8.5098.72N/AN/A2172,3831,082
2020-03-23$53.73$66.0062.7%18.0%64.5%72.9%40.3%28.4%-7.5%-17.6K1.2M-2.3K0.0096.07N/AN/A0772294
2020-03-24$57.22$66.0049.4%14.2%69.8%53.6%49.2%21.2%-2.5%-25.8K1.3M-2.5K0.0095.78N/AN/A0172300
2020-03-25$59.75$66.0048.5%13.9%72.1%52.3%0.0%17.4%-5.7%-31.0K1.2M-3.0K0.0084.44N/AN/A0072300
2020-03-26$60.98$66.0046.7%13.4%72.7%49.6%0.0%14.8%-8.6%-35.3K1.2M-3.1K0.0090.52N/AN/A0072300
2020-03-27$58.61$66.0050.3%14.4%73.7%54.9%0.0%10.4%-9.0%-27.3K1.2M-2.9K0.00106.54N/AN/A0072300
2020-03-30$59.20$66.0047.7%13.7%73.3%51.1%0.0%23.8%-6.9%-31.3K1.3M-2.7K0.00100.37N/AN/A0072300
2020-03-31$59.64$66.0042.0%12.0%73.4%42.8%0.0%24.4%-4.4%-32.2K1.2M-2.7K0.0097.48N/AN/A0072300