AAXJ Options History — April 2020

In April 2020, AAXJ traded between $57.22 and $65.28. ATM implied volatility averaged 35.2%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 16.9% (HV 20d: 52.2%). Max pain ranged from $61.00 to $66.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 14.84.

Notable Days

  • 2020-04-28: Highest Volume — 201 contracts
  • 2020-04-08: Largest IV drop — 21.0% change
  • 2020-04-01: Highest IV Rank — 67.7%
  • 2020-04-01: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.99$57.22$65.28$57.22$63.81
Max Pain$61.44$61.00$66.00$66.00$63.00
ATM IV35.2%25.6%59.1%59.1%29.9%
Expected Move9.9%7.3%16.9%16.9%8.6%
HV 20d52.2%29.6%76.4%73.9%29.6%
HV 60d47.8%46.3%48.3%46.3%47.8%
IV Rank33.0%19.0%67.7%67.7%25.3%
IV Percentile88.4%81.3%97.2%97.2%83.3%
Term Structure-2.6%-10.8%1.6%-10.8%-1.0%
VWIV34.0%28.8%42.3%35.3%28.8%
Skew 25d9.6%6.7%21.7%14.0%8.9%
Skew 10d21.2%1.6%34.7%1.6%18.1%
Call IV 25d30.6%22.4%47.3%47.3%26.3%
Put IV 25d40.2%29.6%61.3%61.3%35.2%
Bid-Ask Spread %72.7747.24118.93118.9358.32
Gamma HHI0.240.180.280.270.18
Net GEX-58.5K-98.9K-25.0K-25.0K-97.1K
Net DEX1.3M1.2M1.9M1.3M1.9M
Net VEX-3.8K-8.3K-2.4K-2.4K-8.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.840.0099.5016.831.75
Total Volume22.286020101
Total OI494.905372784372784

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$57.22$66.0059.1%16.9%73.9%67.7%0.0%14.0%-10.8%-25.0K1.3M-2.4K0.00118.93N/AN/A0072300
2020-04-02$58.89$0.0050.7%12.5%75.2%55.4%0.0%21.7%-4.3%-30.3K1.3M-2.6K0.00112.24N/AN/A0072300
2020-04-03$57.95$0.0041.4%12.2%75.1%41.9%0.0%7.4%-7.2%-29.0K1.2M-2.7K0.0070.43N/AN/A0072300
2020-04-06$60.73$0.0037.1%10.2%76.4%35.8%0.0%10.1%-1.7%-36.9K1.3M-2.4K0.0064.55N/AN/A0072300
2020-04-07$61.50$0.0042.0%10.1%75.4%42.9%0.0%11.4%-1.7%-38.4K1.2M-2.6K0.0068.48N/AN/A0072300
2020-04-08$61.60$0.0033.2%9.5%74.6%30.0%35.3%11.5%-0.9%-40.1K1.2M-2.6K16.8367.45N/AN/A610172300
2020-04-09$61.59$61.0033.0%9.5%66.1%29.8%29.1%9.2%-1.9%-61.8K1.5M-3.4K0.0062.61N/AN/A3075400
2020-04-13$61.65$61.0034.2%9.8%64.0%31.4%38.9%10.2%-8.5%-64.7K1.5M-3.2K0.0076.71N/AN/A0178400
2020-04-14$63.05$61.0032.0%9.2%53.4%28.4%0.0%8.1%-2.3%-66.8K1.3M-3.7K0.0091.27N/AN/A0078401
2020-04-15$61.85$61.0033.5%9.6%52.5%30.5%40.2%8.7%-4.2%-65.3K1.4M-3.2K0.3778.27N/AN/A301178401
2020-04-16$62.34$61.0034.6%9.9%43.0%32.0%0.0%8.3%-4.5%-44.4K1.3M-3.6K0.0075.12N/AN/A00106412
2020-04-17$63.57$61.0030.6%8.8%43.3%26.2%32.9%9.2%-1.6%-60.6K1.2M-3.5K0.1478.18N/AN/A284106412
2020-04-20$63.07$61.0033.8%9.7%43.5%30.9%0.0%7.9%-3.5%-63.3K1.2M-4.0K0.0066.16N/AN/A06107400
2020-04-21$61.50$61.0037.1%10.6%43.5%35.8%0.0%8.9%-5.7%-61.0K1.4M-3.7K0.0064.76N/AN/A00107406
2020-04-22$62.83$61.0033.5%9.6%38.6%30.5%0.0%6.7%0.8%-63.7K1.3M-3.9K0.0082.51N/AN/A20107406
2020-04-23$62.77$61.0032.4%9.3%35.8%28.9%42.3%7.3%0.1%-65.2K1.3M-3.7K0.0047.24N/AN/A01109406
2020-04-24$62.75$61.0030.4%8.7%35.2%26.0%29.3%7.8%1.6%-67.6K1.3M-3.6K0.0958.08N/AN/A111109406
2020-04-27$63.90$61.0028.0%8.0%32.1%22.4%0.0%7.6%0.8%-71.1K1.2M-3.6K0.0060.06N/AN/A050116406
2020-04-28$63.94$61.0028.1%8.1%32.0%22.6%29.7%8.5%-0.1%-77.3K1.3M-4.5K99.5059.67N/AN/A2199116456
2020-04-29$65.28$61.0025.6%7.3%32.5%19.0%28.8%7.2%1.1%-98.9K1.6M-8.2K1.7567.02N/AN/A47118655
2020-04-30$63.81$63.0029.9%8.6%29.6%25.3%0.0%8.9%-1.0%-97.1K1.9M-8.3K0.0058.32N/AN/A01122662