AAXJ Options History — May 2020

In May 2020, AAXJ traded between $61.90 and $65.58. ATM implied volatility averaged 27.5%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 1.8% (HV 20d: 25.7%). Max pain ranged from $63.00 to $70.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.91.

Notable Days

  • 2020-05-07: Highest Volume — 303 contracts
  • 2020-05-08: Largest IV drop — 14.5% change
  • 2020-05-01: Highest IV Rank — 33.5%
  • 2020-05-01: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.82$61.90$65.58$61.90$64.63
Max Pain$69.65$63.00$70.00$63.00$70.00
ATM IV27.5%23.4%35.6%35.6%24.2%
Expected Move7.8%6.7%10.2%10.2%6.9%
HV 20d25.7%23.2%30.8%30.8%25.0%
HV 60d48.2%48.0%48.6%48.2%48.5%
IV Rank21.8%15.8%33.5%33.5%16.9%
IV Percentile79.3%72.6%89.7%89.7%72.6%
Term Structure-0.3%-2.2%1.4%-2.2%0.0%
VWIV26.9%13.2%38.7%38.7%13.2%
Skew 25d8.5%6.0%11.0%11.0%6.1%
Skew 10d16.2%11.1%20.4%19.4%11.1%
Call IV 25d23.8%20.7%30.8%30.8%22.2%
Put IV 25d32.3%28.3%41.8%41.8%28.3%
Bid-Ask Spread %57.6544.9867.6550.9565.19
Gamma HHI0.200.160.230.200.19
Net GEX-27.0K-100.9K9.7K-94.6K9.7K
Net DEX1.1M543.5K2.2M2.2M639.3K
Net VEX-11.7K-13.5K-7.8K-7.9K-13.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.910.0015.000.000.99
Total Volume40030310
Total OI1,1267831,3657841,365

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$61.90$63.0035.6%10.2%30.8%33.5%38.7%11.0%-2.2%-94.6K2.2M-7.9K0.0050.95N/AN/A10122662
2020-05-04$62.41$70.0034.6%9.4%30.1%32.1%0.0%11.0%-1.0%-100.9K2.1M-7.8K0.0044.98N/AN/A1490121662
2020-05-05$62.83$70.0030.6%8.7%25.5%26.3%0.0%10.0%-0.0%-75.6K1.6M-10.7K0.0046.20N/AN/A02346662
2020-05-06$62.81$70.0030.3%8.6%25.2%25.9%0.0%10.1%0.4%-75.8K1.6M-10.5K0.0047.02N/AN/A00346662
2020-05-07$63.28$70.0028.6%8.3%25.3%23.3%0.0%8.8%0.6%-77.4K1.5M-10.5K0.4957.82N/AN/A203100346663
2020-05-08$64.48$70.0024.4%7.7%26.0%17.3%31.4%8.3%0.4%-27.9K787.2K-13.5K15.0056.60N/AN/A115546638
2020-05-11$64.42$70.0026.8%7.3%26.0%20.7%0.0%7.7%1.4%-26.7K804.9K-13.0K0.0059.92N/AN/A00547635
2020-05-12$64.20$70.0030.6%7.6%24.9%26.2%25.6%8.3%-0.7%-23.5K894.0K-12.7K2.0059.27N/AN/A12547635
2020-05-13$63.89$70.0029.5%8.5%23.9%24.7%0.0%9.5%-1.8%-30.7K980.2K-12.7K6.0051.60N/AN/A16548637
2020-05-14$63.93$70.0028.8%8.3%23.8%23.7%0.0%9.5%-1.1%-10.6K941.5K-12.5K0.0055.83N/AN/A190549637
2020-05-15$63.19$70.0028.4%8.1%23.2%23.1%28.3%9.5%-1.0%-6.7K1.1M-12.1K0.2960.74N/AN/A144568637
2020-05-18$65.49$70.0024.6%7.1%26.3%17.5%20.7%7.6%-0.2%-10.6K657.5K-12.7K0.0064.56N/AN/A500548562
2020-05-19$65.16$70.0025.0%7.2%24.4%18.1%0.0%8.3%-0.8%8.5K664.2K-12.8K0.0061.99N/AN/A10597562
2020-05-20$65.58$70.0023.4%6.7%23.5%15.8%0.0%7.5%0.2%6.4K543.5K-12.9K0.0061.54N/AN/A200598562
2020-05-21$64.49$70.0025.5%7.3%24.4%18.9%30.5%7.6%-0.1%4.1K886.0K-12.1K0.0059.86N/AN/A05597562
2020-05-22$62.65$70.0025.0%7.2%26.7%18.2%0.0%8.6%0.3%-6.3K1.4M-10.9K0.0059.69N/AN/A10597565
2020-05-26$63.89$70.0024.5%7.0%26.8%17.4%0.0%6.0%0.1%-8821.1M-11.4K0.0063.63N/AN/A00598565
2020-05-27$63.66$70.0024.5%7.0%26.8%17.4%13.2%6.9%-0.1%-2.0K1.2M-10.9K0.9967.65N/AN/A102101598565
2020-05-28$63.60$70.0025.2%7.2%25.7%18.4%0.0%7.1%-0.3%2.2K966.2K-12.9K0.0058.00N/AN/A02699664
2020-05-29$64.63$70.0024.2%6.9%25.0%16.9%0.0%6.1%0.0%9.7K639.3K-13.2K0.0065.19N/AN/A00699666