AAXJ Options History — June 2020

In June 2020, AAXJ traded between $66.09 and $70.42. ATM implied volatility averaged 25.1%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 2.2% (HV 20d: 27.3%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 4.59.

Notable Days

  • 2020-06-23: Highest Volume — 3,281 contracts
  • 2020-06-11: Largest IV spike — 33.1% change
  • 2020-06-11: Highest IV Rank — 25.7%
  • 2020-06-11: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.85$66.09$70.42$66.09$69.22
Max Pain$68.14$60.00$70.00$70.00$70.00
ATM IV25.1%22.2%30.2%24.9%22.2%
Expected Move7.1%6.1%8.7%7.2%6.4%
HV 20d27.3%23.3%32.2%23.3%24.3%
HV 60d35.8%25.9%48.7%48.7%25.9%
IV Rank18.3%14.0%25.7%18.1%14.0%
IV Percentile72.3%61.1%82.1%75.0%61.1%
Term Structure-0.1%-2.0%1.2%-1.1%0.7%
VWIV28.5%21.4%52.5%21.9%25.1%
Skew 25d6.4%3.8%9.2%5.4%5.6%
Skew 10d12.9%8.1%18.0%12.1%10.9%
Call IV 25d22.3%19.4%27.1%22.8%19.4%
Put IV 25d28.7%24.8%34.8%28.2%25.0%
Bid-Ask Spread %47.2530.3879.1779.1767.45
Gamma HHI0.270.210.380.230.25
Net GEX-272.9K-457.9K17.1K17.1K-413.2K
Net DEX3.6M-1.3M7.1M46.0K5.9M
Net VEX-45.7K-69.1K-12.8K-13.6K-65.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.590.0050.500.000.00
Total Volume399.27303,2811000
Total OI4,005.4551,2955,5911,3665,591

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$66.09$70.0024.9%7.2%23.3%18.1%0.0%5.4%-1.1%17.1K46.0K-13.6K0.0079.17N/AN/A1000699667
2020-06-02$67.45$70.0024.7%7.1%24.0%17.7%0.0%3.8%-1.2%17.1K-544.8K-13.5K1.3352.67N/AN/A34699667
2020-06-03$69.12$70.0022.9%6.6%25.1%15.0%21.9%5.9%0.1%13.3K-1.3M-13.5K0.3370.78N/AN/A248702669
2020-06-04$68.05$60.0022.6%6.4%26.1%14.6%24.6%5.1%0.4%5.1K-311.8K-12.8K3.4631.47N/AN/A6962,410622673
2020-06-05$69.73$63.0022.2%6.1%27.1%14.0%30.0%4.3%1.0%-248.8K948.3K-34.9K50.5032.19N/AN/A21019232,646
2020-06-08$69.87$68.0024.4%6.5%26.6%17.2%0.0%4.5%-0.9%-269.0K1.4M-33.5K0.0030.38N/AN/A008252,645
2020-06-09$69.66$68.0024.1%6.4%26.6%16.7%0.0%4.1%-0.5%-279.3K1.5M-33.4K0.0030.64N/AN/A2108252,645
2020-06-10$70.42$68.0022.7%6.5%26.6%14.8%21.4%5.1%-0.6%-285.3K865.9K-32.8K6.6744.05N/AN/A3208162,645
2020-06-11$67.26$68.0030.2%8.7%32.0%25.7%0.0%7.8%-2.0%-297.7K4.3M-36.6K0.0038.50N/AN/A008182,655
2020-06-12$68.13$68.0029.5%8.5%32.2%24.6%52.5%9.2%-1.3%-309.7K3.6M-36.4K0.0047.33N/AN/A018182,655
2020-06-15$67.45$68.0029.2%8.4%32.1%24.2%33.0%8.0%-0.5%-254.5K3.9M-35.0K0.0031.31N/AN/A01,8058072,556
2020-06-16$67.99$68.0028.6%8.2%29.8%23.4%0.0%7.7%-1.1%-450.2K7.1M-63.8K1.3035.29N/AN/A40528074,359
2020-06-17$68.65$68.0027.2%7.8%29.8%21.4%0.0%7.9%-0.7%-457.9K6.6M-63.2K0.0036.05N/AN/A1608474,409
2020-06-18$68.81$68.0026.7%7.7%29.8%20.6%23.4%7.8%0.2%-420.8K6.5M-62.9K0.0032.48N/AN/A408584,409
2020-06-19$68.81$68.0025.1%7.2%28.9%18.2%0.0%7.4%0.7%-263.6K6.4M-62.2K3.2938.51N/AN/A351158624,409
2020-06-22$69.69$68.0023.3%6.7%26.4%15.7%0.0%7.1%1.0%-310.5K4.5M-60.2K0.0044.58N/AN/A107144,074
2020-06-23$70.37$68.0023.2%6.6%26.0%15.5%24.5%6.5%1.0%-286.9K3.7M-58.4K6.5659.72N/AN/A4342,8477154,074
2020-06-24$69.72$70.0025.0%7.2%26.3%18.2%25.1%7.2%0.1%-375.3K5.6M-69.1K0.0052.49N/AN/A3308694,684
2020-06-25$69.65$70.0023.9%6.9%26.3%16.6%0.0%6.7%1.2%-370.5K5.6M-68.8K0.0054.91N/AN/A808984,684
2020-06-26$69.20$70.0025.1%7.2%26.2%18.2%0.0%7.2%0.6%-383.9K6.1M-68.5K0.0059.68N/AN/A009064,684
2020-06-29$69.30$70.0024.6%7.1%25.2%17.5%0.0%6.7%0.6%-380.2K6.0M-67.2K0.0069.86N/AN/A109064,684
2020-06-30$69.22$70.0022.2%6.4%24.3%14.0%0.0%5.6%0.7%-413.2K5.9M-65.7K0.0067.45N/AN/A009074,684