AAXJ Options History — July 2020

In July 2020, AAXJ traded between $69.99 and $75.81. ATM implied volatility averaged 20.9%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 3.5% (HV 20d: 24.4%). Max pain ranged from $70.00 to $77.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.48.

Notable Days

  • 2020-07-15: Highest Volume — 3,048 contracts
  • 2020-07-06: Largest IV spike — 20.7% change
  • 2020-07-13: Highest IV Rank — 18.8%
  • 2020-07-13: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.44$69.99$75.81$69.99$74.62
Max Pain$74.05$70.00$77.00$70.00$76.00
ATM IV20.9%18.3%25.4%20.7%18.3%
Expected Move5.9%5.2%6.9%5.9%5.2%
HV 20d24.4%22.2%29.0%23.1%23.8%
HV 60d25.4%23.9%26.8%24.3%24.2%
IV Rank12.2%8.3%18.8%11.9%8.3%
IV Percentile55.5%41.7%74.2%58.7%41.7%
Term Structure0.7%-0.3%1.5%0.8%1.4%
VWIV20.2%16.0%27.5%18.9%16.0%
Skew 25d5.0%3.8%6.5%5.2%4.7%
Skew 10d10.4%7.9%13.3%10.7%10.8%
Call IV 25d18.7%16.6%21.7%18.4%16.6%
Put IV 25d23.6%21.0%27.9%23.6%21.3%
Bid-Ask Spread %45.0927.0566.7366.7361.77
Gamma HHI0.190.160.250.240.16
Net GEX-250.9K-406.7K-177.1K-357.2K-195.8K
Net DEX373.3K-1.6M4.8M4.8M558.5K
Net VEX-47.5K-63.1K-39.5K-63.1K-41.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.480.0021.000.000.00
Total Volume314.22703,04811
Total OI5,679.5915,2325,9475,5915,602

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$69.99$70.0020.7%5.9%23.1%11.9%0.0%5.2%0.8%-357.2K4.8M-63.1K0.0066.73N/AN/A109074,684
2020-07-02$71.74$70.0018.6%5.3%23.7%8.8%18.9%4.3%1.5%-224.8K2.2M-58.2K0.4357.43N/AN/A139609084,684
2020-07-06$75.10$0.0022.5%6.3%27.3%14.4%0.0%5.5%0.1%-177.1K-1.6M-48.4K5.8741.88N/AN/A4372,5641,0264,744
2020-07-07$73.90$0.0023.7%6.5%28.2%16.3%0.0%5.4%-0.2%-258.4K305.4K-54.4K0.0030.19N/AN/A201,0484,874
2020-07-08$75.62$0.0022.1%6.2%29.0%13.9%20.7%5.5%0.4%-275.7K-1.5M-48.2K0.0933.65N/AN/A2221,0504,874
2020-07-09$75.63$77.0023.4%6.6%28.9%15.9%0.0%5.5%-0.3%-267.7K-1.5M-49.1K0.0030.45N/AN/A22201,0714,876
2020-07-10$75.06$77.0022.3%6.6%22.7%14.2%0.0%5.3%1.0%-286.7K-970.2K-49.3K10.0029.26N/AN/A2201,0714,876
2020-07-13$74.88$77.0025.4%6.9%22.7%18.8%27.5%5.6%0.1%-316.9K-135.2K-50.1K21.0031.49N/AN/A1219694,896
2020-07-14$74.76$72.0024.9%6.8%22.2%18.0%0.0%6.5%0.6%-347.7K347.1K-51.3K0.0027.05N/AN/A109704,917
2020-07-15$74.86$72.0022.8%6.5%22.2%15.0%25.8%6.0%-0.0%-406.7K-56.1K-49.3K5.9031.38N/AN/A4422,6069694,917
2020-07-16$73.55$72.0021.9%6.3%23.5%13.7%19.4%5.1%0.8%-200.8K1.3M-50.9K0.0036.70N/AN/A209694,917
2020-07-17$73.85$72.0020.2%5.8%23.5%11.2%0.0%4.8%1.1%-266.3K512.8K-48.2K0.0042.98N/AN/A009714,917
2020-07-20$74.81$72.0019.4%5.6%23.7%10.1%17.4%4.4%0.7%-234.1K434.8K-43.0K0.1345.98N/AN/A1526904,542
2020-07-21$75.56$72.0018.8%5.4%23.5%9.1%0.0%3.8%1.2%-201.0K-280.7K-39.5K0.0049.22N/AN/A107054,544
2020-07-22$74.76$72.0019.2%5.5%24.0%9.7%18.0%4.0%1.0%-238.7K405.8K-42.3K0.9949.35N/AN/A1581577064,544
2020-07-23$74.31$76.0019.9%5.7%23.8%10.7%0.0%4.1%0.9%-229.6K1.0M-45.4K0.0046.57N/AN/A008644,701
2020-07-24$74.08$76.0019.5%5.6%23.9%10.2%0.0%4.8%1.3%-243.2K1.4M-45.6K0.0047.77N/AN/A1308644,701
2020-07-27$75.15$76.0019.6%5.6%23.9%10.2%0.0%4.9%0.9%-212.8K341.2K-41.8K0.0052.02N/AN/A1008774,701
2020-07-28$74.62$76.0019.0%5.4%24.2%9.4%18.0%4.6%0.8%-193.4K710.4K-43.7K0.2058.01N/AN/A1028984,703
2020-07-29$75.81$76.0018.4%5.3%24.5%8.5%0.0%4.4%1.2%-188.2K-413.3K-40.1K0.0061.78N/AN/A008974,705
2020-07-30$75.12$76.0019.2%5.5%24.8%9.7%0.0%4.6%1.2%-196.1K271.0K-41.6K0.0060.39N/AN/A008974,705
2020-07-31$74.62$76.0018.3%5.2%23.8%8.3%16.0%4.7%1.4%-195.8K558.5K-41.0K0.0061.77N/AN/A108974,705