AAXJ Options History — August 2020

In August 2020, AAXJ traded between $75.31 and $79.28. ATM implied volatility averaged 18.0%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.3% (HV 20d: 16.7%). Max pain ranged from $68.00 to $76.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 6.46.

Notable Days

  • 2020-08-14: Highest Volume — 3,650 contracts
  • 2020-08-12: Largest IV drop — 9.1% change
  • 2020-08-11: Highest IV Rank — 11.7%
  • 2020-08-11: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.25$75.31$79.28$75.31$77.91
Max Pain$69.14$68.00$76.00$76.00$68.00
ATM IV18.0%16.7%20.6%19.2%18.8%
Expected Move5.2%4.8%5.7%5.5%5.4%
HV 20d16.7%15.5%17.8%17.6%16.9%
HV 60d23.0%20.9%24.5%24.2%20.9%
IV Rank7.9%6.0%11.7%9.8%9.1%
IV Percentile41.0%31.3%56.0%48.8%50.4%
Term Structure2.7%0.8%4.7%0.8%1.4%
VWIV18.5%15.7%22.1%18.5%22.1%
Skew 25d4.2%3.4%5.1%3.8%4.8%
Skew 10d9.5%6.8%13.6%6.8%8.9%
Call IV 25d16.3%15.0%17.9%17.0%17.2%
Put IV 25d20.5%18.5%22.8%20.8%22.0%
Bid-Ask Spread %64.4143.8375.6768.1251.28
Gamma HHI0.270.150.470.150.42
Net GEX-641.0K-1.4M-110.6K-154.0K-1.2M
Net DEX4.0M-2.7M11.5M-240.4K9.9M
Net VEX-69.2K-113.9K-27.5K-37.2K-106.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.460.0055.000.000.22
Total Volume309.1903,650211
Total OI8,285.4765,59011,2565,60311,254

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$75.31$76.0019.2%5.5%17.6%9.8%0.0%3.8%0.8%-154.0K-240.4K-37.2K0.0068.12N/AN/A028984,705
2020-08-04$76.47$76.0018.8%5.4%17.3%9.2%0.0%3.5%1.2%-151.3K-1.5M-33.0K0.0067.41N/AN/A008984,705
2020-08-05$77.33$76.0017.6%5.1%15.8%7.4%0.0%3.4%1.1%-110.6K-2.3M-31.1K0.0055.46N/AN/A1708984,705
2020-08-06$77.47$68.0017.9%5.3%15.8%7.9%0.0%4.7%4.1%-119.6K-2.7M-27.5K0.0066.72N/AN/A608854,705
2020-08-07$75.99$68.0018.8%5.5%17.1%9.1%0.0%4.8%3.5%-165.9K-948.8K-33.7K0.0063.61N/AN/A008854,705
2020-08-10$76.17$68.0019.4%5.7%17.1%10.0%0.0%5.1%3.6%-156.7K-848.7K-34.6K55.0064.17N/AN/A84408854,705
2020-08-11$76.09$68.0020.6%5.7%17.1%11.7%0.0%4.7%3.5%-180.7K-78.4K-41.1K0.0066.50N/AN/A008815,145
2020-08-12$77.27$68.0018.7%5.4%17.8%9.0%0.0%4.4%4.3%-182.3K-1.2M-37.8K0.0069.08N/AN/A008815,145
2020-08-13$76.80$68.0018.1%5.2%16.6%8.1%0.0%4.0%4.2%-168.6K-870.9K-37.4K0.0068.33N/AN/A008815,145
2020-08-14$76.58$68.0017.6%5.0%16.7%7.3%0.0%4.3%4.3%-180.5K-885.5K-36.9K0.0070.90N/AN/A03,6508815,145
2020-08-17$77.77$68.0017.0%4.9%16.9%6.5%18.5%3.5%4.6%-933.2K6.7M-89.0K1.0070.51N/AN/A118778,795
2020-08-18$77.49$68.0017.5%5.0%16.8%7.2%0.0%3.9%4.5%-984.7K6.9M-88.3K0.0068.17N/AN/A008788,795
2020-08-19$76.78$68.0017.1%4.9%16.6%6.7%15.7%3.8%4.7%-1.0M8.2M-92.7K0.0071.86N/AN/A208788,795
2020-08-20$76.30$68.0017.9%5.1%16.7%7.8%17.7%4.4%1.7%-787.1K9.5M-92.1K5.1969.11N/AN/A3001,5578808,795
2020-08-21$76.83$68.0016.7%4.8%16.7%6.1%0.0%3.8%1.6%-1.4M11.5M-113.9K0.6775.67N/AN/A321,03010,140
2020-08-24$77.84$68.0017.0%4.9%16.6%6.5%0.0%4.5%1.6%-1.1M10.0M-106.8K0.0055.56N/AN/A4086310,029
2020-08-25$78.83$68.0016.7%4.8%16.6%6.0%22.1%4.6%1.5%-1.1M8.4M-102.1K0.0054.68N/AN/A0486710,029
2020-08-26$79.12$68.0017.0%4.9%15.9%6.5%0.0%4.1%1.5%-1.1M7.7M-100.7K2.5363.61N/AN/A13634486710,033
2020-08-27$78.59$68.0017.2%4.9%15.7%6.8%0.0%5.0%2.1%-1.1M9.0M-108.5K0.0043.83N/AN/A051,00110,250
2020-08-28$79.28$68.0017.3%4.9%15.5%6.9%0.0%3.8%1.9%-1.1M7.2M-101.7K0.0068.05N/AN/A001,00110,255
2020-08-31$77.91$68.0018.8%5.4%16.9%9.1%0.0%4.8%1.4%-1.2M9.9M-106.6K0.2251.28N/AN/A9299910,255