AAXJ Options History — September 2020

In September 2020, AAXJ traded between $74.91 and $79.08. ATM implied volatility averaged 20.1%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 2.4% (HV 20d: 17.6%). Max pain ranged from $68.00 to $79.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 10.18.

Notable Days

  • 2020-09-09: Highest Volume — 410 contracts
  • 2020-09-03: Largest IV spike — 27.5% change
  • 2020-09-08: Highest IV Rank — 17.8%
  • 2020-09-03: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.01$74.91$79.08$78.90$77.12
Max Pain$76.90$68.00$79.00$68.00$79.00
ATM IV20.1%17.3%24.7%18.5%19.1%
Expected Move5.7%5.0%7.0%5.3%5.5%
HV 20d17.6%16.3%18.8%16.7%17.1%
HV 60d19.5%16.8%21.5%21.0%16.8%
IV Rank11.0%7.0%17.8%8.7%9.6%
IV Percentile53.7%37.7%71.0%49.2%50.0%
Term Structure3.3%1.2%4.8%1.2%3.3%
VWIV19.4%16.1%22.5%20.7%20.8%
Skew 25d5.0%3.8%7.0%4.4%4.4%
Skew 10d12.6%6.5%16.7%14.6%6.5%
Call IV 25d18.0%16.0%21.1%17.5%17.3%
Put IV 25d23.0%20.5%27.8%21.9%21.8%
Bid-Ask Spread %65.9837.5684.7359.7576.73
Gamma HHI0.450.370.510.420.47
Net GEX-1.4M-2.0M-1.1M-1.1M-1.5M
Net DEX13.2M8.1M19.5M8.3M14.8M
Net VEX-94.1K-112.9K-80.1K-102.6K-80.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.180.0075.000.000.00
Total Volume51.3810410122
Total OI10,086.8578,32711,38611,2648,383

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$78.90$68.0018.5%5.3%16.7%8.7%20.7%4.4%1.2%-1.1M8.3M-102.6K0.0059.75N/AN/A1201,00810,256
2020-09-02$79.08$68.0018.9%5.4%16.3%9.3%0.0%4.1%2.8%-1.1M8.3M-102.6K0.0065.15N/AN/A201,00010,256
2020-09-03$77.38$77.0024.1%7.0%18.2%16.8%0.0%6.7%2.1%-1.1M12.2M-112.9K0.0037.56N/AN/A201,00310,256
2020-09-04$77.44$77.0022.8%6.6%16.7%14.9%21.2%6.6%3.6%-1.2M11.9M-110.8K0.6750.97N/AN/A321,00510,381
2020-09-08$76.20$77.0024.7%6.6%17.7%17.8%20.2%7.0%3.1%-1.2M14.5M-111.8K0.0045.57N/AN/A901,00510,379
2020-09-09$76.94$77.0020.6%5.9%18.1%11.7%0.0%5.7%3.3%-1.3M12.1M-106.0K0.0056.31N/AN/A04101,00510,379
2020-09-10$75.92$77.0021.5%6.2%17.8%13.0%22.5%5.5%3.6%-1.2M13.9M-102.0K21.0073.20N/AN/A12195210,113
2020-09-11$76.51$77.0018.7%5.4%17.9%9.0%0.0%4.9%4.5%-1.3M12.7M-99.0K0.0078.92N/AN/A02095210,134
2020-09-14$77.74$77.0017.7%5.1%18.8%7.5%0.0%3.8%4.8%-1.4M9.4M-89.9K0.0073.76N/AN/A3094510,144
2020-09-15$78.51$77.0017.3%5.0%18.3%7.0%0.0%4.5%4.6%-1.3M8.1M-86.9K0.0076.30N/AN/A19087710,144
2020-09-16$78.49$77.0018.3%5.2%18.3%8.3%16.9%4.4%4.4%-1.4M8.4M-85.5K75.0076.13N/AN/A215078710,144
2020-09-17$77.99$77.0018.3%5.3%18.1%8.4%0.0%4.3%2.8%-1.6M9.4M-83.7K0.0073.65N/AN/A0078610,144
2020-09-18$77.80$77.0017.7%5.1%17.9%7.5%16.1%4.7%3.6%-2.0M9.7M-84.1K25.5057.88N/AN/A1025577610,102
2020-09-21$77.02$79.0020.0%5.7%18.2%10.9%0.0%5.1%2.9%-1.4M15.5M-87.7K0.0059.08N/AN/A002058,123
2020-09-22$76.49$79.0020.5%5.9%17.7%11.6%17.9%4.8%3.2%-1.4M16.2M-88.9K0.0062.09N/AN/A102058,123
2020-09-23$75.66$79.0021.1%6.1%17.3%12.5%18.9%5.0%2.8%-1.4M17.9M-92.1K0.0063.73N/AN/A01502048,123
2020-09-24$74.97$79.0021.4%6.1%17.3%12.9%0.0%4.9%3.2%-1.5M19.5M-92.2K0.0066.69N/AN/A002048,177
2020-09-25$74.91$79.0020.9%6.0%17.3%12.1%18.5%5.0%3.0%-1.6M19.5M-89.8K0.0069.10N/AN/A022048,177
2020-09-28$75.99$79.0019.8%5.7%17.8%10.6%20.8%4.5%3.1%-1.5M17.1M-84.0K0.0084.73N/AN/A032048,176
2020-09-29$76.06$79.0019.6%5.6%16.9%10.3%0.0%4.0%3.5%-1.5M17.0M-83.8K0.0078.20N/AN/A002048,179
2020-09-30$77.12$79.0019.1%5.5%17.1%9.6%0.0%4.4%3.3%-1.5M14.8M-80.1K0.0076.73N/AN/A202048,179