AAXJ Options History — October 2020

In October 2020, AAXJ traded between $77.30 and $80.92. ATM implied volatility averaged 20.2%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 6.2% (HV 20d: 13.9%). Max pain ranged from $78.00 to $79.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 4.15.

Notable Days

  • 2020-10-14: Highest Volume — 253 contracts
  • 2020-10-14: Largest IV spike — 41.1% change
  • 2020-10-28: Highest IV Rank — 21.7%
  • 2020-10-28: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.57$77.30$80.92$77.88$78.56
Max Pain$78.47$78.00$79.00$79.00$79.00
ATM IV20.2%13.9%27.5%18.4%26.2%
Expected Move6.1%5.3%7.9%5.3%7.5%
HV 20d13.9%11.6%17.5%17.5%14.8%
HV 60d16.0%15.4%16.6%16.3%16.1%
IV Rank11.1%2.0%21.7%8.5%19.9%
IV Percentile50.1%9.5%77.4%43.3%75.0%
Term Structure0.9%-1.7%3.8%3.8%-1.1%
VWIV21.6%18.1%28.3%18.1%24.2%
Skew 25d5.3%3.5%9.0%3.5%9.0%
Skew 10d10.9%5.7%18.4%9.8%13.2%
Call IV 25d19.1%17.0%24.1%17.1%22.8%
Put IV 25d24.5%20.6%32.5%20.6%31.8%
Bid-Ask Spread %67.2057.6987.0769.3970.77
Gamma HHI0.530.420.640.450.60
Net GEX-1.4M-1.9M-1.2M-1.5M-1.5M
Net DEX9.7M5.9M14.6M13.4M12.1M
Net VEX-57.4K-79.1K-43.6K-76.0K-59.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.150.0031.000.000.00
Total Volume29.818025322
Total OI8,368.6828,1698,6678,3858,394

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$77.88$79.0018.4%5.3%17.5%8.5%18.1%3.5%3.8%-1.5M13.4M-76.0K0.0069.39N/AN/A202068,179
2020-10-02$77.30$79.0020.1%5.8%15.8%11.0%20.1%4.8%2.9%-1.5M14.6M-79.1K0.0087.07N/AN/A102088,179
2020-10-05$77.99$0.0018.2%6.4%16.2%8.2%0.0%5.7%1.2%-1.5M13.1M-72.5K0.0065.60N/AN/A022088,179
2020-10-06$78.20$0.0020.9%6.4%14.9%12.1%0.0%5.8%1.4%-1.5M12.6M-73.6K0.0061.89N/AN/A002088,180
2020-10-07$79.28$0.0018.2%6.4%15.3%8.3%23.2%4.9%1.1%-1.5M10.4M-65.7K13.0065.43N/AN/A2262088,180
2020-10-08$79.67$78.0016.7%6.0%14.3%6.1%18.8%5.3%1.0%-1.5M9.3M-59.6K0.0061.90N/AN/A402098,206
2020-10-09$80.17$78.0016.0%5.6%14.2%5.1%0.0%4.4%1.4%-1.5M7.8M-53.0K3.0069.89N/AN/A262138,206
2020-10-12$80.92$78.0015.5%5.5%13.6%4.3%19.2%3.8%1.7%-1.3M6.1M-44.7K0.0069.73N/AN/A102118,202
2020-10-13$80.77$78.0013.9%5.4%13.3%2.0%0.0%3.9%1.6%-1.3M5.9M-43.6K0.0072.78N/AN/A002128,202
2020-10-14$80.24$78.0019.6%5.6%13.6%10.3%21.3%4.0%1.6%-1.4M7.5M-52.4K1.5368.79N/AN/A1001532128,202
2020-10-15$79.38$78.0019.9%5.7%14.0%10.8%0.0%4.2%1.1%-1.7M8.3M-50.7K0.0077.82N/AN/A01253128,230
2020-10-16$79.69$78.0019.2%5.5%14.0%9.7%19.5%4.7%1.0%-1.9M9.0M-53.9K0.3371.43N/AN/A313128,355
2020-10-19$79.45$78.0020.7%5.9%13.4%11.9%20.8%4.3%0.9%-1.3M9.3M-54.1K31.0063.08N/AN/A1311698,000
2020-10-20$80.33$78.0020.7%5.9%13.5%11.9%19.6%4.6%0.7%-1.2M8.4M-51.4K0.9163.28N/AN/A11101698,031
2020-10-21$80.51$78.0020.3%5.8%12.5%11.3%21.7%4.6%1.5%-1.2M8.7M-53.4K0.0057.86N/AN/A0231808,041
2020-10-22$80.44$79.0020.5%5.9%11.7%11.6%0.0%5.5%0.9%-1.2M8.3M-50.0K0.0064.92N/AN/A0341808,064
2020-10-23$80.73$79.0019.2%5.5%11.6%9.7%0.0%5.3%1.1%-1.2M7.8M-49.0K0.0066.78N/AN/A001808,098
2020-10-26$79.76$79.0023.0%6.6%12.2%15.2%28.3%6.4%-0.1%-1.3M9.8M-54.9K0.0059.49N/AN/A0541808,098
2020-10-27$80.49$79.0023.6%6.8%12.4%16.0%25.6%6.9%-0.3%-1.2M9.0M-52.2K0.0057.69N/AN/A0501808,152
2020-10-28$79.01$79.0027.5%7.9%13.9%21.7%24.2%8.3%-1.7%-1.4M11.7M-60.7K0.0065.66N/AN/A1201808,202
2020-10-29$79.78$79.0025.2%7.2%13.8%18.4%0.0%7.3%-1.0%-1.4M10.0M-53.2K0.0067.16N/AN/A001928,202
2020-10-30$78.56$79.0026.2%7.5%14.8%19.9%0.0%9.0%-1.1%-1.5M12.1M-59.1K0.0070.77N/AN/A201928,202