AAXJ Options History — November 2020

In November 2020, AAXJ traded between $79.47 and $87.19. ATM implied volatility averaged 18.9%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.7% (HV 20d: 18.2%). Max pain ranged from $79.00 to $81.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 12.82.

Notable Days

  • 2020-11-12: Highest Volume — 705 contracts
  • 2020-11-04: Largest IV drop — 21.7% change
  • 2020-11-02: Highest IV Rank — 22.7%
  • 2020-11-02: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.32$79.47$87.19$79.47$85.02
Max Pain$80.40$79.00$81.00$79.00$81.00
ATM IV18.9%16.7%28.1%28.1%20.3%
Expected Move5.4%4.8%8.1%8.1%5.8%
HV 20d18.2%15.0%19.1%15.0%18.7%
HV 60d16.6%15.7%17.0%15.7%16.5%
IV Rank9.2%6.1%22.7%22.7%11.3%
IV Percentile35.6%18.3%78.2%78.2%51.2%
Term Structure-0.0%-2.9%1.4%-2.9%-2.8%
VWIV18.7%14.7%27.7%19.1%20.0%
Skew 25d4.4%2.9%8.2%7.9%3.3%
Skew 10d10.3%5.2%15.9%15.9%6.2%
Call IV 25d17.0%15.0%24.4%24.4%16.6%
Put IV 25d21.3%18.3%32.3%32.3%19.9%
Bid-Ask Spread %73.5660.6692.5760.6672.81
Gamma HHI0.550.340.700.600.55
Net GEX-653.2K-1.4M-283.6K-1.4M-459.9K
Net DEX2.2M-315.4K10.1M10.1M739.6K
Net VEX-18.1K-51.0K-7.3K-51.0K-11.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.820.00140.000.000.22
Total Volume53.850705022
Total OI8,790.258,3679,1988,3969,137

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$79.47$79.0028.1%8.1%15.0%22.7%0.0%7.9%-2.9%-1.4M10.1M-51.0K0.0060.66N/AN/A001948,202
2020-11-03$79.97$79.0026.5%7.6%15.1%20.3%0.0%8.2%-1.9%-1.3M9.2M-47.5K0.0074.95N/AN/A041948,202
2020-11-04$82.48$79.0020.7%5.9%18.0%11.9%0.0%4.0%-0.2%-902.6K5.1M-34.2K0.0092.57N/AN/A001948,202
2020-11-05$83.66$80.0019.0%5.8%18.5%9.5%0.0%5.6%-0.2%-770.2K3.9M-27.7K0.0076.56N/AN/A0541948,202
2020-11-06$84.08$80.0019.4%5.4%18.4%10.0%19.1%4.1%0.8%-551.7K544.2K-7.3K0.0078.25N/AN/A701948,174
2020-11-09$84.49$80.0018.1%5.3%18.3%8.1%20.1%3.4%0.0%-419.9K1.2M-13.5K0.0081.24N/AN/A401958,174
2020-11-10$83.34$80.0018.6%5.4%19.1%8.8%0.0%4.3%0.7%-763.0K2.4M-18.8K0.0073.92N/AN/A001938,174
2020-11-11$83.58$80.0017.2%4.9%18.8%6.8%27.7%4.0%1.1%-772.8K1.7M-15.6K0.0067.97N/AN/A021938,174
2020-11-12$83.08$80.0019.1%5.5%18.5%9.5%20.7%5.3%0.2%-763.2K2.6M-19.3K140.0078.37N/AN/A57001938,174
2020-11-13$84.33$81.0017.3%5.0%19.0%6.9%0.0%3.9%0.9%-662.0K1.7M-12.1K0.0069.53N/AN/A001968,874
2020-11-16$85.26$81.0017.5%5.0%19.1%7.3%18.9%4.7%0.5%-872.3K1.6M-13.8K0.7979.89N/AN/A38301968,874
2020-11-17$85.23$81.0017.1%4.9%18.9%6.6%14.7%3.7%1.0%-584.7K1.2M-12.2K3.1376.52N/AN/A16502288,899
2020-11-18$85.03$81.0017.4%5.0%19.0%7.1%15.1%3.9%1.4%-411.3K1.2M-12.1K0.0064.97N/AN/A6502368,899
2020-11-19$85.09$81.0017.4%5.0%19.0%7.0%0.0%4.1%-0.1%-678.4K1.1M-13.5K0.0064.88N/AN/A002998,899
2020-11-20$85.88$81.0016.7%4.8%19.1%6.1%18.6%4.0%0.2%-341.8K437.0K-12.5K1.3368.29N/AN/A12162998,899
2020-11-23$85.94$81.0016.7%4.8%18.3%6.1%16.8%3.4%0.4%-408.5K215.5K-10.8K1.6072.08N/AN/A582858,818
2020-11-24$86.94$81.0016.7%4.8%18.4%6.1%15.9%3.6%-0.1%-283.6K61.3K-10.7K0.0073.96N/AN/A102898,826
2020-11-25$86.33$81.0016.9%4.9%17.0%6.4%16.6%2.9%0.0%-385.2K-205.8K-8.9K0.1570.34N/AN/A1322908,826
2020-11-27$87.19$81.0016.8%4.8%17.0%6.2%0.0%2.9%0.1%-292.7K-315.4K-9.1K6.6773.38N/AN/A3202908,824
2020-11-30$85.02$81.0020.3%5.8%18.7%11.3%20.0%3.3%-2.8%-459.9K739.6K-11.6K0.2272.81N/AN/A1842938,844