AAXJ Options History — December 2020

In December 2020, AAXJ traded between $86.16 and $89.73. ATM implied volatility averaged 17.6%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.0% (HV 20d: 15.6%). Max pain ranged from $81.00 to $88.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 5.53.

Notable Days

  • 2020-12-10: Highest Volume — 131 contracts
  • 2020-12-21: Largest IV spike — 15.2% change
  • 2020-12-07: Highest IV Rank — 9.4%
  • 2020-12-03: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.48$86.16$89.73$86.16$89.42
Max Pain$87.36$81.00$88.00$81.00$88.00
ATM IV17.6%15.7%19.0%18.6%17.8%
Expected Move5.1%4.5%5.4%5.3%5.1%
HV 20d15.6%13.1%18.9%18.9%13.8%
HV 60d15.8%15.5%16.7%16.7%15.9%
IV Rank7.4%4.6%9.4%8.8%7.6%
IV Percentile25.6%6.3%40.9%37.3%26.6%
Term Structure0.8%-0.4%1.7%-0.4%0.2%
VWIV18.9%15.5%27.0%18.0%21.7%
Skew 25d4.2%2.6%6.6%3.1%6.6%
Skew 10d10.7%5.4%16.9%11.5%15.1%
Call IV 25d16.1%12.8%18.5%17.2%12.8%
Put IV 25d20.3%18.9%21.8%20.3%19.4%
Bid-Ask Spread %72.0056.0789.0677.9976.71
Gamma HHI0.190.070.610.570.11
Net GEX-69.8K-390.6K4.2K-390.6K-3.8K
Net DEX-577.0K-978.2K-95.5K-107.5K-932.4K
Net VEX-8.6K-9.3K-8.3K-9.1K-8.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.530.0064.501.670.57
Total Volume25.09101311620
Total OI6,135.1367409,2399,139780

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$86.16$81.0018.6%5.3%18.9%8.8%18.0%3.1%-0.4%-390.6K-107.5K-9.1K1.6777.99N/AN/A6102918,848
2020-12-02$86.38$81.0018.7%5.4%18.8%8.9%18.9%4.0%-0.1%-313.5K-294.9K-8.9K0.0974.24N/AN/A2222958,857
2020-12-03$87.06$88.0018.8%5.4%16.0%9.0%18.7%4.0%0.3%-187.0K-561.4K-8.8K0.8659.17N/AN/A14123178,857
2020-12-04$87.98$88.0018.1%5.2%15.7%8.1%18.1%2.6%1.2%-11.0K-813.9K-8.3K2.0872.89N/AN/A12253318,871
2020-12-07$87.72$88.0019.0%5.4%15.8%9.4%0.0%3.2%0.8%-31.6K-679.0K-8.8K0.0863.73N/AN/A1213288,895
2020-12-08$87.88$88.0017.1%5.1%15.8%6.6%16.6%4.2%0.7%-31.0K-789.2K-8.5K0.0059.53N/AN/A403378,896
2020-12-09$87.20$88.0017.3%5.0%15.1%6.9%16.8%4.2%1.2%-45.4K-723.9K-8.6K0.2556.07N/AN/A413388,896
2020-12-10$88.19$88.0016.9%4.9%15.5%6.4%19.3%3.9%1.7%-27.7K-896.2K-8.3K64.5059.06N/AN/A21293428,897
2020-12-11$87.49$88.0017.6%5.0%15.6%7.4%0.0%4.0%1.7%-42.9K-740.2K-8.5K25.0061.73N/AN/A1253428,861
2020-12-14$86.60$88.0018.2%5.2%15.5%8.3%15.5%5.3%0.6%-113.5K-406.0K-9.0K0.0057.77N/AN/A2103338,886
2020-12-15$87.17$88.0017.7%5.1%15.2%7.5%0.0%4.9%1.3%-62.6K-544.1K-8.6K0.0068.17N/AN/A203308,886
2020-12-16$87.66$88.0016.8%4.8%15.3%6.2%0.0%3.9%1.6%-43.3K-745.1K-8.6K0.0078.91N/AN/A103308,886
2020-12-17$88.01$88.0016.8%4.8%15.3%6.2%16.8%3.8%1.1%3.5K-820.6K-8.3K5.5070.95N/AN/A2113298,886
2020-12-18$87.67$88.0016.2%4.6%15.4%5.3%18.2%3.5%1.0%4.2K-753.6K-8.4K8.3376.77N/AN/A6503318,897
2020-12-21$86.97$88.0018.6%5.3%15.5%8.8%17.1%3.5%-0.1%-43.4K-233.4K-8.6K0.0084.61N/AN/A50301441
2020-12-22$86.17$88.0018.4%5.3%15.9%8.4%23.2%5.3%0.5%-48.1K-95.5K-8.9K0.1975.85N/AN/A163302441
2020-12-23$87.19$88.0017.8%5.1%15.9%7.7%0.0%4.9%-0.2%-40.9K-307.0K-8.9K0.0087.92N/AN/A00313444
2020-12-24$86.74$88.0016.9%4.8%15.8%6.3%18.0%4.3%1.2%-48.1K-226.0K-8.8K1.2589.06N/AN/A810313444
2020-12-28$86.91$88.0017.6%5.1%15.4%7.4%20.0%4.3%0.7%-40.7K-289.9K-8.4K0.0480.56N/AN/A452306434
2020-12-29$88.17$88.0017.1%4.9%13.1%6.6%17.0%3.8%0.4%-19.8K-756.6K-9.3K0.2772.62N/AN/A4512354435
2020-12-30$89.73$88.0015.7%4.5%13.6%4.6%27.0%4.3%1.2%2.1K-978.2K-8.3K0.5779.80N/AN/A74335437
2020-12-31$89.42$88.0017.8%5.1%13.8%7.6%21.7%6.6%0.2%-3.8K-932.4K-8.3K0.0076.71N/AN/A020341439