AAXJ Options History — January 2021 In January 2021, AAXJ traded between $90.45 and $98.99. ATM implied volatility averaged 20.9%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 2.7% (HV 20d: 18.2%). Max pain ranged from $86.00 to $94.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.18.
Notable Days 2021-01-12 : Highest Volume — 121 contracts2021-01-11 : Largest IV spike — 37.7% change2021-01-29 : Highest IV Rank — 18.6%2021-01-29 : Largest Expected Move — 7.6%Monthly Statistics Metric Avg Min Max Open Close Price $95.34 $90.45 $98.99 $90.45 $93.41 Max Pain $91.00 $86.00 $94.00 $86.00 $94.00 ATM IV 20.9% 15.8% 26.5% 21.2% 26.5% Expected Move 6.0% 5.3% 7.6% 5.6% 7.6% HV 20d 18.2% 14.0% 23.6% 14.0% 23.6% HV 60d 17.3% 15.8% 18.9% 15.8% 18.9% IV Rank 11.0% 4.7% 18.6% 12.6% 18.6% IV Percentile 49.2% 5.6% 74.2% 56.0% 74.2% Term Structure 0.7% -0.9% 3.3% -0.6% -0.9% VWIV 22.4% 18.2% 29.5% 19.2% 29.5% Skew 25d 4.7% 2.2% 7.1% 5.3% 7.0% Skew 10d 13.0% 6.5% 18.2% 12.3% 10.4% Call IV 25d 19.2% 16.5% 24.5% 17.6% 22.4% Put IV 25d 23.9% 21.3% 29.4% 22.9% 29.4% Bid-Ask Spread % 68.73 52.14 85.55 55.80 77.59 Gamma HHI 0.17 0.11 0.26 0.12 0.11 Net GEX 62.4K 10.4K 100.9K 10.4K 29.4K Net DEX -2.1M -3.4M -1.1M -1.1M -2.0M Net VEX -10.9K -17.0K -7.4K -8.2K -17.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.18 0.00 5.18 0.00 1.94 Total Volume 36.263 1 121 12 50 Total OI 973.947 789 1,276 789 1,276
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-01-04 $90.45 $86.00 21.2% 5.6% 14.0% 12.6% 0.0% 5.3% -0.6% 10.4K -1.1M -8.2K 0.00 55.80 N/A N/A 12 0 340 449 2021-01-05 $92.56 $86.00 19.4% 5.3% 15.7% 9.9% 19.2% 6.0% -0.9% 22.7K -1.3M -7.4K 0.15 55.50 N/A N/A 27 4 349 449 2021-01-06 $91.74 $86.00 20.1% 5.5% 16.1% 11.0% 28.1% 4.6% 1.2% 41.9K -1.4M -8.2K 0.00 67.54 N/A N/A 0 1 371 452 2021-01-07 $92.63 $86.00 15.8% 5.5% 16.3% 4.7% 22.5% 4.9% -0.5% 55.1K -1.6M -8.0K 3.00 66.40 N/A N/A 7 21 374 453 2021-01-08 $95.03 $90.00 15.9% 5.4% 17.7% 4.9% 20.5% 3.8% 0.7% 68.1K -1.9M -8.0K 0.63 64.61 N/A N/A 8 5 380 474 2021-01-11 $94.10 $90.00 21.9% 5.7% 18.2% 13.6% 0.0% 4.1% -0.0% 64.8K -1.7M -7.7K 0.00 62.03 N/A N/A 11 0 384 476 2021-01-12 $94.80 $90.00 21.2% 5.8% 17.7% 11.0% 23.5% 4.6% 0.6% 75.9K -1.9M -8.5K 0.53 63.22 N/A N/A 79 42 386 476 2021-01-13 $95.24 $90.00 20.1% 5.8% 16.9% 9.4% 20.7% 4.0% 0.8% 93.1K -2.0M -9.9K 4.29 65.52 N/A N/A 7 30 448 516 2021-01-14 $95.92 $93.00 19.8% 5.7% 16.9% 9.0% 18.2% 3.9% 1.3% 78.5K -2.2M -9.6K 0.00 76.67 N/A N/A 25 0 448 546 2021-01-15 $94.78 $93.00 20.2% 5.8% 17.9% 9.6% 0.0% 5.2% 0.2% 86.7K -1.8M -10.1K 0.04 74.66 N/A N/A 71 3 451 546 2021-01-19 $96.58 $93.00 20.3% 5.8% 18.7% 9.6% 23.9% 4.4% 2.1% 53.8K -1.9M -9.8K 5.18 52.14 N/A N/A 11 57 408 448 2021-01-20 $98.56 $93.00 19.7% 5.7% 19.2% 8.6% 19.9% 3.8% 1.4% 53.8K -2.2M -9.9K 0.21 70.73 N/A N/A 24 5 410 505 2021-01-21 $98.99 $93.00 20.0% 5.7% 18.5% 9.0% 20.3% 4.1% 0.6% 68.0K -2.4M -9.5K 0.00 75.06 N/A N/A 6 0 428 507 2021-01-22 $98.19 $93.00 21.1% 6.0% 18.4% 10.6% 19.0% 7.1% 0.4% 56.3K -2.2M -9.9K 0.11 70.32 N/A N/A 9 1 428 507 2021-01-25 $98.92 $93.00 23.4% 6.7% 18.3% 14.1% 22.5% 3.4% 1.1% 86.8K -3.4M -15.8K 0.18 67.61 N/A N/A 71 13 621 508 2021-01-26 $98.06 $93.00 23.2% 6.6% 18.6% 13.7% 23.0% 6.0% 0.5% 100.9K -3.3M -16.1K 0.00 70.06 N/A N/A 12 0 688 520 2021-01-27 $95.51 $93.00 23.7% 6.8% 21.9% 14.6% 25.7% 2.2% 3.3% 84.5K -2.8M -16.4K 4.50 85.55 N/A N/A 12 54 695 520 2021-01-28 $95.95 $94.00 23.6% 6.8% 21.6% 14.4% 0.0% 4.1% 1.7% 55.2K -2.7M -16.6K 0.57 84.79 N/A N/A 7 4 695 573 2021-01-29 $93.41 $94.00 26.5% 7.6% 23.6% 18.6% 29.5% 7.0% -0.9% 29.4K -2.0M -17.0K 1.94 77.59 N/A N/A 17 33 702 574
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