AAXJ Options History — February 2021 In February 2021, AAXJ traded between $95.16 and $102.03. ATM implied volatility averaged 21.0%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 2.3% (HV 20d: 23.3%). Max pain ranged from $88.00 to $95.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.97.
Notable Days 2021-02-02 : Highest Volume — 150 contracts2021-02-10 : Largest IV spike — 19.7% change2021-02-25 : Highest IV Rank — 18.5%2021-02-25 : Largest Expected Move — 7.6%Monthly Statistics Metric Avg Min Max Open Close Price $99.08 $95.16 $102.03 $96.20 $95.16 Max Pain $91.58 $88.00 $95.00 $94.00 $95.00 ATM IV 21.0% 17.2% 26.4% 23.7% 25.2% Expected Move 6.1% 5.5% 7.6% 6.8% 7.2% HV 20d 23.3% 21.5% 25.6% 25.4% 22.8% HV 60d 19.1% 18.5% 20.2% 19.6% 19.5% IV Rank 10.5% 4.8% 18.5% 14.6% 16.7% IV Percentile 46.8% 12.7% 74.2% 63.1% 71.8% Term Structure 1.5% -1.7% 3.5% 2.1% -0.1% VWIV 21.9% 14.4% 26.2% 24.1% 14.4% Skew 25d 4.4% 2.6% 8.7% 5.0% 5.7% Skew 10d 11.4% 6.3% 19.1% 16.2% 13.6% Call IV 25d 20.0% 18.5% 23.2% 21.7% 23.2% Put IV 25d 24.4% 21.8% 29.5% 26.7% 28.9% Bid-Ask Spread % 81.71 64.26 98.41 66.20 88.35 Gamma HHI 0.20 0.13 0.30 0.13 0.19 Net GEX 125.4K 52.1K 177.3K 52.1K 96.6K Net DEX -3.7M -4.6M -2.4M -2.7M -2.4M Net VEX -14.7K -16.3K -13.2K -16.3K -14.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.97 0.00 17.00 0.00 0.11 Total Volume 37.474 3 150 3 10 Total OI 1,345 1,216 1,525 1,293 1,287
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 2021-02-01 $96.20 $94.00 23.7% 6.8% 25.4% 14.6% 0.0% 5.0% 2.1% 52.1K -2.7M -16.3K 0.00 66.20 N/A N/A 3 0 698 595 2021-02-02 $97.65 $94.00 21.7% 6.2% 25.6% 11.6% 24.1% 3.3% 0.6% 80.4K -3.2M -15.4K 0.04 69.21 N/A N/A 144 6 700 595 2021-02-03 $98.19 $94.00 20.2% 5.8% 24.6% 9.3% 0.0% 3.0% 1.0% 94.3K -3.5M -15.4K 0.33 68.89 N/A N/A 6 2 726 601 2021-02-04 $97.70 $88.00 19.0% 5.8% 24.4% 7.6% 24.7% 5.0% 2.6% 84.5K -3.4M -15.3K 17.00 76.62 N/A N/A 1 17 725 602 2021-02-05 $98.60 $88.00 17.4% 5.5% 24.4% 5.1% 26.2% 4.3% 3.5% 100.6K -3.6M -14.4K 0.22 80.37 N/A N/A 18 4 725 619 2021-02-08 $98.85 $88.00 17.6% 5.6% 22.9% 5.5% 21.8% 4.2% 3.2% 108.4K -3.7M -14.0K 5.00 79.15 N/A N/A 4 20 723 622 2021-02-09 $100.16 $88.00 17.2% 5.6% 22.7% 4.8% 20.4% 3.9% 3.0% 138.2K -4.0M -13.8K 0.73 86.50 N/A N/A 11 8 719 622 2021-02-10 $100.31 $88.00 20.5% 5.9% 22.7% 9.8% 19.8% 3.6% 1.9% 145.8K -4.1M -13.6K 0.13 87.69 N/A N/A 16 2 724 621 2021-02-11 $101.60 $88.00 20.2% 5.8% 23.0% 9.3% 20.5% 3.1% 2.5% 171.4K -4.4M -13.2K 0.32 97.55 N/A N/A 69 22 726 623 2021-02-12 $101.57 $88.00 20.1% 5.7% 22.9% 9.1% 0.0% 2.6% 3.0% 177.3K -4.3M -14.3K 0.00 98.41 N/A N/A 3 0 765 644 2021-02-16 $101.83 $88.00 20.5% 5.9% 22.3% 9.8% 23.8% 3.4% 2.6% 174.5K -4.5M -13.4K 3.59 95.67 N/A N/A 17 61 766 639 2021-02-17 $102.03 $89.00 20.7% 5.9% 21.5% 10.0% 20.8% 3.0% 2.7% 125.7K -4.4M -13.7K 5.00 95.35 N/A N/A 4 20 767 659 2021-02-18 $100.42 $95.00 20.9% 6.0% 21.5% 10.3% 21.0% 5.1% -0.4% 111.5K -3.9M -14.1K 0.01 96.29 N/A N/A 77 1 767 679 2021-02-19 $101.19 $95.00 21.1% 6.0% 21.6% 10.6% 21.5% 4.6% 0.4% 153.4K -4.6M -14.9K 1.15 73.08 N/A N/A 13 15 845 680 2021-02-22 $98.44 $95.00 21.6% 6.2% 23.7% 11.4% 24.0% 5.5% 1.2% 152.3K -3.5M -15.2K 1.85 75.80 N/A N/A 34 63 714 502 2021-02-23 $98.92 $95.00 22.3% 6.4% 23.6% 12.4% 20.7% 4.4% 0.2% 151.6K -3.7M -15.7K 0.17 64.26 N/A N/A 6 1 746 544 2021-02-24 $97.62 $95.00 22.3% 6.4% 23.8% 12.5% 23.1% 4.8% 0.5% 138.8K -3.2M -15.9K 1.33 80.20 N/A N/A 3 4 748 545 2021-02-25 $96.09 $95.00 26.4% 7.6% 22.6% 18.5% 24.2% 8.7% -1.7% 124.4K -2.9M -15.4K 0.42 72.95 N/A N/A 19 8 751 541 2021-02-26 $95.16 $95.00 25.2% 7.2% 22.8% 16.7% 14.4% 5.7% -0.1% 96.6K -2.4M -14.5K 0.11 88.35 N/A N/A 9 1 749 538
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