AAXJ Options History — March 2021

In March 2021, AAXJ traded between $90.26 and $97.40. ATM implied volatility averaged 22.0%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 3.0% (HV 20d: 24.9%). Max pain ranged from $95.00 to $95.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 2.68.

Notable Days

  • 2021-03-24: Highest Volume — 517 contracts
  • 2021-03-08: Largest IV spike — 30.6% change
  • 2021-03-08: Highest IV Rank — 22.0%
  • 2021-03-08: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.70$90.26$97.40$97.40$92.83
Max Pain$95.00$95.00$95.00$95.00$95.00
ATM IV22.0%18.3%28.8%20.1%18.3%
Expected Move6.3%5.2%7.2%5.8%5.2%
HV 20d24.9%19.3%27.7%22.0%26.1%
HV 60d22.5%19.9%24.1%19.9%23.8%
IV Rank13.5%9.2%22.0%9.2%9.7%
IV Percentile53.9%23.0%81.7%41.3%23.0%
Term Structure0.9%-2.2%5.4%5.4%1.3%
VWIV22.3%14.1%29.5%29.5%18.7%
Skew 25d4.7%3.3%6.5%4.9%4.6%
Skew 10d11.6%6.7%17.0%13.8%11.3%
Call IV 25d20.1%16.9%23.2%20.1%16.9%
Put IV 25d24.7%21.5%29.4%25.0%21.5%
Bid-Ask Spread %78.9662.7097.2197.2177.85
Gamma HHI0.220.120.480.280.19
Net GEX22.1K-154.7K145.2K145.2K16.5K
Net DEX-1.7M-3.1M-431.8K-3.1M-1.0M
Net VEX-13.9K-19.9K-10.2K-14.0K-17.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.680.0029.411.000.00
Total Volume34.9570517201
Total OI1,253.7837591,3851,2881,279

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$97.40$95.0020.1%5.8%22.0%9.2%29.5%4.9%5.4%145.2K-3.1M-14.0K1.0097.21N/AN/A1010749539
2021-03-02$96.13$95.0024.3%7.0%20.1%15.4%25.1%4.7%-1.5%128.6K-2.7M-14.2K0.0090.06N/AN/A065753539
2021-03-03$95.74$95.0024.7%7.1%19.3%16.0%0.0%5.3%-2.2%103.3K-2.5M-14.7K0.0085.90N/AN/A00753574
2021-03-04$93.61$95.0025.6%7.2%20.6%17.3%24.1%6.2%-0.3%43.1K-1.7M-14.2K0.0069.57N/AN/A40753574
2021-03-05$94.45$95.0022.0%6.5%21.0%12.0%0.0%5.9%0.4%40.4K-1.9M-13.4K0.0079.10N/AN/A140757574
2021-03-08$91.75$95.0028.8%7.2%22.6%22.0%24.2%6.5%0.3%-498-1.2M-12.9K0.0087.51N/AN/A70757574
2021-03-09$93.78$95.0023.5%6.6%24.3%14.2%0.0%5.3%0.6%21.3K-1.7M-12.9K1.0084.79N/AN/A11758574
2021-03-10$93.12$95.0022.8%6.5%23.6%13.2%22.4%4.9%0.8%-1.7K-1.5M-12.5K0.2584.80N/AN/A4010757575
2021-03-11$96.06$95.0020.4%5.9%26.6%9.7%21.1%5.7%2.6%73.4K-2.5M-12.7K0.0077.30N/AN/A340777585
2021-03-12$94.11$95.0022.5%6.4%26.8%12.7%0.0%3.9%1.4%3.4K-1.8M-12.6K0.0076.84N/AN/A500749585
2021-03-15$94.24$95.0022.4%6.4%26.8%12.6%0.0%3.9%1.3%-17.8K-1.8M-12.3K0.0062.70N/AN/A00798585
2021-03-16$94.88$95.0021.0%6.0%27.0%10.6%21.8%3.3%1.9%-47.2K-2.0M-12.2K0.0064.32N/AN/A40798585
2021-03-17$94.96$95.0021.3%6.1%27.0%10.9%21.7%3.6%1.3%-54.0K-2.1M-11.7K4.0065.24N/AN/A14799585
2021-03-18$93.42$95.0022.3%6.4%27.0%12.4%0.0%4.1%1.0%-23.4K-1.5M-11.7K0.0066.37N/AN/A00796589
2021-03-19$94.34$95.0020.8%6.0%27.1%11.4%0.0%4.3%1.6%-154.7K-1.7M-11.3K0.0069.28N/AN/A100796589
2021-03-22$94.28$95.0019.1%5.5%25.6%10.0%0.0%4.0%3.1%75.0K-2.1M-11.1K2.0084.57N/AN/A12535224
2021-03-23$92.41$95.0020.2%5.8%26.2%12.9%14.1%3.6%1.1%69.2K-1.8M-10.8K5.0087.56N/AN/A15534226
2021-03-24$90.26$95.0020.7%5.9%27.0%15.0%18.7%5.0%0.5%62.6K-1.5M-10.2K29.4188.99N/AN/A17500534231
2021-03-25$90.53$95.0020.8%6.0%26.7%15.3%0.0%4.7%0.2%-4.6K-431.8K-19.9K0.2086.90N/AN/A51542731
2021-03-26$92.34$95.0019.9%5.7%27.7%13.3%0.0%4.2%0.9%4.7K-829.8K-19.2K0.0081.81N/AN/A00541732
2021-03-29$91.94$95.0023.1%6.6%26.1%20.3%0.0%3.5%-0.8%8.9K-716.6K-19.3K0.0072.93N/AN/A60541732
2021-03-30$92.48$95.0020.6%5.9%26.0%14.7%0.0%4.7%0.4%15.9K-952.4K-18.8K0.0074.52N/AN/A00547732
2021-03-31$92.83$95.0018.3%5.2%26.1%9.7%0.0%4.6%1.3%16.5K-1.0M-17.9K0.0077.85N/AN/A01547732