AAXJ Options History — May 2021

In May 2021, AAXJ traded between $89.37 and $94.48. ATM implied volatility averaged 17.8%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.6% (HV 20d: 16.2%). Max pain ranged from $80.00 to $95.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.92.

Notable Days

  • 2021-05-27: Highest Volume — 148 contracts
  • 2021-05-10: Largest IV spike — 13.7% change
  • 2021-05-12: Highest IV Rank — 48.4%
  • 2021-05-12: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.27$89.37$94.48$93.40$94.48
Max Pain$83.20$80.00$95.00$95.00$84.00
ATM IV17.8%15.2%22.0%17.1%15.3%
Expected Move5.2%4.4%6.3%4.9%4.4%
HV 20d16.2%12.0%19.2%14.0%18.3%
HV 60d20.3%19.4%21.0%20.2%19.4%
IV Rank23.3%7.7%48.4%14.8%8.3%
IV Percentile27.3%0.8%70.6%15.9%1.2%
Term Structure0.2%-1.5%1.6%1.0%1.0%
VWIV20.6%17.1%31.2%17.7%19.2%
Skew 25d4.9%3.3%8.8%3.9%4.9%
Skew 10d12.0%7.6%15.7%7.6%9.2%
Call IV 25d15.5%10.3%19.2%15.5%12.4%
Put IV 25d20.4%17.3%24.2%19.4%17.3%
Bid-Ask Spread %71.0657.3893.4484.6171.92
Gamma HHI0.150.120.250.150.13
Net GEX25.5K-26.3K243.3K-3.8K62.4K
Net DEX-1.1M-2.3M-100.8K-1.4M-2.3M
Net VEX-17.4K-18.3K-16.5K-18.2K-18.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.0025.000.000.00
Total Volume34.701483510
Total OI1,7021,5511,8841,5511,851

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$93.40$95.0017.1%4.9%14.0%14.8%0.0%3.9%1.0%-3.8K-1.4M-18.2K0.0084.61N/AN/A350753798
2021-05-04$92.29$95.0018.9%5.4%14.3%24.1%17.7%3.8%-0.0%-17.6K-993.3K-17.4K0.0087.29N/AN/A80753798
2021-05-05$92.63$94.0017.1%4.9%12.6%19.2%0.0%8.8%1.6%-16.3K-1.2M-17.1K0.0093.44N/AN/A02761798
2021-05-06$93.24$80.0017.0%5.1%12.0%18.6%0.0%7.1%0.1%-12.2K-1.4M-16.8K1.3376.44N/AN/A34761800
2021-05-07$94.23$80.0015.2%4.8%12.1%7.7%0.0%3.9%0.8%-1.9K-1.8M-16.5K0.0076.68N/AN/A00764805
2021-05-10$92.58$80.0017.3%5.2%13.4%20.3%18.7%5.0%0.0%-22.4K-1.1M-17.2K0.1166.76N/AN/A536764805
2021-05-11$91.73$80.0019.4%5.5%13.6%32.8%0.0%5.6%-0.7%-2.0K-959.8K-16.9K0.0070.38N/AN/A01813801
2021-05-12$89.45$80.0022.0%6.3%16.0%48.4%19.4%5.5%-1.5%-8.7K-114.2K-17.3K0.0068.50N/AN/A120813801
2021-05-13$89.37$80.0020.7%5.9%15.6%41.7%22.1%4.5%-0.8%3.4K-100.8K-16.8K0.0064.84N/AN/A0142822801
2021-05-14$90.80$80.0018.2%5.2%16.9%26.0%17.5%6.1%0.0%-14.5K-347.4K-17.5K0.1364.53N/AN/A304822933
2021-05-17$90.51$80.0019.0%5.5%16.8%31.5%22.0%5.6%-1.0%4.3K-278.9K-17.1K0.0057.38N/AN/A062842934
2021-05-18$92.19$80.0018.8%5.4%18.2%29.9%31.2%4.9%-0.7%-26.3K-875.4K-18.0K0.0263.95N/AN/A601842966
2021-05-19$91.65$80.0019.4%5.6%18.2%33.6%0.0%5.0%-0.5%88.2K-871.7K-18.0K0.0072.38N/AN/A270892967
2021-05-20$92.40$80.0018.3%5.2%18.5%26.9%0.0%4.3%0.5%98.1K-1.5M-17.6K0.0067.17N/AN/A00917967
2021-05-21$91.22$80.0018.4%5.3%18.1%27.3%17.8%3.6%0.2%243.3K-660.2K-18.3K25.0063.22N/AN/A250878967
2021-05-24$92.10$84.0016.9%4.8%18.6%18.3%22.1%3.3%1.1%12.9K-1.2M-17.6K0.2768.69N/AN/A113830927
2021-05-25$93.24$84.0016.7%4.8%19.2%17.3%22.5%3.8%0.9%36.9K-1.8M-17.3K0.0066.71N/AN/A170841928
2021-05-26$93.95$84.0015.6%4.5%19.2%10.2%0.0%4.6%0.6%45.1K-1.9M-16.7K0.0068.43N/AN/A30833928
2021-05-27$93.97$84.0015.5%4.4%19.2%9.6%17.1%4.7%0.8%41.1K-2.0M-17.1K0.0767.91N/AN/A13810836928
2021-05-28$94.48$84.0015.3%4.4%18.3%8.3%19.2%4.9%1.0%62.4K-2.3M-18.3K0.0071.92N/AN/A100933918