AAXJ Options History — June 2021

In June 2021, AAXJ traded between $92.62 and $96.14. ATM implied volatility averaged 14.8%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 0.1% (HV 20d: 14.9%). Max pain ranged from $84.00 to $95.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 4.53.

Notable Days

  • 2021-06-23: Highest Volume — 551 contracts
  • 2021-06-17: Largest IV drop — 12.7% change
  • 2021-06-16: Highest IV Rank — 16.2%
  • 2021-06-03: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.32$92.62$96.14$96.14$94.44
Max Pain$93.64$84.00$95.00$84.00$93.00
ATM IV14.8%12.8%16.3%16.3%13.6%
Expected Move4.3%3.7%4.8%4.7%3.9%
HV 20d14.9%10.5%19.5%19.3%10.6%
HV 60d16.3%14.8%19.6%19.6%14.8%
IV Rank6.8%0.0%16.2%14.7%4.8%
IV Percentile2.7%0.0%11.9%7.5%1.2%
Term Structure1.1%-0.5%2.0%-0.5%2.0%
VWIV14.5%12.8%16.5%16.5%12.8%
Skew 25d3.6%2.0%5.5%5.5%2.6%
Skew 10d9.9%7.5%13.8%10.4%7.5%
Call IV 25d13.4%11.4%15.4%11.4%12.7%
Put IV 25d17.0%14.4%18.9%16.9%15.3%
Bid-Ask Spread %72.0762.0383.6678.3262.03
Gamma HHI0.130.110.150.130.15
Net GEX86.4K-50.3K231.3K94.3K208.4K
Net DEX-1.4M-2.9M1.4K-2.9M-1.2M
Net VEX-18.0K-19.9K-15.1K-17.5K-18.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.530.0050.750.010.67
Total Volume76.6820551700
Total OI1,903.3641,6802,1021,8451,735

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$96.14$84.0016.3%4.7%19.3%14.7%16.5%5.5%-0.5%94.3K-2.9M-17.5K0.0178.32N/AN/A691927918
2021-06-02$95.80$84.0016.1%4.6%18.7%13.1%0.0%5.4%-0.3%108.4K-2.9M-17.1K0.0083.66N/AN/A00984917
2021-06-03$94.66$95.0015.9%4.8%19.3%12.0%0.0%3.7%0.4%76.4K-2.4M-17.3K0.0075.76N/AN/A150984917
2021-06-04$95.55$95.0014.7%4.4%19.5%4.7%0.0%3.8%1.2%109.5K-2.8M-17.4K0.0068.02N/AN/A120999917
2021-06-07$94.97$95.0015.7%4.6%19.3%11.1%0.0%3.6%0.9%85.0K-2.7M-16.3K50.7565.53N/AN/A4203997917
2021-06-08$94.51$95.0015.3%4.5%18.2%8.6%0.0%3.6%1.0%22.4K-2.0M-19.1K0.0065.17N/AN/A001,0001,102
2021-06-09$94.16$95.0015.9%4.6%17.9%12.2%0.0%3.3%1.1%22.7K-1.8M-19.5K0.0076.57N/AN/A001,0001,102
2021-06-10$94.62$95.0015.1%4.3%14.9%7.2%15.3%3.2%0.9%49.8K-1.9M-19.9K0.0074.48N/AN/A1509701,102
2021-06-11$94.53$95.0014.2%4.1%15.0%1.8%14.3%3.9%1.5%60.7K-1.8M-18.9K1.0075.51N/AN/A119841,102
2021-06-14$94.70$95.0015.0%4.3%14.1%7.0%0.0%3.2%0.7%67.4K-967.4K-19.3K0.7777.17N/AN/A26208861,102
2021-06-15$93.99$95.0014.8%4.2%14.4%5.7%15.6%3.7%1.2%54.8K-821.6K-17.9K20.0078.74N/AN/A3608851,122
2021-06-16$92.94$95.0016.3%4.7%13.7%16.2%15.0%3.7%0.3%-50.3K1.4K-19.1K0.0076.00N/AN/A1108851,150
2021-06-17$93.58$95.0014.2%4.1%13.7%2.2%13.2%4.0%1.8%5.3K-357.1K-18.4K0.0368.98N/AN/A6028861,150
2021-06-18$92.83$95.0015.4%4.4%13.8%10.1%0.0%4.3%1.5%-2.1K-163.4K-18.4K0.6069.24N/AN/A539331,150
2021-06-21$93.01$95.0015.3%4.4%12.9%9.3%15.4%4.5%1.2%33.5K-56.9K-18.6K0.0971.05N/AN/A111771909
2021-06-22$92.62$95.0014.4%4.1%12.6%3.0%0.0%3.5%1.7%52.3K-108.1K-17.5K0.0068.00N/AN/A00802910
2021-06-23$93.31$94.0014.3%4.1%12.1%2.3%14.3%3.1%1.7%118.3K-414.1K-18.6K0.6578.94N/AN/A334217842910
2021-06-24$93.99$94.0013.2%3.8%12.1%0.0%13.4%2.9%1.5%150.4K-828.2K-17.9K0.0071.51N/AN/A100844910
2021-06-25$94.77$94.0013.3%3.8%12.4%0.8%13.4%2.9%0.9%199.6K-1.5M-16.9K0.0867.17N/AN/A131854910
2021-06-28$94.99$94.0013.6%3.9%12.3%3.0%14.4%2.0%1.3%203.4K-1.5M-17.2K2.2970.08N/AN/A1432844910
2021-06-29$94.93$93.0012.8%3.7%10.5%0.0%12.8%2.3%1.8%231.3K-1.6M-15.1K0.6763.58N/AN/A325218848887
2021-06-30$94.44$93.0013.6%3.9%10.6%4.8%0.0%2.6%2.0%208.4K-1.2M-18.1K0.0062.03N/AN/A00848887