AAXJ Options History — August 2021

In August 2021, AAXJ traded between $83.92 and $89.33. ATM implied volatility averaged 16.2%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 4.3% (HV 20d: 20.6%). Max pain ranged from $84.00 to $90.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.10.

Notable Days

  • 2021-08-06: Highest Volume — 14 contracts
  • 2021-08-19: Largest IV spike — 13.9% change
  • 2021-08-02: Highest IV Rank — 45.2%
  • 2021-08-02: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.27$83.92$89.33$88.28$88.73
Max Pain$89.18$84.00$90.00$84.00$90.00
ATM IV16.2%13.6%19.7%19.7%13.6%
Expected Move4.7%3.9%5.6%5.6%3.9%
HV 20d20.6%16.6%23.2%23.2%17.6%
HV 60d17.2%16.4%18.2%18.2%17.5%
IV Rank24.3%8.7%45.2%45.2%8.7%
IV Percentile24.4%2.8%67.1%67.1%2.8%
Term Structure2.0%-1.2%3.2%-1.2%2.2%
VWIV16.1%13.8%19.3%13.8%16.7%
Skew 25d4.7%2.9%5.8%5.2%3.5%
Skew 10d11.5%6.7%17.0%15.0%6.7%
Call IV 25d14.6%12.7%17.0%17.0%12.7%
Put IV 25d19.3%16.2%22.2%22.2%16.2%
Bid-Ask Spread %74.2167.1383.0175.4776.93
Gamma HHI0.220.150.330.170.24
Net GEX-172.7K-493.5K33.5K-152.2K33.5K
Net DEX1.3M504.2K2.6M1.3M504.2K
Net VEX-6.6K-10.5K-3.2K-10.5K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.100.001.000.000.33
Total Volume2.77301424
Total OI1,743.51,5941,8221,7961,606

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$88.28$84.0019.7%5.6%23.2%45.2%0.0%5.2%-1.2%-152.2K1.3M-10.5K0.0075.47N/AN/A207461,050
2021-08-03$88.56$84.0017.5%5.0%22.9%31.9%13.8%5.2%-0.0%-152.5K1.4M-10.5K0.0070.64N/AN/A207461,050
2021-08-04$89.33$84.0017.3%5.0%23.2%31.0%14.1%5.8%0.1%-105.8K841.8K-10.1K0.0077.22N/AN/A107481,050
2021-08-05$88.99$90.0015.6%4.6%22.0%20.7%0.0%5.8%3.1%-127.3K1.0M-8.8K0.0067.13N/AN/A007491,050
2021-08-06$88.12$90.0016.3%4.7%21.2%24.9%17.9%4.7%2.4%-158.5K1.3M-8.7K0.1768.33N/AN/A1227501,050
2021-08-09$88.72$90.0014.3%4.4%21.4%12.8%0.0%5.2%2.9%-100.5K849.5K-7.0K0.0069.00N/AN/A407501,050
2021-08-10$88.62$90.0014.2%4.4%21.3%12.3%0.0%4.7%2.7%-100.2K906.0K-6.9K0.0070.95N/AN/A007621,052
2021-08-11$88.76$90.0014.7%4.2%21.3%15.0%0.0%4.5%3.1%-95.4K861.8K-6.6K0.0071.64N/AN/A007641,052
2021-08-12$87.91$90.0015.3%4.4%21.4%18.7%0.0%5.0%2.7%-132.3K1.1M-6.5K0.0072.04N/AN/A207651,052
2021-08-13$87.58$90.0015.0%4.3%21.3%16.9%0.0%4.4%3.0%-130.1K1.2M-6.2K0.0076.14N/AN/A307651,052
2021-08-16$86.83$90.0015.2%4.3%20.6%18.0%0.0%4.3%3.2%-202.8K1.5M-6.0K0.0074.86N/AN/A007671,052
2021-08-17$85.02$90.0017.2%4.9%21.3%30.2%0.0%5.3%2.3%-380.9K2.2M-6.6K0.0077.22N/AN/A107701,052
2021-08-18$85.62$90.0016.2%4.7%21.5%24.4%0.0%4.7%3.1%-260.4K1.8M-6.2K0.0078.76N/AN/A007701,052
2021-08-19$84.08$90.0018.5%5.3%22.0%38.0%16.2%5.5%1.8%-493.5K2.6M-6.7K1.0083.01N/AN/A227691,052
2021-08-20$83.92$90.0018.2%5.2%21.5%36.0%0.0%5.2%1.6%-447.1K2.4M-6.5K0.0077.47N/AN/A107691,052
2021-08-23$85.37$90.0017.9%5.1%20.8%34.5%17.7%5.3%1.3%-215.9K1.8M-5.7K0.0073.52N/AN/A40754840
2021-08-24$87.12$90.0016.7%4.8%20.0%27.0%19.3%4.6%1.7%-127.4K1.3M-5.4K0.0068.67N/AN/A50755840
2021-08-25$87.22$90.0016.0%4.6%16.6%23.0%14.5%4.0%1.8%-113.8K1.1M-4.7K0.0071.67N/AN/A20758840
2021-08-26$86.41$90.0017.2%4.9%16.9%30.2%0.0%4.2%1.6%-153.3K1.4M-5.0K0.0074.52N/AN/A00762840
2021-08-27$87.22$90.0015.2%4.4%17.1%18.4%14.2%2.9%2.4%-107.3K1.1M-4.4K0.0077.11N/AN/A120762840
2021-08-30$87.48$90.0015.1%4.3%16.8%17.6%0.0%3.9%2.2%-75.7K975.1K-3.8K0.0080.37N/AN/A00762840
2021-08-31$88.73$90.0013.6%3.9%17.6%8.7%16.7%3.5%2.2%33.5K504.2K-3.2K0.3376.93N/AN/A31766840