AAXJ Options History — September 2021

In September 2021, AAXJ traded between $84.26 and $90.76. ATM implied volatility averaged 18.4%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.6% (HV 20d: 17.8%). Max pain ranged from $86.00 to $90.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.34.

Notable Days

  • 2021-09-15: Highest Volume — 2,251 contracts
  • 2021-09-20: Largest IV spike — 35.0% change
  • 2021-09-20: Highest IV Rank — 73.5%
  • 2021-09-20: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.47$84.26$90.76$89.94$85.10
Max Pain$87.48$86.00$90.00$90.00$86.00
ATM IV18.4%13.6%24.4%14.1%21.6%
Expected Move5.4%4.0%7.0%4.0%6.2%
HV 20d17.8%15.2%19.2%18.0%17.1%
HV 60d18.4%17.7%19.5%17.7%19.4%
IV Rank37.4%8.8%73.5%11.7%56.4%
IV Percentile52.3%3.2%95.2%4.0%85.3%
Term Structure1.2%-0.7%2.3%1.6%0.3%
VWIV16.5%9.6%20.2%9.6%16.8%
Skew 25d5.2%3.7%7.1%3.7%6.3%
Skew 10d11.5%8.1%14.9%8.1%11.8%
Call IV 25d16.8%12.9%21.7%12.9%19.3%
Put IV 25d22.0%16.6%28.9%16.6%25.6%
Bid-Ask Spread %57.2248.5877.8977.8953.68
Gamma HHI0.550.210.840.230.83
Net GEX-71.6K-234.9K126.5K43.8K-229.3K
Net DEX1.7M-47.5K3.7M208.4K3.1M
Net VEX-16.3K-36.9K-1.7K-3.9K-30.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.002.282.280.00
Total Volume111.71402,251590
Total OI2,1821,5853,8361,6062,692

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$89.94$90.0014.1%4.0%18.0%11.7%9.6%3.7%1.6%43.8K208.4K-3.9K2.2877.89N/AN/A1841766840
2021-09-02$89.58$88.0014.1%4.6%18.0%11.5%0.0%4.4%2.2%54.3K255.5K-3.6K0.0048.78N/AN/A00764841
2021-09-03$90.09$88.0013.6%4.6%17.7%8.8%0.0%4.7%2.3%61.8K230.3K-3.9K0.0056.82N/AN/A00771861
2021-09-07$90.76$88.0013.9%4.6%17.7%10.1%0.0%4.2%2.1%76.3K-47.5K-3.8K0.1049.83N/AN/A101771860
2021-09-08$89.58$88.0016.8%4.8%18.4%27.9%0.0%4.3%1.6%85.5K358.3K-3.4K0.0048.58N/AN/A10771860
2021-09-09$89.31$88.0017.5%5.0%18.4%32.2%0.0%5.0%1.5%91.5K502.9K-3.0K0.0052.35N/AN/A00769860
2021-09-10$89.24$88.0017.5%5.0%18.1%32.3%16.2%4.7%2.0%103.8K492.3K-2.9K0.0052.49N/AN/A50769860
2021-09-13$89.19$88.0018.1%5.2%18.0%35.9%0.0%5.4%1.7%126.5K536.3K-2.6K0.0049.24N/AN/A00769860
2021-09-14$88.31$88.0018.5%5.3%18.1%38.0%0.0%4.8%1.5%69.3K763.1K-2.2K0.0050.66N/AN/A00772860
2021-09-15$88.06$88.0017.5%5.0%16.2%31.9%18.5%4.9%2.2%35.3K442.1K-1.8K0.0062.66N/AN/A02,251772813
2021-09-16$87.06$88.0018.0%5.2%16.7%35.0%16.3%5.1%1.1%-19.7K519.0K-1.7K0.0057.89N/AN/A70772813
2021-09-17$86.94$87.0018.1%5.2%15.2%35.4%0.0%4.6%0.9%-216.4K2.7M-25.8K0.0057.00N/AN/A007723,064
2021-09-20$84.26$87.0024.4%7.0%19.2%73.5%20.2%7.1%-0.7%-227.0K3.7M-36.9K0.0064.74N/AN/A013842,302
2021-09-21$85.12$87.0022.1%6.3%18.5%59.7%0.0%6.3%0.3%-223.4K3.6M-34.5K0.0065.05N/AN/A003842,302
2021-09-22$86.26$87.0020.3%5.8%17.6%49.2%0.0%6.0%0.7%-208.6K3.2M-32.2K0.0057.72N/AN/A013842,302
2021-09-23$86.70$87.0018.9%5.4%17.8%40.2%0.0%6.0%1.5%-218.4K2.9M-31.1K0.0065.11N/AN/A003842,302
2021-09-24$85.49$87.0019.1%5.5%18.1%41.6%17.8%4.9%1.4%-226.1K2.8M-28.5K0.0058.53N/AN/A703842,303
2021-09-27$86.27$87.0018.3%5.2%18.1%36.7%16.8%5.1%1.6%-222.1K2.5M-27.7K0.0060.72N/AN/A303842,303
2021-09-28$85.15$86.0022.3%6.4%18.6%61.0%0.0%5.8%-0.4%-226.7K3.3M-31.1K0.0056.71N/AN/A003872,303
2021-09-29$84.55$86.0021.6%6.2%17.8%56.5%0.0%5.9%-0.2%-234.9K3.0M-30.7K0.0055.10N/AN/A003892,303
2021-09-30$85.10$86.0021.6%6.2%17.1%56.4%0.0%6.3%0.3%-229.3K3.1M-30.7K0.0053.68N/AN/A003892,303