AAXJ Options History — October 2021

In October 2021, AAXJ traded between $83.42 and $88.66. ATM implied volatility averaged 17.7%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.2% (HV 20d: 17.6%). Max pain ranged from $84.00 to $90.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 9.13.

Notable Days

  • 2021-10-27: Highest Volume — 2,463 contracts
  • 2021-10-11: Largest IV spike — 33.0% change
  • 2021-10-04: Highest IV Rank — 71.9%
  • 2021-10-04: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.44$83.42$88.66$84.73$86.14
Max Pain$85.81$84.00$90.00$86.00$90.00
ATM IV17.7%14.8%24.1%20.2%16.2%
Expected Move5.0%4.2%6.6%5.8%4.6%
HV 20d17.6%15.0%20.5%17.1%15.8%
HV 60d18.3%16.7%19.6%18.9%16.9%
IV Rank33.5%15.9%71.9%48.6%24.1%
IV Percentile42.5%8.7%94.4%75.0%28.6%
Term Structure1.1%-0.7%1.8%0.4%1.3%
VWIV16.7%14.2%21.8%20.6%14.2%
Skew 25d4.9%3.0%7.2%5.9%3.7%
Skew 10d10.7%5.8%16.0%11.9%8.3%
Call IV 25d15.6%13.8%19.6%18.3%14.8%
Put IV 25d20.5%17.5%26.8%24.3%18.5%
Bid-Ask Spread %57.5344.5366.5664.8862.84
Gamma HHI0.780.680.900.840.77
Net GEX-230.3K-277.4K-189.1K-238.8K-273.7K
Net DEX2.0M743.0K3.2M3.0M1.7M
Net VEX-20.6K-30.2K-8.9K-30.2K-15.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.130.0013.720.0013.35
Total Volume936.1902,46352,453
Total OI2,701.3812,6892,7202,6922,720

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$84.73$86.0020.2%5.8%17.1%48.6%0.0%5.9%0.4%-238.8K3.0M-30.2K0.0064.88N/AN/A503892,303
2021-10-04$83.42$84.0024.1%6.6%17.4%71.9%0.0%7.2%-0.7%-268.6K3.0M-28.9K0.0044.53N/AN/A103892,303
2021-10-05$84.12$84.0020.4%5.9%17.4%49.6%20.6%6.3%0.7%-245.8K3.2M-30.0K0.0045.71N/AN/A013942,303
2021-10-06$83.49$84.0022.1%6.1%17.2%59.9%0.0%6.6%0.5%-277.4K2.7M-25.8K0.0054.32N/AN/A003952,303
2021-10-07$85.44$84.0019.3%5.6%19.6%42.8%0.0%6.0%0.9%-230.5K2.7M-27.0K0.0051.33N/AN/A003952,303
2021-10-08$85.59$84.0016.8%5.3%19.6%27.9%0.0%6.3%0.8%-231.9K2.5M-26.4K0.0056.38N/AN/A003952,303
2021-10-11$85.47$84.0022.4%5.5%19.6%61.3%0.0%5.7%0.6%-223.2K3.1M-29.8K0.0056.42N/AN/A003952,303
2021-10-12$84.83$84.0020.6%5.5%19.5%50.7%0.0%6.3%0.7%-233.0K3.2M-29.6K0.0053.48N/AN/A003952,303
2021-10-13$86.15$84.0018.0%5.2%20.5%35.1%21.8%5.4%1.2%-223.8K2.8M-28.6K0.0056.48N/AN/A033952,303
2021-10-14$86.49$84.0016.8%4.8%20.2%27.6%15.2%4.7%1.3%-232.7K2.0M-22.0K0.0047.73N/AN/A203952,303
2021-10-15$87.38$84.0015.5%4.4%20.5%19.8%0.0%4.4%1.6%-224.4K1.8M-19.8K0.0048.86N/AN/A003952,306
2021-10-18$87.26$84.0015.6%4.5%16.8%20.5%0.0%4.3%1.5%-211.7K1.4M-15.7K0.0060.06N/AN/A003842,305
2021-10-19$88.65$84.0015.2%4.4%17.3%18.1%0.0%4.2%1.6%-189.1K973.3K-11.4K1.0061.75N/AN/A113842,305
2021-10-20$88.66$84.0014.8%4.2%16.8%15.9%18.2%3.9%1.8%-194.8K743.0K-8.9K13.5760.81N/AN/A1672,2673852,306
2021-10-21$88.29$84.0015.8%4.5%16.8%21.7%15.8%4.3%1.6%-196.2K1.1M-13.4K13.7263.58N/AN/A1672,2913852,306
2021-10-22$88.02$90.0015.9%4.6%16.0%22.5%15.6%3.0%1.3%-209.2K1.4M-15.1K13.7262.85N/AN/A1672,2913852,330
2021-10-25$88.43$90.0015.4%4.4%15.8%19.6%15.5%3.7%1.6%-223.2K1.2M-12.5K13.7261.50N/AN/A1672,2913852,330
2021-10-26$88.11$90.0015.6%4.5%15.0%20.8%15.6%3.8%1.4%-228.2K1.1M-11.5K13.7266.56N/AN/A1672,2923852,330
2021-10-27$87.35$90.0015.9%4.6%15.1%22.6%15.4%3.7%1.6%-234.8K1.6M-15.6K13.4063.75N/AN/A1712,2923852,331
2021-10-28$87.31$90.0016.0%4.6%15.0%23.1%15.5%3.4%1.3%-244.5K1.5M-14.8K13.4064.42N/AN/A1712,2923892,331
2021-10-29$86.14$90.0016.2%4.6%15.8%24.1%14.2%3.7%1.3%-273.7K1.7M-15.9K13.3562.84N/AN/A1712,2823892,331