AAXJ Options History — November 2021

In November 2021, AAXJ traded between $83.40 and $88.00. ATM implied volatility averaged 17.4%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 4.4% (HV 20d: 13.1%). Max pain ranged from $90.00 to $90.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 12.70.

Notable Days

  • 2021-11-17: Highest Volume — 2,481 contracts
  • 2021-11-26: Largest IV spike — 23.6% change
  • 2021-11-30: Highest IV Rank — 68.0%
  • 2021-11-30: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.27$83.40$88.00$86.94$83.40
Max Pain$90.00$90.00$90.00$90.00$90.00
ATM IV17.4%14.8%23.5%15.8%23.5%
Expected Move5.1%4.5%6.7%4.5%6.7%
HV 20d13.1%11.4%15.3%14.8%14.2%
HV 60d16.2%15.0%17.0%16.9%15.8%
IV Rank31.7%16.0%68.0%22.0%68.0%
IV Percentile44.1%9.5%94.4%22.6%94.4%
Term Structure0.4%-2.6%1.9%1.2%-2.6%
VWIV17.5%13.1%22.9%13.1%22.9%
Skew 25d4.1%3.4%6.0%3.6%5.1%
Skew 10d10.4%6.0%35.8%7.6%28.3%
Call IV 25d16.2%14.0%21.0%14.5%21.0%
Put IV 25d20.2%17.4%26.1%18.1%26.1%
Bid-Ask Spread %66.1756.5776.9064.1974.74
Gamma HHI0.700.280.920.740.90
Net GEX-224.3K-355.0K-5.7K-262.2K-333.6K
Net DEX911.4K189.1K2.0M1.5M2.0M
Net VEX-7.2K-15.5K-899-13.2K-14.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.7011.5813.5013.2411.58
Total Volume2,461.3332,4462,4812,4492,478
Total OI2,722.2862,7052,7352,7202,729

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$86.94$90.0015.8%4.5%14.8%22.0%13.1%3.6%1.2%-262.2K1.5M-13.2K13.2464.19N/AN/A1722,2773892,331
2021-11-02$86.05$90.0016.3%4.7%15.2%24.9%16.9%3.5%1.3%-251.8K1.8M-15.5K13.2467.58N/AN/A1722,2773902,333
2021-11-03$86.47$90.0015.6%4.5%14.9%20.4%18.8%3.4%1.9%-278.3K1.5M-12.7K13.2473.17N/AN/A1722,2773902,333
2021-11-04$86.12$90.0015.2%4.8%12.7%18.3%15.8%4.1%1.6%-268.4K1.2M-9.6K13.2461.17N/AN/A1722,2773902,333
2021-11-05$85.99$90.0014.8%4.7%12.7%16.0%15.8%4.0%1.5%-268.7K897.3K-5.8K13.1663.41N/AN/A1732,2773902,333
2021-11-08$86.79$90.0014.9%4.7%13.1%16.2%15.8%3.7%1.2%-263.4K896.5K-6.9K13.4765.41N/AN/A1692,2773862,333
2021-11-09$86.31$90.0016.1%4.9%13.0%23.6%16.1%4.2%1.1%-259.0K1.2M-9.5K13.5061.99N/AN/A1692,2823862,333
2021-11-10$86.01$90.0017.5%5.0%11.8%32.2%18.0%5.0%1.2%-259.0K1.1M-8.8K13.4664.13N/AN/A1702,2883862,319
2021-11-11$87.42$90.0017.5%5.0%13.1%31.8%17.6%4.1%0.8%-240.5K770.4K-6.9K13.3860.81N/AN/A1712,2883872,323
2021-11-12$87.91$90.0016.9%4.8%12.8%28.3%17.3%3.9%0.8%-202.8K460.0K-4.4K13.4656.57N/AN/A1702,2883872,323
2021-11-15$87.77$90.0017.4%5.0%12.8%31.3%17.4%3.7%0.9%-202.2K516.3K-4.7K12.1161.60N/AN/A1892,2883872,323
2021-11-16$88.00$90.0016.9%4.8%11.4%28.2%17.2%4.1%1.0%-221.8K719.8K-8.2K12.1162.14N/AN/A1892,2884082,323
2021-11-17$87.61$90.0016.4%4.7%11.5%25.1%16.5%3.5%1.7%-5.7K189.1K-1.1K12.1363.29N/AN/A1892,2924082,323
2021-11-18$86.57$90.0016.7%4.8%12.1%27.1%17.0%3.8%-0.3%-208.7K514.9K-4.4K12.7464.68N/AN/A1802,2934082,326
2021-11-19$86.60$90.0017.0%4.9%12.1%29.1%17.1%3.6%-0.3%-224.0K746.1K-6.9K12.7266.84N/AN/A1802,2904082,327
2021-11-22$86.52$90.0017.5%5.0%12.0%31.8%17.5%3.7%-0.2%-199.9K526.9K-4.5K12.3466.48N/AN/A1842,2714042,318
2021-11-23$85.98$90.0018.6%5.3%12.1%38.6%18.1%3.5%-0.4%-39.1K307.1K-95312.3466.85N/AN/A1842,2714142,320
2021-11-24$85.94$90.0018.0%5.2%11.7%35.0%17.0%3.4%-0.3%-38.6K320.8K-89911.7771.71N/AN/A1932,2714142,320
2021-11-26$83.52$90.0022.2%6.4%15.3%60.6%21.5%6.0%-2.3%-355.0K1.1M-6.5K11.8975.93N/AN/A1912,2713962,320
2021-11-29$83.67$90.0021.5%6.2%14.8%56.4%21.0%5.3%-2.0%-327.4K945.3K-5.5K11.5876.90N/AN/A1972,2813972,320
2021-11-30$83.40$90.0023.5%6.7%14.2%68.0%22.9%5.1%-2.6%-333.6K2.0M-14.2K11.5874.74N/AN/A1972,2813992,330