AAXJ Options History — December 2021

In December 2021, AAXJ traded between $80.18 and $85.60. ATM implied volatility averaged 19.1%, placing in the 41.4% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.2% (HV 20d: 17.9%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 17.53.

Notable Days

  • 2021-12-17: Highest Volume — 2,493 contracts
  • 2021-12-13: Largest IV spike — 46.7% change
  • 2021-12-03: Highest IV Rank — 88.6%
  • 2021-12-03: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.01$80.18$85.60$83.71$82.97
Max Pain$85.68$85.00$90.00$90.00$85.00
ATM IV19.1%14.3%26.9%24.7%15.1%
Expected Move5.3%4.3%7.7%7.1%4.3%
HV 20d17.9%14.0%20.8%14.0%18.5%
HV 60d16.2%15.6%17.5%15.7%15.9%
IV Rank41.4%12.9%88.6%75.4%17.6%
IV Percentile56.1%7.1%99.6%97.2%12.3%
Term Structure0.7%-3.6%2.0%-2.8%1.4%
VWIV17.4%14.3%27.0%23.5%15.3%
Skew 25d5.1%3.5%7.5%5.4%4.2%
Skew 10d11.7%-11.4%34.1%34.1%-11.4%
Call IV 25d16.9%13.3%24.6%22.5%13.3%
Put IV 25d22.0%17.5%32.1%28.0%17.5%
Bid-Ask Spread %65.1447.3481.5074.8275.94
Gamma HHI0.860.700.940.890.72
Net GEX-257.8K-331.6K-181.0K-331.6K-181.4K
Net DEX1.9M700.6K3.0M1.4M1.3M
Net VEX-14.5K-21.9K-3.7K-9.8K-12.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio17.5310.6031.0511.5320.58
Total Volume2,443.3642,3322,4932,4812,417
Total OI2,591.7732,3302,7372,7292,439

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$83.71$90.0024.7%7.1%14.0%75.4%23.5%5.4%-2.8%-331.6K1.4M-9.8K11.5374.82N/AN/A1982,2833992,330
2021-12-02$84.44$90.0024.3%7.0%14.3%73.1%23.3%6.5%-3.6%-303.9K851.8K-5.4K11.5381.50N/AN/A1982,2834002,333
2021-12-03$82.85$90.0026.9%7.7%15.6%88.6%27.0%7.5%-2.5%-308.1K2.7M-19.6K11.5377.05N/AN/A1982,2834002,333
2021-12-06$83.68$85.0022.3%5.8%16.2%60.8%18.8%5.9%1.0%-269.0K2.1M-15.3K11.5347.88N/AN/A1982,2833982,333
2021-12-07$85.01$85.0019.8%5.4%16.9%45.7%18.5%5.0%1.3%-301.0K1.5M-9.8K11.3147.34N/AN/A2022,2843982,333
2021-12-08$85.60$85.0016.9%4.9%17.1%28.4%17.7%4.6%1.8%-283.6K1.2M-8.4K11.3150.92N/AN/A2022,2854022,334
2021-12-09$85.36$85.0018.0%5.1%17.0%35.3%17.6%3.7%1.3%-296.7K1.1M-6.9K11.3157.76N/AN/A2022,2844022,335
2021-12-10$85.29$85.0014.3%4.8%15.9%12.9%16.4%3.5%2.0%-240.8K700.6K-3.7K11.3152.45N/AN/A2022,2844022,335
2021-12-13$82.71$85.0021.0%5.2%18.8%53.2%16.7%5.4%1.2%-244.1K2.4M-16.5K11.3156.92N/AN/A2022,2844012,335
2021-12-14$82.33$85.0024.2%5.5%18.8%72.3%17.2%5.8%1.4%-258.1K3.0M-20.5K11.3155.17N/AN/A2022,2854012,329
2021-12-15$81.85$85.0018.6%5.3%18.7%38.5%16.0%5.8%1.6%-258.8K2.5M-18.1K10.7363.81N/AN/A2122,2744012,330
2021-12-16$81.90$85.0018.7%5.4%18.7%39.4%16.7%5.5%0.7%-247.5K2.6M-20.1K10.7363.06N/AN/A2122,2744112,288
2021-12-17$81.49$85.0019.7%5.6%18.4%45.1%16.6%5.3%0.6%-268.4K2.8M-21.9K10.6066.35N/AN/A2152,2784122,285
2021-12-20$80.18$85.0021.5%6.2%19.0%56.0%16.6%6.2%0.2%-299.5K2.7M-21.4K28.9062.14N/AN/A782,254552,275
2021-12-21$81.58$85.0018.3%5.3%20.4%37.0%16.1%5.5%1.0%-263.2K2.7M-21.7K29.0469.95N/AN/A792,294742,275
2021-12-22$82.05$85.0017.2%4.9%20.6%30.1%15.2%4.8%1.2%-251.4K2.2M-16.5K27.9969.74N/AN/A822,295752,315
2021-12-23$82.51$85.0015.6%4.5%20.8%20.4%14.3%4.2%1.5%-236.8K2.0M-16.5K29.8171.81N/AN/A772,295782,316
2021-12-27$82.69$85.0015.3%4.4%18.3%18.5%14.8%4.3%1.3%-215.0K1.7M-14.3K31.0373.36N/AN/A742,296792,316
2021-12-28$82.66$85.0015.6%4.5%18.3%20.3%15.0%4.7%1.2%-222.5K1.8M-14.3K31.0566.53N/AN/A742,298862,319
2021-12-29$82.20$85.0016.1%4.6%18.3%23.3%14.9%4.5%1.2%-209.1K1.5M-12.4K20.5871.30N/AN/A1122,305862,319
2021-12-30$83.15$85.0015.3%4.4%18.8%18.9%15.5%4.0%1.5%-181.0K1.3M-13.1K20.5877.29N/AN/A1122,3051262,326
2021-12-31$82.97$85.0015.1%4.3%18.5%17.6%15.3%4.2%1.4%-181.4K1.3M-12.7K20.5875.94N/AN/A1122,3051132,326