AAXJ Options History — January 2022

In January 2022, AAXJ traded between $78.77 and $85.68. ATM implied volatility averaged 18.9%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.6% (HV 20d: 17.3%). Max pain ranged from $81.00 to $85.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 20.87.

Notable Days

  • 2022-01-21: Highest Volume — 2,450 contracts
  • 2022-01-24: Largest IV spike — 14.6% change
  • 2022-01-24: Highest IV Rank — 79.9%
  • 2022-01-24: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.47$78.77$85.68$83.25$81.45
Max Pain$83.10$81.00$85.00$85.00$81.00
ATM IV18.9%14.0%25.4%15.5%19.6%
Expected Move5.5%4.0%7.3%4.4%5.6%
HV 20d17.3%15.3%22.4%17.2%22.4%
HV 60d16.2%15.1%18.4%15.1%18.4%
IV Rank40.6%10.7%79.9%20.1%44.8%
IV Percentile55.6%4.4%98.0%21.0%71.0%
Term Structure0.2%-1.5%2.3%0.8%-0.3%
VWIV18.6%14.3%26.3%15.8%19.5%
Skew 25d5.3%3.5%7.6%4.0%4.9%
Skew 10d12.0%8.5%17.2%10.9%12.0%
Call IV 25d16.9%13.1%22.2%13.8%17.2%
Put IV 25d22.2%16.6%29.8%17.8%22.1%
Bid-Ask Spread %63.0651.2686.4981.0076.62
Gamma HHI0.670.450.800.690.67
Net GEX-183.9K-349.5K-67.5K-159.2K-218.5K
Net DEX1.2M259.8K2.4M1.1M1.5M
Net VEX-9.8K-13.9K-5.5K-10.2K-9.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio20.8719.0231.3620.7731.36
Total Volume2,423.22,3952,4502,4162,395
Total OI2,4382,4142,4452,4392,438

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$83.25$85.0015.5%4.4%17.2%20.1%15.8%4.0%0.8%-159.2K1.1M-10.2K20.7781.00N/AN/A1112,3051132,326
2022-01-04$83.07$85.0014.0%4.0%16.9%10.7%14.3%3.5%2.3%-151.5K996.6K-9.7K20.7780.78N/AN/A1112,3051132,326
2022-01-05$81.68$85.0016.0%4.6%16.7%22.9%15.3%4.2%1.1%-196.9K1.3M-10.6K20.7786.49N/AN/A1112,3051132,326
2022-01-06$81.88$83.0015.8%4.8%16.5%21.8%15.6%5.5%1.2%-191.2K1.3M-10.5K20.7754.13N/AN/A1112,3061132,326
2022-01-07$82.69$83.0015.3%4.7%17.0%18.9%15.4%5.5%0.9%-173.6K1.2M-10.6K20.7753.10N/AN/A1112,3061132,327
2022-01-10$82.51$83.0015.9%4.8%17.0%22.2%16.3%4.9%1.0%-190.4K1.3M-10.3K20.5957.41N/AN/A1122,3061132,327
2022-01-11$84.35$83.0015.1%4.6%15.3%17.4%14.8%5.2%0.6%-124.4K775.8K-8.1K20.4154.46N/AN/A1132,3061132,327
2022-01-12$85.68$83.0016.1%4.6%16.0%23.4%16.4%4.7%0.5%-67.5K259.8K-5.5K20.4156.23N/AN/A1132,3061182,327
2022-01-13$84.58$83.0016.8%4.8%16.6%27.5%16.6%4.7%0.6%-79.9K428.3K-6.2K20.4155.31N/AN/A1132,3061182,327
2022-01-14$84.44$83.0018.1%5.2%16.6%35.5%17.1%5.6%0.2%-102.8K612.3K-7.0K20.4152.60N/AN/A1132,3061182,327
2022-01-18$83.02$83.0020.2%5.8%17.8%48.2%18.4%5.5%-0.3%-143.3K971.4K-8.4K20.4151.26N/AN/A1132,3061182,327
2022-01-19$83.34$83.0019.9%5.7%16.6%46.5%18.5%5.1%-0.4%-127.8K862.2K-7.5K20.4156.03N/AN/A1132,3061182,327
2022-01-20$84.05$83.0020.3%5.8%15.8%49.2%19.2%5.7%0.0%-108.4K743.6K-7.5K20.2357.11N/AN/A1142,3061182,327
2022-01-21$82.68$83.0022.2%6.4%16.9%60.3%23.6%5.7%-0.8%-173.6K1.2M-9.5K19.4261.92N/AN/A1202,3301142,327
2022-01-24$81.33$85.0025.4%7.3%17.8%79.9%26.3%7.6%-1.5%-280.7K1.9M-12.8K21.2654.28N/AN/A1092,317872,327
2022-01-25$81.46$85.0024.1%6.9%17.8%71.9%24.0%6.2%-1.2%-254.4K1.9M-13.1K19.0261.43N/AN/A1222,321872,331
2022-01-26$80.19$81.0024.1%6.9%18.6%71.7%22.8%5.8%-1.5%-264.2K1.7M-11.5K19.1871.44N/AN/A1212,3211002,331
2022-01-27$79.04$81.0023.7%6.8%19.1%69.6%22.3%5.7%-0.9%-320.9K2.4M-13.9K19.1866.71N/AN/A1212,3211052,331
2022-01-28$78.77$81.0020.6%5.9%18.4%50.5%19.9%5.8%0.7%-349.5K2.2M-13.3K20.9172.89N/AN/A1112,3211052,331
2022-01-31$81.45$81.0019.6%5.6%22.4%44.8%19.5%4.9%-0.3%-218.5K1.5M-9.7K31.3676.62N/AN/A742,3211072,331