AAXJ Options History — March 2022

In March 2022, AAXJ traded between $69.31 and $78.12. ATM implied volatility averaged 26.2%, placing in the 59.8% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 6.1% (HV 20d: 32.3%). Max pain ranged from $72.00 to $90.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 15.97.

Notable Days

  • 2022-03-18: Highest Volume — 3,021 contracts
  • 2022-03-07: Largest IV spike — 46.2% change
  • 2022-03-01: Highest IV Rank — 100.0%
  • 2022-03-07: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.71$69.31$78.12$77.75$75.31
Max Pain$78.75$72.00$90.00$81.00$72.00
ATM IV26.2%19.0%37.0%30.9%20.3%
Expected Move7.2%5.7%10.6%8.9%5.8%
HV 20d32.3%17.6%42.2%17.7%41.8%
HV 60d24.7%19.0%29.0%19.3%29.0%
IV Rank59.8%27.3%100.0%100.0%32.6%
IV Percentile91.4%68.7%100.0%100.0%75.8%
Term Structure-2.2%-6.7%0.8%-3.7%-0.2%
VWIV27.4%15.0%39.7%38.6%21.3%
Skew 25d7.8%4.8%10.5%6.5%5.3%
Skew 10d16.6%8.8%24.6%14.3%8.8%
Call IV 25d22.6%17.1%28.9%27.1%17.3%
Put IV 25d30.4%21.9%38.5%33.6%22.6%
Bid-Ask Spread %73.8947.36105.5783.0554.71
Gamma HHI0.770.441.000.810.47
Net GEX-537.4K-2.0M-103.7K-322.6K-181.5K
Net DEX2.6M618.8K9.8M1.7M1.4M
Net VEX-8.2K-13.2K-1.7K-7.3K-11.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.979.3022.8016.359.30
Total Volume1,876.4358223,0212,446834
Total OI2,0896903,1022,4931,404

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-03-01$77.75$81.0030.9%8.9%17.7%100.0%38.6%6.5%-3.7%-322.6K1.7M-7.3K16.3583.05N/AN/A1412,3051902,303
2022-03-02$78.12$81.0026.6%7.6%17.6%77.1%35.2%8.1%-1.2%-298.9K1.3M-5.7K16.3588.19N/AN/A1412,3051902,303
2022-03-03$76.74$81.0026.9%7.7%18.4%78.6%20.5%8.4%-1.8%-297.7K1.1M-4.8K22.7993.29N/AN/A1012,3021902,303
2022-03-04$75.00$81.0025.4%7.3%19.5%70.3%33.0%8.7%-5.8%-533.0K2.2M-7.2K22.8097.51N/AN/A1012,3031902,303
2022-03-07$72.36$81.0037.0%10.6%22.1%100.0%39.7%10.3%-6.0%-839.8K4.7M-9.7K21.12100.28N/AN/A1092,3021902,303
2022-03-08$72.36$81.0031.8%9.8%22.2%78.9%38.4%10.4%-6.7%-913.7K4.3M-9.2K21.1299.50N/AN/A1092,3021862,300
2022-03-09$74.46$81.0027.9%7.4%25.0%63.2%32.6%9.9%-4.9%-801.8K2.4M-5.7K20.93101.36N/AN/A1102,3021862,300
2022-03-10$72.82$81.0027.6%6.2%24.4%62.0%34.4%10.5%-2.9%-878.6K3.5M-7.3K20.9398.47N/AN/A1102,3021872,300
2022-03-11$71.20$81.0028.8%8.0%25.0%66.9%26.9%9.4%-1.5%-1.4M4.8M-7.9K20.93105.57N/AN/A1102,3021872,300
2022-03-14$69.31$90.0032.3%7.7%25.9%80.7%15.0%9.6%-4.2%-2.0M7.9M-6.8K20.4667.82N/AN/A1132,3121872,300
2022-03-15$69.48$90.0030.6%7.5%26.1%74.1%25.0%9.4%-4.7%-2.0M9.8M-5.8K20.0868.86N/AN/A1152,3091902,310
2022-03-16$75.44$90.0028.4%6.7%40.4%65.3%22.9%8.8%-5.4%-281.0K618.8K-1.7K19.5487.85N/AN/A1472,8732232,314
2022-03-17$75.13$0.0028.1%7.7%40.2%64.2%0.0%8.8%-1.4%-141.0K1.1M-4.3K19.5459.59N/AN/A1472,8722262,876
2022-03-18$76.60$0.0024.7%6.9%41.1%50.2%0.0%7.0%-0.8%-103.7K685.7K-3.5K19.2847.36N/AN/A1492,8722262,876
2022-03-21$74.83$0.0025.1%6.9%41.7%51.8%26.9%7.2%-1.4%-131.5K899.8K-3.6K10.5851.74N/AN/A7175174616
2022-03-22$76.31$72.0023.2%6.6%42.2%44.3%26.5%5.9%-0.1%-174.9K1.6M-13.0K9.4057.79N/AN/A80752731,319
2022-03-23$75.80$72.0022.8%6.4%42.1%42.7%24.2%6.2%-0.5%-185.4K1.7M-13.2K9.3055.66N/AN/A81753831,319
2022-03-24$75.89$72.0021.8%6.3%41.8%38.7%24.0%6.5%0.3%-186.0K1.6M-13.0K9.3052.23N/AN/A81753841,320
2022-03-25$75.04$72.0021.6%6.4%41.5%37.8%23.6%6.7%0.5%-207.1K1.8M-13.1K9.3054.16N/AN/A81753841,320
2022-03-28$75.33$72.0021.3%6.2%41.6%36.7%22.7%6.3%0.1%-195.4K1.6M-12.5K9.3057.46N/AN/A81753841,320
2022-03-29$76.72$72.0019.0%5.7%42.0%27.3%21.8%4.8%0.8%-147.7K1.3M-11.0K9.3057.87N/AN/A81753841,320
2022-03-30$76.41$72.0019.9%5.9%42.0%31.0%21.6%4.9%0.7%-145.2K1.2M-10.8K9.3059.23N/AN/A81753841,320
2022-03-31$75.31$72.0020.3%5.8%41.8%32.6%21.3%5.3%-0.2%-181.5K1.4M-11.6K9.3054.71N/AN/A81753841,320