AAXJ Options History — August 2022

In August 2022, AAXJ traded between $66.38 and $69.19. ATM implied volatility averaged 19.1%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 5.2% (HV 20d: 13.9%). Max pain ranged from $68.00 to $68.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.57.

Notable Days

  • 2022-08-31: Highest Volume — 1,208 contracts
  • 2022-08-26: Largest IV spike — 10.6% change
  • 2022-08-01: Highest IV Rank — 40.2%
  • 2022-08-01: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.80$66.38$69.19$67.43$67.10
Max Pain$68.00$68.00$68.00$68.00$68.00
ATM IV19.1%17.2%23.0%23.0%20.0%
Expected Move5.5%4.9%6.6%6.6%5.7%
HV 20d13.9%10.0%18.0%17.9%14.1%
HV 60d21.1%19.5%24.7%24.7%19.5%
IV Rank23.6%15.4%40.2%40.2%27.4%
IV Percentile42.7%24.2%71.4%71.4%50.0%
Term Structure2.2%-0.6%5.0%-0.6%1.4%
VWIV19.8%16.7%21.9%21.2%19.3%
Skew 25d3.9%2.9%5.2%3.9%2.9%
Skew 10d7.3%3.9%10.0%6.9%3.9%
Call IV 25d17.6%15.7%20.5%20.5%18.8%
Put IV 25d21.5%19.4%24.4%24.4%21.7%
Bid-Ask Spread %72.9349.1586.7550.0279.54
Gamma HHI0.540.410.830.580.47
Net GEX-234.2K-486.4K22.1K-243.4K-106.9K
Net DEX480.0K-2.8M1.8M1.7M-1.9M
Net VEX-10.1K-24.5K-4.1K-7.5K-23.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.001.271.230.01
Total Volume137.08701,2081251,208
Total OI1,162.7838581,8929141,892

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-08-01$67.43$68.0023.0%6.6%17.9%40.2%21.2%3.9%-0.6%-243.4K1.7M-7.5K1.2350.02N/AN/A566993821
2022-08-02$67.23$68.0022.3%6.4%17.9%37.2%21.1%3.9%-0.6%-258.7K1.8M-6.8K1.2349.15N/AN/A566966824
2022-08-03$67.75$68.0020.0%5.7%18.0%27.3%20.0%3.9%0.8%-264.2K1.6M-6.5K1.2759.45N/AN/A567166826
2022-08-04$68.15$68.0020.0%5.8%16.8%27.5%21.9%5.2%3.6%-256.8K1.5M-6.0K1.2170.65N/AN/A576966826
2022-08-05$68.13$68.0018.5%5.6%16.8%20.9%20.8%4.8%3.5%-272.3K1.5M-6.0K1.2173.15N/AN/A576967826
2022-08-08$67.97$68.0018.8%5.5%13.1%22.4%20.4%3.8%4.1%-294.5K1.5M-5.7K1.2172.65N/AN/A576967826
2022-08-09$67.66$68.0018.5%5.5%13.2%20.8%0.0%4.4%3.7%-303.5K1.6M-5.9K0.0070.45N/AN/A0067827
2022-08-10$68.31$68.0018.6%5.3%13.5%21.4%17.4%4.3%4.2%-298.3K1.3M-5.2K0.0073.26N/AN/A2067827
2022-08-11$68.63$68.0018.7%5.4%13.3%21.7%0.0%4.0%3.4%-290.3K1.1M-4.7K0.0070.64N/AN/A0067827
2022-08-12$69.19$68.0017.2%4.9%13.5%15.5%18.4%3.9%5.0%-264.0K845.5K-4.2K0.0076.24N/AN/A1067827
2022-08-15$68.95$68.0017.2%4.9%13.5%15.4%0.0%3.8%4.8%-291.4K941.2K-4.1K0.0071.58N/AN/A5068827
2022-08-16$68.88$68.0018.3%5.3%12.3%20.2%16.7%3.7%3.8%-307.9K876.5K-4.1K0.0976.78N/AN/A75773827
2022-08-17$68.56$68.0018.0%5.2%12.3%19.0%0.0%3.7%3.5%-337.8K867.9K-4.8K0.0078.63N/AN/A50148833
2022-08-18$68.12$68.0017.5%5.0%12.2%16.9%0.0%3.8%2.0%-486.4K1.1M-4.6K0.0076.17N/AN/A00148833
2022-08-19$67.19$68.0018.1%5.2%12.4%19.1%0.0%3.0%2.2%-241.2K1.8M-4.8K0.0082.36N/AN/A00148833
2022-08-22$66.72$68.0019.3%5.5%12.5%24.2%19.3%4.0%1.6%-264.2K1.3M-4.8K0.5077.75N/AN/A21137721
2022-08-23$66.94$68.0018.7%5.4%12.4%21.9%0.0%3.9%0.8%-257.0K1.2M-4.6K0.0082.27N/AN/A1,0890137722
2022-08-24$67.02$68.0018.2%5.2%10.0%19.7%0.0%4.1%1.3%-82.3K-1.7M-24.5K0.0086.75N/AN/A001,167722
2022-08-25$68.47$68.0017.6%5.0%12.8%17.2%0.0%3.6%1.2%22.1K-2.8M-24.1K0.0078.63N/AN/A001,167722
2022-08-26$67.47$68.0019.5%5.6%13.4%25.1%0.0%2.9%0.7%-57.7K-2.1M-24.1K0.0069.17N/AN/A001,167722
2022-08-29$67.06$68.0020.4%5.8%13.4%28.9%0.0%2.9%-0.0%-85.8K-1.8M-23.8K0.0073.96N/AN/A021,167722
2022-08-30$66.38$68.0021.2%6.1%13.8%32.5%20.8%4.3%0.0%-143.4K-1.3M-23.3K0.0078.13N/AN/A011,167724
2022-08-31$67.10$68.0020.0%5.7%14.1%27.4%19.3%2.9%1.4%-106.9K-1.9M-23.3K0.0179.54N/AN/A1,191171,167725