AAXJ Options History — September 2022

In September 2022, AAXJ traded between $58.67 and $66.88. ATM implied volatility averaged 23.7%, placing in the 43.0% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 5.3% (HV 20d: 18.4%). Max pain ranged from $67.00 to $68.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2022-09-06: Highest Volume — 1,201 contracts
  • 2022-09-13: Largest IV spike — 29.1% change
  • 2022-09-29: Highest IV Rank — 67.4%
  • 2022-09-29: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.35$58.67$66.88$66.31$58.67
Max Pain$67.10$67.00$68.00$68.00$67.00
ATM IV23.7%17.8%29.4%21.8%27.0%
Expected Move6.7%5.6%8.4%6.2%7.7%
HV 20d18.4%14.4%20.4%14.4%19.8%
HV 60d17.5%16.1%19.6%19.6%17.3%
IV Rank43.0%17.9%67.4%34.9%57.1%
IV Percentile72.4%25.0%96.8%63.1%90.9%
Term Structure0.4%-1.9%3.1%0.7%-0.6%
VWIV24.2%20.3%32.3%21.1%30.1%
Skew 25d4.7%2.8%6.6%3.7%3.7%
Skew 10d11.7%5.8%20.9%7.1%12.1%
Call IV 25d21.4%17.5%26.9%20.6%25.3%
Put IV 25d26.1%21.4%33.4%24.3%29.1%
Bid-Ask Spread %63.8136.9589.4483.7281.20
Gamma HHI0.780.500.960.510.95
Net GEX-177.9K-1.2M158.1K-163.3K86.4K
Net DEX-654.1K-2.4M2.6M-1.2M-788.2K
Net VEX-15.9K-23.0K-7.7K-23.0K-9.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.004.330.010.56
Total Volume174.09501,201025
Total OI1,499.6191,0531,9821,8921,056

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$66.31$68.0021.8%6.2%14.4%34.9%0.0%3.7%0.7%-163.3K-1.2M-23.0K0.0083.72N/AN/A001,167725
2022-09-02$65.51$68.0020.6%5.9%14.9%29.9%0.0%3.1%1.0%-244.3K-576.1K-22.1K0.0087.83N/AN/A001,167725
2022-09-06$64.87$67.0022.7%6.3%15.2%39.0%21.1%4.8%1.3%-316.8K110.5K-20.4K0.0136.95N/AN/A1,184171,167725
2022-09-07$65.44$67.0020.3%6.2%15.6%28.5%20.3%5.1%1.4%-352.0K-493.3K-20.9K0.0139.58N/AN/A1,184171,159727
2022-09-08$64.94$67.0020.8%5.9%15.2%30.9%0.0%4.5%2.7%-433.2K96.0K-19.8K0.0044.83N/AN/A101,159725
2022-09-09$66.05$67.0017.8%5.6%16.5%17.9%0.0%4.4%3.1%-375.5K-1.3M-21.0K0.0053.60N/AN/A001,159725
2022-09-12$66.88$67.0020.9%5.6%16.9%31.2%0.0%3.9%2.3%-140.4K-2.4M-19.6K0.0047.17N/AN/A001,159725
2022-09-13$64.82$67.0027.0%6.4%19.9%57.1%20.8%4.1%2.1%-585.1K-40.1K-19.0K4.3369.34N/AN/A964161,159725
2022-09-14$64.95$67.0023.0%6.6%20.0%40.1%0.0%4.7%0.7%-836.4K-48.6K-18.6K0.0054.36N/AN/A04001,159823
2022-09-15$64.46$67.0023.5%6.7%20.1%42.2%22.1%4.8%-0.1%-1.2M1.2M-18.0K0.0047.48N/AN/A01021,159823
2022-09-16$63.94$67.0022.6%6.5%20.1%38.4%20.9%4.8%-0.0%-220.1K2.6M-15.7K0.1959.69N/AN/A96181,159725
2022-09-19$64.12$67.0023.0%6.6%19.8%40.2%0.0%5.4%0.0%158.1K-1.9M-15.5K0.0056.31N/AN/A001,0468
2022-09-20$63.82$67.0022.5%6.4%19.8%38.0%0.0%4.4%0.5%153.6K-1.8M-15.4K0.0063.15N/AN/A101,0468
2022-09-21$62.67$67.0023.5%6.7%20.4%42.2%0.0%2.8%0.1%149.4K-1.6M-13.9K0.0089.44N/AN/A001,0458
2022-09-22$62.25$67.0023.7%6.8%20.4%43.2%25.8%4.7%-0.3%132.4K-1.3M-12.8K0.0062.67N/AN/A021,0458
2022-09-23$60.74$67.0024.3%7.0%19.4%45.6%0.0%4.7%-0.1%108.8K-1.0M-11.4K0.0076.73N/AN/A001,04510
2022-09-26$60.39$67.0027.2%7.8%19.1%58.1%23.1%5.2%-1.6%106.2K-954.1K-10.4K0.5069.58N/AN/A1681,04510
2022-09-27$60.05$67.0028.6%8.2%19.1%64.1%24.5%6.3%-1.9%99.0K-835.9K-9.1K0.5064.56N/AN/A1681,04510
2022-09-28$60.44$67.0026.9%7.7%19.5%56.9%25.1%6.6%-1.2%104.4K-868.5K-10.2K0.5070.63N/AN/A1681,04510
2022-09-29$58.93$67.0029.4%8.4%19.9%67.4%32.3%6.5%-1.6%80.4K-589.5K-7.7K0.5681.19N/AN/A1691,04511
2022-09-30$58.67$67.0027.0%7.7%19.8%57.1%30.1%3.7%-0.6%86.4K-788.2K-9.2K0.5681.20N/AN/A1691,04511