AAXJ Options History — November 2022

In November 2022, AAXJ traded between $56.51 and $66.72. ATM implied volatility averaged 30.8%, placing in the 54.2% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 0.1% (HV 20d: 30.8%). Max pain ranged from $57.00 to $79.87. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.12.

Notable Days

  • 2022-11-22: Highest Volume — 2,790 contracts
  • 2022-11-14: Largest IV spike — 95.8% change
  • 2022-11-07: Highest IV Rank — 100.0%
  • 2022-11-08: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.90$56.51$66.72$56.70$66.72
Max Pain$70.31$57.00$79.87$57.00$68.87
ATM IV30.8%16.5%47.2%25.6%27.7%
Expected Move8.6%4.7%11.2%7.3%7.9%
HV 20d30.8%26.7%34.4%26.9%30.7%
HV 60d25.8%22.0%28.1%22.1%28.1%
IV Rank54.2%8.6%100.0%51.3%41.9%
IV Percentile84.5%7.9%100.0%77.4%84.5%
Term Structure-8.6%-23.5%4.6%-0.3%-5.4%
VWIV28.2%19.1%40.2%25.8%26.2%
Skew 25d4.5%-10.1%23.4%3.3%23.4%
Skew 10d9.5%-24.2%28.7%-0.5%28.7%
Call IV 25d29.1%17.6%45.9%24.1%25.5%
Put IV 25d33.5%24.8%53.9%27.5%48.9%
Bid-Ask Spread %103.1272.71116.3972.71106.60
Gamma HHI0.430.250.530.500.25
Net GEX349.4K119.2K472.3K299.5K119.2K
Net DEX-5.8M-10.7M-3.2M-3.5M-7.7M
Net VEX-31.1K-35.7K-23.7K-25.4K-31.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.120.000.430.000.00
Total Volume1,796.85702,7901,9575
Total OI3,177.7142,9093,6372,9213,587

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$56.70$57.0025.6%7.3%26.9%51.3%25.8%3.3%-0.3%299.5K-3.5M-25.4K0.0072.71N/AN/A1,95072,813108
2022-11-02$56.51$57.0026.0%7.5%26.7%53.1%25.8%3.4%-0.2%297.3K-3.4M-25.6K0.0074.81N/AN/A1,95072,813108
2022-11-03$56.77$68.8724.6%7.5%26.8%46.9%26.2%5.4%-2.4%303.5K-3.2M-23.7K0.0383.00N/AN/A1,950502,813108
2022-11-04$59.23$79.8725.3%7.5%30.2%50.1%21.6%4.9%-2.3%388.5K-5.0M-28.9K0.0384.15N/AN/A1,952512,813150
2022-11-07$59.58$79.8747.2%10.4%29.7%100.0%33.1%-10.1%-10.2%379.6K-6.0M-31.7K0.03104.42N/AN/A1,952512,813151
2022-11-08$60.15$72.8744.6%11.2%29.1%92.3%33.5%16.1%-15.7%408.7K-6.7M-35.6K0.03112.27N/AN/A1,952512,814151
2022-11-09$58.91$72.8735.6%10.2%30.2%65.5%40.2%13.5%-15.4%389.6K-5.9M-31.7K0.03111.92N/AN/A1,952512,814151
2022-11-10$61.50$72.8727.5%7.9%33.7%41.4%30.7%2.3%-6.4%455.9K-6.6M-29.6K0.03116.24N/AN/A1,952512,814151
2022-11-11$63.39$72.8716.5%4.7%34.3%8.6%23.6%2.4%4.6%454.1K-8.3M-29.9K0.03102.79N/AN/A1,953512,814151
2022-11-14$63.40$72.8732.3%9.3%33.6%55.6%30.4%4.1%-14.0%395.8K-8.7M-35.7K0.03115.95N/AN/A1,953512,758151
2022-11-15$65.13$72.8725.4%7.3%34.4%35.0%19.1%6.4%-2.6%446.3K-10.7M-33.0K0.03106.85N/AN/A1,953512,758151
2022-11-16$64.05$72.8722.9%6.6%33.8%27.7%22.5%11.1%-0.8%459.0K-9.2M-34.5K0.03112.03N/AN/A1,953512,758151
2022-11-17$64.36$72.8728.4%8.1%33.8%44.1%32.3%-2.9%-10.9%472.3K-9.1M-32.1K0.38109.39N/AN/A1,9737572,758151
2022-11-18$63.85$68.8732.3%9.2%34.1%55.5%22.9%0.2%-6.8%328.1K-5.5M-35.6K0.38101.96N/AN/A1,9737572,779858
2022-11-21$62.75$68.8736.5%10.5%30.3%68.2%38.3%-5.3%-17.5%276.0K-3.9M-34.0K0.39104.69N/AN/A1,9687772,722757
2022-11-22$62.92$68.8735.5%10.2%30.3%65.3%27.3%-1.6%-17.1%295.6K-3.6M-31.8K0.43107.74N/AN/A1,9518392,722778
2022-11-23$63.40$68.8733.4%9.6%29.7%58.9%26.2%0.1%-13.5%268.7K-3.4M-29.4K0.43105.85N/AN/A1,9498392,726859
2022-11-25$63.16$68.8728.4%8.2%29.3%44.2%0.0%5.1%-2.7%266.9K-3.6M-31.6K0.00116.39N/AN/A002,727859
2022-11-28$62.91$68.8736.2%10.4%29.0%67.3%0.0%10.7%-23.5%296.4K-3.5M-33.0K0.00110.69N/AN/A002,727859
2022-11-29$64.47$68.8735.6%10.2%29.5%65.6%0.0%1.7%-17.9%336.3K-5.2M-28.5K0.00105.10N/AN/A102,727859
2022-11-30$66.72$68.8727.7%7.9%30.7%41.9%0.0%23.4%-5.4%119.2K-7.7M-31.7K0.00106.60N/AN/A502,728859