AAXJ Options History — December 2022

In December 2022, AAXJ traded between $64.41 and $66.93. ATM implied volatility averaged 25.5%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 3.1% (HV 20d: 22.4%). Max pain ranged from $62.00 to $68.87. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.92.

Notable Days

  • 2022-12-13: Highest Volume — 196 contracts
  • 2022-12-30: Largest IV spike — 75.5% change
  • 2022-12-13: Highest IV Rank — 62.9%
  • 2022-12-01: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.70$64.41$66.93$66.66$64.88
Max Pain$65.23$62.00$68.87$68.87$62.00
ATM IV25.5%17.2%34.8%31.8%30.1%
Expected Move6.5%4.9%9.1%9.1%8.6%
HV 20d22.4%17.3%30.6%30.6%17.9%
HV 60d27.0%26.1%28.1%28.1%26.5%
IV Rank35.4%10.7%62.9%54.3%49.2%
IV Percentile59.7%7.1%96.8%94.8%90.1%
Term Structure-1.4%-15.7%8.4%0.3%-14.4%
VWIV21.2%18.1%23.9%18.1%20.2%
Skew 25d3.8%-5.6%20.9%-5.6%3.5%
Skew 10d10.8%-1.6%36.7%25.8%1.2%
Call IV 25d24.6%16.0%57.6%57.6%25.7%
Put IV 25d28.3%17.7%53.0%52.0%29.2%
Bid-Ask Spread %112.0373.12138.84119.58138.84
Gamma HHI0.490.240.790.260.79
Net GEX130.7K-291.2K324.6K206.8K269.5K
Net DEX-4.6M-10.6M740.7K-8.2M-3.1M
Net VEX-18.4K-33.0K-11.2K-33.0K-12.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.0015.330.000.00
Total Volume11.095019600
Total OI2,316.0951,2393,6053,5921,250

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$66.66$68.8731.8%9.1%30.6%54.3%0.0%-5.6%0.3%206.8K-8.2M-33.0K0.00119.58N/AN/A002,733859
2022-12-02$66.93$68.8728.0%8.0%30.6%42.8%0.0%20.9%-15.7%280.7K-8.7M-27.2K0.00115.04N/AN/A1102,733859
2022-12-05$66.38$68.0032.4%7.8%28.3%56.0%0.0%15.8%-8.1%81.6K-7.4M-31.1K0.00134.47N/AN/A002,744859
2022-12-06$66.28$68.0031.8%8.4%28.4%54.2%0.0%3.2%-11.2%174.5K-7.6M-30.3K0.00130.22N/AN/A002,744859
2022-12-07$65.91$68.0031.8%6.7%28.6%54.2%0.0%5.7%0.4%324.6K-7.7M-25.6K0.00113.87N/AN/A102,744859
2022-12-08$66.73$68.0029.4%8.0%27.1%47.0%0.0%-5.4%1.4%-5.9K-7.8M-31.1K0.00125.89N/AN/A002,744859
2022-12-09$66.77$68.0032.1%6.6%23.4%55.1%0.0%1.6%0.8%-66.1K-10.6M-15.9K0.00122.76N/AN/A022,744859
2022-12-12$66.50$68.0032.6%5.3%21.4%56.5%0.0%-1.5%8.4%127.2K-9.7M-14.3K0.00121.58N/AN/A012,744861
2022-12-13$66.53$68.0034.8%4.9%21.4%62.9%18.1%2.9%5.7%-239.6K-1.0M-16.2K15.33116.60N/AN/A121841,266862
2022-12-14$66.38$68.0022.1%6.3%19.3%25.3%0.0%5.7%3.7%-291.2K-988.1K-16.7K0.00133.29N/AN/A001,269935
2022-12-15$64.94$68.0020.9%6.0%20.0%21.8%23.9%3.4%-1.3%-161.9K703.1K-15.0K0.0073.12N/AN/A041,269934
2022-12-16$65.15$62.0021.3%6.1%20.0%22.9%21.0%1.7%0.7%-18.4K740.7K-13.5K0.0076.23N/AN/A201,269803
2022-12-19$64.81$62.0020.5%5.9%19.9%20.6%22.8%1.4%-6.0%238.3K-3.4M-14.2K0.0096.31N/AN/A0101,2318
2022-12-20$64.63$62.0020.4%5.9%18.7%20.4%20.2%11.1%0.8%265.2K-3.8M-14.8K0.00104.22N/AN/A201,23117
2022-12-21$65.20$62.0019.6%5.6%18.9%17.9%0.0%1.5%-2.3%245.9K-2.7M-13.0K0.0098.19N/AN/A001,23117
2022-12-22$64.50$62.0022.2%6.4%19.3%25.6%0.0%6.8%-1.1%251.1K-2.4M-11.2K0.00114.36N/AN/A001,23117
2022-12-23$64.41$62.0017.4%5.0%19.2%11.5%0.0%1.4%2.1%272.6K-2.9M-13.3K0.00105.70N/AN/A001,23117
2022-12-27$65.81$62.0018.3%5.2%20.5%13.9%0.0%2.2%5.7%287.7K-3.1M-12.9K0.00100.38N/AN/A201,23117
2022-12-28$64.47$62.0020.3%5.8%20.2%19.9%0.0%3.1%1.4%260.8K-2.8M-12.2K0.00105.89N/AN/A101,23217
2022-12-29$65.73$62.0017.2%4.9%17.3%10.7%0.0%-0.0%0.4%240.4K-3.0M-12.9K0.00106.01N/AN/A101,23217
2022-12-30$64.88$62.0030.1%8.6%17.9%49.2%0.0%3.5%-14.4%269.5K-3.1M-12.9K0.00138.84N/AN/A001,23317