AAXJ Options History — March 2023

In March 2023, AAXJ traded between $63.91 and $67.98. ATM implied volatility averaged 22.7%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 4.2% (HV 20d: 18.5%). Max pain ranged from $60.00 to $71.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.56.

Notable Days

  • 2023-03-08: Highest Volume — 11 contracts
  • 2023-03-03: Largest IV drop — 52.9% change
  • 2023-03-13: Highest IV Rank — 66.8%
  • 2023-03-02: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.21$63.91$67.98$66.94$67.75
Max Pain$69.23$60.00$71.00$60.00$70.00
ATM IV22.7%13.8%39.9%27.3%17.5%
Expected Move6.3%3.8%9.6%7.8%5.0%
HV 20d18.5%17.0%20.3%19.3%17.0%
HV 60d18.8%17.0%19.5%18.5%17.0%
IV Rank23.1%0.6%66.8%34.9%9.9%
IV Percentile41.3%0.4%98.0%75.0%7.1%
Term Structure-0.9%-20.6%9.0%-0.5%0.7%
VWIV17.2%12.6%21.0%17.0%12.6%
Skew 25d5.3%-3.4%31.6%19.3%-2.9%
Skew 10d5.4%-6.2%24.4%-2.3%0.1%
Call IV 25d21.6%12.2%36.9%24.4%14.4%
Put IV 25d26.9%11.5%53.5%43.8%11.5%
Bid-Ask Spread %110.1292.67132.72132.72119.87
Gamma HHI0.400.150.910.880.15
Net GEX130.5K-70587.4K345.0K5.3K
Net DEX-988.6K-2.8M23.1K-2.5M-38.8K
Net VEX-1.3K-4.8K-375-4.2K-546
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.004.500.000.00
Total Volume1.43501110
Total OI765.304501,3151,30561

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-03-01$66.94$60.0027.3%7.8%19.3%34.9%0.0%19.3%-0.5%345.0K-2.5M-4.2K0.00132.72N/AN/A101,27431
2023-03-02$67.38$60.0033.4%9.6%17.9%50.2%0.0%31.6%-20.6%472.8K-2.8M-4.8K0.00120.30N/AN/A001,27431
2023-03-03$67.85$60.0015.7%4.5%18.1%5.4%0.0%2.3%1.7%574.5K-2.5M-4.2K0.00119.43N/AN/A001,27431
2023-03-06$67.53$0.0014.7%3.8%17.3%2.8%17.0%1.5%7.4%587.4K-2.5M-3.6K0.00107.92N/AN/A301,27431
2023-03-07$66.53$71.0021.5%4.7%17.3%20.0%18.4%3.7%9.0%330.5K-1.9M-2.5K0.00116.11N/AN/A101,27531
2023-03-08$66.50$71.0017.7%7.4%17.1%10.5%0.0%6.6%0.9%274.0K-1.6M-1.7K4.50122.58N/AN/A291,27631
2023-03-09$64.88$71.0018.5%6.7%18.8%12.6%0.0%-2.5%-4.7%39.4K-1.2M-6170.00129.05N/AN/A001,27636
2023-03-10$64.62$71.0026.5%6.6%18.4%32.8%0.0%2.3%0.8%82.2K-1.2M-8240.0093.75N/AN/A031,27636
2023-03-13$65.13$71.0039.9%7.1%18.7%66.8%0.0%-3.4%-1.3%203.7K-1.5M-1.4K0.0096.95N/AN/A001,27639
2023-03-14$64.97$71.0029.3%6.8%18.3%39.7%0.0%20.0%-3.0%22.1K-1.2M-5020.0097.73N/AN/A001,27639
2023-03-15$63.91$71.0025.1%7.2%18.9%29.2%0.0%10.7%-0.3%21.8K-1.2M-5290.00102.07N/AN/A001,27639
2023-03-16$65.00$71.0030.5%8.8%19.9%43.0%0.0%16.2%-9.4%10.3K-1.2M-4410.00126.86N/AN/A401,27639
2023-03-17$64.75$71.0022.5%6.5%19.8%22.6%0.0%4.3%-0.2%5.7K-1.2M-4100.00107.34N/AN/A001,27639
2023-03-20$64.85$71.0022.8%6.5%19.5%23.5%0.0%2.8%0.1%-7023.1K-3750.0092.67N/AN/A602921
2023-03-21$65.55$71.0022.8%6.5%19.8%23.4%0.0%-0.4%-1.7%1.9K-14.9K-5820.00111.39N/AN/A003521
2023-03-22$66.23$71.0021.3%6.1%20.0%19.7%0.0%1.8%0.4%2.4K-11.4K-5430.00101.97N/AN/A003521
2023-03-23$67.00$71.0022.3%6.4%20.3%22.0%21.0%1.2%-1.2%3.0K-21.7K-5360.0097.02N/AN/A203521
2023-03-24$66.75$70.0022.0%6.3%18.2%21.3%0.0%2.1%-0.3%3.3K-22.1K-5570.0098.84N/AN/A003721
2023-03-27$66.28$70.0021.6%6.2%18.3%20.3%0.0%0.7%-0.4%3.1K-10.4K-5030.0097.12N/AN/A003721
2023-03-28$67.10$70.0021.2%6.1%18.6%19.3%0.0%1.8%-0.1%3.3K-25.1K-5560.00101.04N/AN/A003721
2023-03-29$67.38$70.0013.8%4.0%17.0%0.6%0.0%1.8%1.5%3.8K-21.6K-4910.00119.14N/AN/A003721
2023-03-30$67.98$70.0014.2%4.1%17.2%1.6%12.6%0.5%-0.2%5.5K-39.3K-5350.00120.91N/AN/A203821
2023-03-31$67.75$70.0017.5%5.0%17.0%9.9%0.0%-2.9%0.7%5.3K-38.8K-5460.00119.87N/AN/A004021