AAXJ Options History — August 2023

In August 2023, AAXJ traded between $63.98 and $69.69. ATM implied volatility averaged 18.9%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.7% (HV 20d: 18.2%). Max pain ranged from $49.79 to $68.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 2.38.

Notable Days

  • 2023-08-14: Highest Volume — 596 contracts
  • 2023-08-04: Largest IV spike — 72.2% change
  • 2023-08-04: Highest IV Rank — 38.8%
  • 2023-08-04: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.17$63.98$69.69$69.69$65.75
Max Pain$60.50$49.79$68.00$68.00$49.79
ATM IV18.9%15.1%30.1%18.1%16.6%
Expected Move5.4%3.9%7.6%5.2%4.8%
HV 20d18.2%13.8%21.6%19.5%13.8%
HV 60d17.9%17.1%18.6%17.8%17.1%
IV Rank16.3%8.7%38.8%14.8%11.7%
IV Percentile32.0%9.1%82.9%27.0%16.7%
Term Structure0.6%-5.7%8.8%0.6%-0.2%
VWIV19.1%18.9%19.3%19.3%18.9%
Skew 25d2.9%-13.1%13.5%1.4%2.4%
Skew 10d3.7%-5.4%16.5%-4.7%0.8%
Call IV 25d17.1%10.5%32.0%17.9%16.2%
Put IV 25d20.0%13.1%25.7%19.3%18.5%
Bid-Ask Spread %97.0771.44120.8681.6198.31
Gamma HHI0.630.230.960.230.87
Net GEX58.5K1.7K140.5K3.5K107.6K
Net DEX-357.6K-753.7K-8.1K-35.3K-702.3K
Net VEX-3.1K-6.3K-98-138-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.380.0013.000.000.25
Total Volume28.522059605
Total OI361.3041863518635

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-08-01$69.69$68.0018.1%5.2%19.5%14.8%0.0%1.4%0.6%3.5K-35.3K-1380.0081.61N/AN/A00117
2023-08-02$67.95$68.0018.9%5.4%21.6%16.4%0.0%8.6%1.8%3.3K-30.3K-1360.00120.86N/AN/A00117
2023-08-03$68.45$64.7917.5%3.9%20.1%13.5%0.0%1.6%5.5%3.3K-25.9K-1260.00119.42N/AN/A20117
2023-08-04$68.19$64.7930.1%7.6%19.9%38.8%0.0%-13.1%-5.7%3.6K-26.3K-1360.00117.50N/AN/A00117
2023-08-07$68.10$64.7916.7%5.5%19.9%11.9%0.0%2.3%-0.3%3.8K-24.9K-1280.00119.93N/AN/A00117
2023-08-08$67.19$64.7916.2%6.0%20.2%10.9%0.0%3.3%-2.5%3.2K-13.9K-1120.00107.14N/AN/A00117
2023-08-09$67.50$64.7915.4%4.4%18.7%9.3%0.0%3.4%6.1%3.4K-20.2K-1170.00112.84N/AN/A00117
2023-08-10$67.44$64.7915.1%4.3%17.9%8.7%0.0%6.4%8.8%3.5K-19.9K-1090.00116.16N/AN/A00117
2023-08-11$66.32$64.7919.6%5.6%18.7%17.8%0.0%1.9%-0.2%2.3K-10.5K-1030.0071.86N/AN/A00117
2023-08-14$66.03$64.7920.6%5.9%18.7%19.7%0.0%2.4%-0.7%1.7K-8.1K-980.0072.11N/AN/A5960117
2023-08-15$65.10$64.7920.0%5.7%19.0%18.6%0.0%1.8%-0.1%100.5K-744.1K-6.3K0.0072.64N/AN/A006077
2023-08-16$64.52$64.7919.3%5.5%19.2%17.1%0.0%2.1%0.3%91.2K-657.3K-5.6K0.0073.12N/AN/A006077
2023-08-17$64.69$64.7919.2%5.5%19.1%17.0%19.3%1.7%0.1%95.6K-668.3K-5.7K1.0071.44N/AN/A226077
2023-08-18$64.15$64.7920.8%6.0%19.2%20.1%0.0%2.1%-0.4%87.0K-558.5K-5.1K0.0075.41N/AN/A006099
2023-08-21$64.19$64.7920.3%5.8%18.4%19.2%0.0%3.9%-0.5%88.7K-579.9K-5.1K0.0078.14N/AN/A006059
2023-08-22$63.98$64.7919.8%5.7%17.7%18.1%18.9%2.0%-0.8%82.4K-524.9K-4.9K13.0080.48N/AN/A2266079
2023-08-23$64.94$49.7920.5%5.9%18.7%19.6%0.0%5.4%-2.2%78.3K-404.4K-4.5K0.0097.53N/AN/A0060529
2023-08-24$64.77$49.7918.4%5.3%18.4%15.3%0.0%-1.7%-0.4%140.5K-670.7K-6.0K0.00114.22N/AN/A02060529
2023-08-25$64.81$49.7918.8%5.4%14.7%16.1%0.0%6.3%-0.9%94.1K-518.4K-4.8K0.00116.78N/AN/A0060529
2023-08-28$65.47$49.7919.0%5.4%15.4%16.5%0.0%2.1%-0.4%101.4K-555.4K-5.0K0.0094.33N/AN/A0060529
2023-08-29$66.47$49.7915.5%4.4%16.4%9.4%0.0%7.6%5.8%131.2K-753.7K-5.8K0.00107.72N/AN/A1060529
2023-08-30$66.13$49.7918.4%5.3%14.1%15.4%0.0%13.5%-1.1%116.1K-672.6K-5.5K0.00113.05N/AN/A0060629
2023-08-31$65.75$49.7916.6%4.8%13.8%11.7%0.0%2.4%-0.2%107.6K-702.3K-6.0K0.2598.31N/AN/A4160629