AAXJ Options History — October 2023

In October 2023, AAXJ traded between $61.16 and $64.69. ATM implied volatility averaged 19.9%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 5.4% (HV 20d: 14.4%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.46.

Notable Days

  • 2023-10-09: Highest Volume — 122 contracts
  • 2023-10-03: Largest IV drop — 44.1% change
  • 2023-10-02: Highest IV Rank — 45.1%
  • 2023-10-02: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.81$61.16$64.69$63.25$61.39
Max Pain$62.85$60.00$65.00$65.00$63.00
ATM IV19.9%16.6%33.3%33.3%20.4%
Expected Move5.7%5.0%9.5%9.5%5.8%
HV 20d14.4%12.2%16.4%12.2%16.3%
HV 60d15.1%13.9%15.9%15.8%14.4%
IV Rank18.3%11.7%45.1%45.1%19.3%
IV Percentile46.1%21.4%92.1%92.1%56.3%
Term Structure-0.2%-2.3%1.8%-1.7%0.6%
VWIV19.9%16.7%24.5%19.8%19.2%
Skew 25d4.3%2.0%24.9%24.9%2.5%
Skew 10d7.3%0.3%27.9%27.9%0.7%
Call IV 25d17.6%14.1%21.7%21.7%19.2%
Put IV 25d21.9%18.1%46.6%46.6%21.7%
Bid-Ask Spread %82.4367.55129.33129.3383.11
Gamma HHI0.360.250.540.540.25
Net GEX45.5K-2.4K89.7K78.1K18.6K
Net DEX-266.6K-670.7K-78.3K-670.7K-99.9K
Net VEX-2.3K-5.2K-993-5.2K-993
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.002.001.670.00
Total Volume6.682012200
Total OI720.364707736713708

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$63.25$65.0033.3%9.5%12.2%45.1%0.0%24.9%-1.7%78.1K-670.7K-5.2K0.00129.33N/AN/A0068726
2023-10-03$62.47$65.0018.6%5.3%12.7%15.7%0.0%4.0%-0.2%6.8K-142.7K-1.4K0.00125.93N/AN/A0068726
2023-10-04$62.39$65.0018.1%5.2%12.6%14.7%0.0%2.7%1.8%43.4K-256.3K-2.7K0.0089.93N/AN/A0068726
2023-10-05$62.80$0.0016.6%5.6%12.4%11.7%0.0%4.2%-0.7%55.6K-348.5K-3.3K0.0067.55N/AN/A0068726
2023-10-06$63.83$0.0016.9%5.0%13.9%12.3%19.8%2.5%1.6%64.1K-378.2K-3.4K1.6772.91N/AN/A3568726
2023-10-09$63.45$60.0019.1%5.5%13.4%16.8%0.0%4.0%-1.5%54.8K-331.3K-2.9K0.0072.35N/AN/A122069029
2023-10-10$64.32$60.0018.7%5.4%14.5%16.0%0.0%2.5%-1.3%85.0K-464.4K-3.6K0.0076.70N/AN/A0470329
2023-10-11$64.69$60.0018.1%5.2%14.7%14.6%19.4%3.5%0.2%89.7K-465.3K-3.2K0.0071.75N/AN/A0470329
2023-10-12$64.07$63.0018.6%5.3%14.7%15.7%0.0%2.0%0.1%67.3K-345.2K-2.9K0.0075.39N/AN/A0070333
2023-10-13$63.72$63.0019.6%5.6%14.7%17.8%0.0%4.1%-1.3%70.7K-380.3K-3.1K0.0074.27N/AN/A1070333
2023-10-16$64.09$63.0018.3%5.2%14.9%15.1%16.7%3.8%0.4%68.5K-354.5K-2.8K2.0074.41N/AN/A1270233
2023-10-17$63.80$63.0018.0%5.2%14.9%14.6%0.0%2.8%0.6%61.7K-317.3K-2.5K0.0074.73N/AN/A0070331
2023-10-18$62.80$63.0018.8%5.4%15.7%16.1%17.2%3.9%-2.3%31.0K-176.7K-1.7K0.0079.85N/AN/A1070331
2023-10-19$62.41$63.0019.9%5.7%14.6%18.3%0.0%3.5%-1.2%29.5K-172.0K-1.8K0.0083.29N/AN/A0070431
2023-10-20$61.72$63.0019.8%5.7%14.0%18.1%22.3%2.8%-0.6%-2.4K-78.3K-1.4K0.0084.77N/AN/A1070431
2023-10-23$61.75$63.0019.8%5.7%14.0%18.1%0.0%4.2%-0.1%28.2K-142.2K-1.3K0.0074.84N/AN/A006998
2023-10-24$62.69$63.0024.8%7.1%14.4%28.1%20.1%4.0%-0.3%39.6K-202.0K-1.6K0.0079.10N/AN/A106998
2023-10-25$61.67$63.0019.8%5.7%15.4%18.1%24.5%3.6%0.3%30.0K-148.6K-1.3K0.0078.71N/AN/A017008
2023-10-26$61.16$63.0020.4%5.9%15.5%19.4%19.2%3.7%0.6%23.2K-112.6K-1.1K0.0081.20N/AN/A107009
2023-10-27$61.25$63.0020.0%5.7%15.6%18.5%0.0%2.7%0.6%22.9K-115.2K-1.1K0.0080.56N/AN/A006999
2023-10-30$62.08$63.0019.8%5.7%16.4%18.1%0.0%3.3%0.5%34.0K-164.2K-1.4K0.0082.78N/AN/A006999
2023-10-31$61.39$63.0020.4%5.8%16.3%19.3%0.0%2.5%0.6%18.6K-99.9K-9930.0083.11N/AN/A006999