AAXJ Options History — November 2023

In November 2023, AAXJ traded between $61.73 and $66.32. ATM implied volatility averaged 16.9%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 1.0% (HV 20d: 17.9%). Max pain ranged from $62.79 to $63.79. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.20.

Notable Days

  • 2023-11-13: Highest Volume — 646 contracts
  • 2023-11-06: Largest IV spike — 19.8% change
  • 2023-11-06: Highest IV Rank — 18.4%
  • 2023-11-01: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.86$61.73$66.32$61.73$65.37
Max Pain$63.32$62.79$63.79$63.00$63.79
ATM IV16.9%15.8%19.9%18.5%16.2%
Expected Move4.8%4.5%5.3%5.3%4.7%
HV 20d17.9%16.4%19.6%16.5%16.4%
HV 60d15.4%14.2%15.9%14.2%15.4%
IV Rank12.4%10.1%18.4%15.4%11.0%
IV Percentile26.2%15.5%54.0%39.3%21.4%
Term Structure0.7%-1.1%2.6%-0.3%-0.3%
VWIV16.3%15.5%17.6%15.9%16.9%
Skew 25d2.3%1.1%4.1%2.9%1.1%
Skew 10d4.4%1.9%7.3%6.7%3.4%
Call IV 25d16.0%15.2%17.7%17.7%16.2%
Put IV 25d18.3%17.2%20.6%20.6%17.2%
Bid-Ask Spread %79.7868.8394.8688.4494.86
Gamma HHI0.370.190.540.250.42
Net GEX183.9K18.6K356.2K18.6K350.5K
Net DEX-1.8M-3.5M-103.1K-103.1K-3.2M
Net VEX-7.3K-12.9K-983-983-12.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.001.000.000.00
Total Volume43.476064600
Total OI1,155.2387081,6187081,618

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$61.73$63.0018.5%5.3%16.5%15.4%0.0%2.9%-0.3%18.6K-103.1K-9830.0088.44N/AN/A006999
2023-11-02$62.80$62.7917.3%5.1%17.5%13.1%15.9%3.3%1.2%26.3K-138.5K-1.1K0.0070.69N/AN/A206999
2023-11-03$64.27$62.7916.6%5.0%18.5%11.8%15.8%4.1%1.3%49.3K-233.6K-1.5K0.0070.32N/AN/A1306999
2023-11-06$64.81$62.7919.9%5.2%18.5%18.4%0.0%2.9%0.6%72.8K-343.6K-1.9K0.0068.83N/AN/A007129
2023-11-07$64.62$62.7918.4%4.9%18.0%15.3%0.0%2.7%1.3%62.6K-299.0K-1.7K0.0072.22N/AN/A007129
2023-11-08$64.15$62.7917.4%5.0%18.0%13.4%0.0%2.7%1.6%51.1K-248.6K-1.4K0.0078.88N/AN/A007129
2023-11-09$63.50$62.7916.5%4.7%18.1%11.4%0.0%2.9%2.6%36.6K-184.5K-1.2K0.0079.42N/AN/A007129
2023-11-10$63.88$62.7916.4%4.7%18.1%11.3%0.0%2.6%2.2%38.5K-198.1K-1.2K0.0074.28N/AN/A007129
2023-11-13$64.12$62.7917.2%4.9%18.0%12.9%0.0%2.9%0.7%45.9K-273.8K-1.5K0.0080.97N/AN/A64607369
2023-11-14$65.59$62.7916.4%4.7%19.6%11.2%16.3%2.3%0.9%240.3K-2.8M-11.4K0.8083.10N/AN/A541,3759
2023-11-15$66.18$63.7916.7%4.8%18.7%11.9%0.0%1.6%1.3%262.4K-3.1M-11.8K0.0073.63N/AN/A001,3809
2023-11-16$65.43$63.7915.8%4.5%19.1%10.1%0.0%1.3%1.4%241.2K-2.7M-11.2K0.0079.29N/AN/A001,3809
2023-11-17$65.44$63.7916.0%4.6%18.5%10.6%15.5%1.7%0.8%238.9K-2.7M-11.1K0.0083.35N/AN/A101,3809
2023-11-20$66.32$63.7916.1%4.6%18.8%10.7%17.6%2.0%0.5%258.8K-3.1M-10.9K1.0073.81N/AN/A111,3784
2023-11-21$65.81$63.7916.9%4.8%18.7%12.3%0.0%2.0%-0.1%236.8K-2.8M-10.8K0.0079.03N/AN/A001,3795
2023-11-22$65.69$63.7917.0%4.9%17.4%12.4%0.0%2.4%-0.4%240.2K-2.7M-10.7K0.0086.36N/AN/A23301,3795
2023-11-24$65.69$63.7916.7%4.8%16.9%12.0%0.0%2.1%0.2%343.3K-3.4M-12.9K0.0075.49N/AN/A001,6125
2023-11-27$65.41$63.7917.2%4.9%17.2%12.9%16.9%1.6%0.1%340.9K-3.3M-12.6K0.0090.62N/AN/A601,6125
2023-11-28$65.85$63.7916.1%4.6%16.8%10.8%0.0%1.6%-1.1%356.2K-3.5M-12.5K0.0085.94N/AN/A001,6115
2023-11-29$65.38$63.7916.2%4.6%16.4%10.9%0.0%1.5%-0.6%350.1K-3.2M-12.4K0.0085.77N/AN/A101,6125
2023-11-30$65.37$63.7916.2%4.7%16.4%11.0%0.0%1.1%-0.3%350.5K-3.2M-12.3K0.0094.86N/AN/A001,6135