AAXJ Options History — January 2024

In January 2024, AAXJ traded between $61.75 and $65.35. ATM implied volatility averaged 15.9%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 3.0% (HV 20d: 19.0%). Max pain ranged from $61.00 to $66.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.50.

Notable Days

  • 2024-01-22: Highest Volume — 13 contracts
  • 2024-01-16: Largest IV spike — 14.0% change
  • 2024-01-17: Highest IV Rank — 14.7%
  • 2024-01-17: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.83$61.75$65.35$65.35$63.20
Max Pain$64.05$61.00$66.00$64.00$63.00
ATM IV15.9%13.2%18.1%15.5%17.8%
Expected Move4.7%4.1%5.2%4.4%5.1%
HV 20d19.0%16.7%21.9%19.2%16.7%
HV 60d17.3%16.7%17.9%17.3%17.1%
IV Rank10.4%4.8%14.7%9.5%14.0%
IV Percentile27.9%3.6%53.2%17.9%52.4%
Term Structure-0.0%-1.2%2.7%1.5%-1.1%
VWIV24.4%14.0%61.9%14.0%61.9%
Skew 25d2.4%1.1%3.8%2.6%2.1%
Skew 10d3.8%-3.5%7.2%5.9%4.0%
Call IV 25d15.2%14.0%17.1%14.0%16.7%
Put IV 25d17.6%15.9%20.5%16.6%18.8%
Bid-Ask Spread %92.8983.77109.95109.95101.51
Gamma HHI0.510.470.560.560.48
Net GEX649.3K378.7K823.2K729.1K564.0K
Net DEX-3.3M-5.6M-1.5M-5.6M-2.2M
Net VEX-11.3K-15.5K-7.9K-15.5K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.005.500.001.00
Total Volume3.33301300
Total OI1,553.4291,4061,6491,6321,419

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$65.35$64.0015.5%4.4%19.2%9.5%0.0%2.6%1.5%729.1K-5.6M-15.5K0.00109.95N/AN/A001,62111
2024-01-03$65.23$64.0014.2%4.1%18.7%6.9%0.0%1.1%2.7%750.4K-5.4M-15.2K0.00104.69N/AN/A001,62111
2024-01-04$64.91$66.0014.4%4.7%18.7%7.3%0.0%2.4%0.6%752.4K-5.0M-15.0K0.0083.77N/AN/A001,62111
2024-01-05$64.81$66.0013.2%4.6%18.7%4.8%0.0%1.8%-1.2%796.8K-4.7M-14.7K0.0090.10N/AN/A001,62111
2024-01-08$64.85$66.0014.9%4.4%18.6%8.3%0.0%2.5%1.7%822.5K-4.7M-14.3K0.0087.81N/AN/A081,62111
2024-01-09$63.95$66.0014.8%4.7%19.2%8.1%0.0%1.7%0.1%710.2K-3.5M-13.1K0.0090.54N/AN/A101,62113
2024-01-10$63.84$66.0015.5%4.4%19.1%9.5%0.0%2.3%-0.5%700.7K-3.4M-12.7K0.0085.52N/AN/A001,62113
2024-01-11$64.23$66.0015.8%4.5%19.2%10.1%0.0%3.1%-0.1%765.4K-3.8M-13.2K0.0088.17N/AN/A041,62113
2024-01-12$64.56$66.0014.9%4.3%19.1%8.4%14.0%2.5%0.4%823.2K-4.1M-13.2K0.5089.54N/AN/A211,62117
2024-01-16$62.84$66.0017.1%4.9%20.3%12.6%16.9%2.3%-0.9%498.9K-2.3M-10.0K0.8087.96N/AN/A541,62318
2024-01-17$61.75$63.0018.1%5.2%21.0%14.7%0.0%3.4%-0.9%378.7K-1.5M-8.0K0.0087.63N/AN/A051,62819
2024-01-18$62.45$63.0017.5%5.0%21.6%13.6%0.0%3.8%-0.7%433.6K-1.9M-8.7K0.0084.71N/AN/A301,62821
2024-01-19$63.19$63.0016.4%4.7%21.9%11.3%17.0%2.5%-0.5%527.6K-2.4M-9.8K2.6790.16N/AN/A381,62821
2024-01-22$62.59$61.0016.8%4.8%18.6%12.1%20.4%2.5%-0.8%467.8K-1.9M-8.3K5.5092.68N/AN/A2111,39313
2024-01-23$63.11$61.0017.2%4.9%17.6%12.9%16.4%2.4%-0.9%535.3K-2.3M-9.2K1.0091.21N/AN/A111,39324
2024-01-24$64.10$63.0016.2%4.6%18.6%10.8%0.0%2.2%0.4%677.3K-3.2M-10.4K0.0093.35N/AN/A011,39325
2024-01-25$64.00$63.0016.4%4.7%18.3%11.3%0.0%2.2%0.1%676.4K-3.1M-10.1K0.0085.62N/AN/A001,39326
2024-01-26$64.00$63.0015.5%4.4%18.3%9.5%0.0%1.7%-0.3%709.2K-3.0M-10.0K0.0099.70N/AN/A001,39326
2024-01-29$64.15$63.0016.5%4.7%17.4%11.5%61.9%2.6%-0.3%723.1K-3.0M-9.5K0.00100.75N/AN/A0101,39326
2024-01-30$63.41$63.0016.4%4.7%17.7%11.3%0.0%1.7%0.2%591.8K-2.3M-8.3K0.00105.34N/AN/A001,39326
2024-01-31$63.20$63.0017.8%5.1%16.7%14.0%0.0%2.1%-1.1%564.0K-2.2M-7.9K0.00101.51N/AN/A001,39326