AAXJ Options History — July 2024

In July 2024, AAXJ traded between $70.57 and $75.34. ATM implied volatility averaged 11.1%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 0.3% (HV 20d: 11.4%). Max pain ranged from $72.00 to $75.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.40.

Notable Days

  • 2024-07-09: Highest Volume — 6 contracts
  • 2024-07-19: Largest IV spike — 27.0% change
  • 2024-07-29: Highest IV Rank — 21.3%
  • 2024-07-29: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.84$70.57$75.34$72.06$72.40
Max Pain$73.50$72.00$75.00$72.00$72.00
ATM IV11.1%8.3%13.6%12.1%13.1%
Expected Move3.1%2.4%3.9%3.5%3.7%
HV 20d11.4%7.1%16.6%12.6%16.6%
HV 60d13.3%12.3%14.1%13.9%13.4%
IV Rank9.7%0.0%21.3%11.0%19.3%
IV Percentile8.8%0.0%27.8%9.1%24.2%
Term Structure-0.5%-6.9%13.6%-1.3%-0.9%
VWIV11.5%8.3%14.1%8.3%14.1%
Skew 25d-0.9%-23.0%2.3%0.0%-2.1%
Skew 10d-0.4%-13.2%4.4%1.3%1.5%
Call IV 25d12.3%8.3%50.2%10.7%14.1%
Put IV 25d11.5%8.9%27.2%10.7%12.0%
Bid-Ask Spread %126.50119.66133.81126.43127.19
Gamma HHI0.310.210.470.380.26
Net GEX10.2K4.7K16.0K7.5K12.9K
Net DEX-325.0K-403.3K-263.5K-291.7K-316.2K
Net VEX-305-408-226-408-244
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.002.002.000.00
Total Volume0.8640603
Total OI62.31858696059

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-07-01$72.06$72.0012.1%3.5%12.6%11.0%0.0%0.0%-1.3%7.5K-291.7K-4080.00126.43N/AN/A00546
2024-07-02$72.53$72.009.7%2.8%11.7%0.9%0.0%2.3%0.2%4.7K-324.4K-2260.00131.66N/AN/A00546
2024-07-03$73.47$72.0011.4%3.3%11.3%8.1%0.0%-23.0%-1.9%8.2K-327.3K-3400.00133.81N/AN/A00556
2024-07-05$73.77$75.009.3%2.6%9.9%0.0%0.0%1.2%0.2%6.4K-326.8K-3640.00126.10N/AN/A00556
2024-07-08$73.69$75.0010.9%3.1%9.8%7.0%0.0%0.7%0.6%6.1K-334.7K-2890.00119.66N/AN/A00556
2024-07-09$74.02$75.0011.7%2.5%8.9%10.3%8.3%1.0%4.4%5.4K-347.5K-2502.00126.98N/AN/A24556
2024-07-10$74.47$75.0011.2%3.2%8.8%7.9%0.0%0.8%-2.6%5.2K-363.1K-2420.00125.73N/AN/A00576
2024-07-11$75.02$75.008.8%2.5%7.9%0.0%10.5%0.3%13.6%7.5K-361.0K-3050.00123.44N/AN/A60576
2024-07-12$75.34$74.0010.6%3.0%7.1%7.5%12.9%0.1%-2.9%9.2K-403.3K-2340.00123.03N/AN/A20626
2024-07-15$74.34$74.0010.8%3.1%9.1%8.2%0.0%0.0%-3.9%8.7K-374.0K-2970.00122.47N/AN/A00636
2024-07-16$74.68$74.008.3%2.4%9.1%0.0%0.0%0.9%0.0%11.0K-386.7K-2300.00130.31N/AN/A10636
2024-07-17$73.47$74.009.9%2.8%10.8%6.7%0.0%0.4%-1.8%6.9K-352.7K-2880.00131.69N/AN/A00636
2024-07-18$72.84$74.009.5%2.7%11.2%5.1%0.0%0.1%-0.3%9.1K-320.7K-3190.00124.81N/AN/A00636
2024-07-19$71.94$74.0012.1%3.5%12.0%15.4%0.0%-1.5%-5.5%11.8K-300.6K-3500.00125.27N/AN/A00635
2024-07-22$72.44$74.0010.1%2.9%12.2%7.2%0.0%-0.8%6.2%14.3K-316.1K-2950.00128.66N/AN/A00580
2024-07-23$71.78$74.0012.4%3.6%12.6%16.7%0.0%-4.3%-0.4%14.6K-307.9K-3030.00130.03N/AN/A00580
2024-07-24$70.82$74.0010.5%3.0%13.4%9.0%14.1%1.8%-0.7%13.8K-296.9K-2900.00126.77N/AN/A01580
2024-07-25$70.57$72.0013.1%3.7%13.5%19.2%0.0%1.3%-6.1%15.5K-263.5K-4040.00127.68N/AN/A00581
2024-07-26$71.15$72.0012.2%3.5%13.8%15.7%0.0%-0.5%0.1%14.6K-281.7K-3480.00120.42N/AN/A00581
2024-07-29$71.10$72.0013.6%3.9%13.8%21.3%0.0%-0.1%-6.9%14.8K-287.0K-3090.00125.52N/AN/A00581
2024-07-30$70.62$72.0012.4%3.6%14.0%16.7%0.0%2.0%-2.1%16.0K-266.9K-3680.00125.28N/AN/A00581
2024-07-31$72.40$72.0013.1%3.7%16.6%19.3%0.0%-2.1%-0.9%12.9K-316.2K-2440.00127.19N/AN/A30581