AAXJ Options History — September 2024

In September 2024, AAXJ traded between $70.26 and $79.73. ATM implied volatility averaged 12.4%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 5.2% (HV 20d: 17.6%). Max pain ranged from $67.00 to $71.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.00.

Notable Days

2024-09-13: Highest Volume — 82 contracts
2024-09-30: Largest IV spike — 29.8% change
2024-09-30: Highest IV Rank — 33.8%
2024-09-30: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$73.68	$70.26	$79.73	$71.44	$78.45
Max Pain	$70.60	$67.00	$71.00	$67.00	$71.00
ATM IV	12.4%	9.9%	16.7%	15.1%	16.7%
Expected Move	3.5%	2.8%	4.8%	4.3%	4.8%
HV 20d	17.6%	14.6%	25.3%	16.3%	25.3%
HV 60d	17.3%	16.1%	20.7%	16.3%	20.7%
IV Rank	16.5%	6.4%	33.8%	27.3%	33.8%
IV Percentile	25.1%	3.6%	75.0%	48.8%	75.0%
Term Structure	3.7%	-1.2%	7.8%	-1.1%	4.8%
VWIV	13.7%	9.1%	19.1%	9.1%	19.1%
Skew 25d	1.1%	-1.6%	5.8%	-0.1%	-0.4%
Skew 10d	1.8%	-1.5%	8.7%	1.3%	1.4%
Call IV 25d	11.3%	9.1%	14.9%	12.3%	14.1%
Put IV 25d	12.4%	10.6%	16.9%	12.1%	13.7%
Bid-Ask Spread %	123.23	117.08	134.20	119.04	118.55
Gamma HHI	0.42	0.23	0.70	0.36	0.38
Net GEX	14.1K	6.6K	29.1K	15.2K	15.0K
Net DEX	-378.2K	-625.1K	-249.4K	-314.7K	-328.7K
Net VEX	-445	-864	-75	-171	-707
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.00	5.00	0.00	5.00
Total Volume	7.25	0	82	0	6
Total OI	70.65	48	106	58	89

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2024-09-03	$71.44	$67.00	15.1%	4.3%	16.3%	27.3%	0.0%	-0.1%	-1.1%	15.2K	-314.7K	-171	0.00	119.04	N/A	N/A	0	0	57	1
2024-09-04	$71.44	$67.00	12.8%	3.7%	16.2%	18.3%	0.0%	1.4%	-1.2%	15.8K	-308.9K	-181	0.00	117.08	N/A	N/A	0	0	57	1
2024-09-05	$71.55	$71.00	12.2%	4.0%	16.2%	15.7%	0.0%	1.2%	0.4%	11.5K	-329.3K	-98	0.00	117.77	N/A	N/A	0	0	57	1
2024-09-06	$70.26	$71.00	13.3%	3.2%	16.2%	20.3%	0.0%	1.9%	7.8%	16.8K	-297.9K	-121	0.00	123.60	N/A	N/A	0	0	57	1
2024-09-09	$71.00	$71.00	14.4%	3.2%	16.6%	24.8%	0.0%	2.0%	6.6%	12.2K	-318.5K	-84	0.00	123.59	N/A	N/A	0	0	57	1
2024-09-10	$70.78	$71.00	13.8%	3.3%	16.5%	22.3%	0.0%	5.8%	6.5%	15.3K	-308.0K	-104	0.00	123.60	N/A	N/A	0	3	57	1
2024-09-11	$71.28	$71.00	14.1%	4.0%	16.2%	23.4%	0.0%	1.4%	0.9%	9.5K	-318.2K	-91	0.00	124.66	N/A	N/A	0	0	57	4
2024-09-12	$71.94	$71.00	10.3%	3.0%	16.3%	8.2%	9.1%	2.1%	7.4%	8.2K	-333.1K	-78	0.00	123.92	N/A	N/A	2	0	57	4
2024-09-13	$72.18	$71.00	10.1%	2.9%	15.8%	7.5%	0.0%	1.1%	7.3%	8.8K	-345.5K	-75	0.00	128.59	N/A	N/A	82	0	59	4
2024-09-16	$72.41	$71.00	10.4%	3.0%	15.3%	8.5%	10.5%	1.7%	7.7%	18.6K	-532.9K	-864	0.00	123.13	N/A	N/A	1	0	100	4
2024-09-17	$72.41	$71.00	11.3%	3.2%	14.8%	12.2%	0.0%	0.4%	5.4%	20.1K	-548.1K	-837	0.00	124.65	N/A	N/A	0	0	101	4
2024-09-18	$72.35	$71.00	12.7%	3.6%	14.6%	17.7%	14.9%	-1.6%	2.6%	19.4K	-540.9K	-848	0.00	134.20	N/A	N/A	2	0	101	4
2024-09-19	$73.97	$71.00	10.2%	2.9%	16.6%	7.6%	0.0%	0.6%	4.4%	21.8K	-607.1K	-790	0.00	128.02	N/A	N/A	0	0	102	4
2024-09-20	$74.06	$71.00	12.8%	3.7%	16.0%	18.2%	0.0%	1.0%	1.4%	29.1K	-625.1K	-713	0.00	119.23	N/A	N/A	2	0	102	4
2024-09-23	$74.72	$71.00	9.9%	2.8%	15.2%	6.4%	13.6%	1.5%	0.0%	11.4K	-249.4K	-746	4.00	124.61	N/A	N/A	1	4	47	1
2024-09-24	$77.48	$71.00	10.6%	3.0%	19.3%	9.2%	14.5%	0.9%	1.2%	9.4K	-309.8K	-595	1.00	121.60	N/A	N/A	1	1	48	5
2024-09-25	$76.44	$71.00	10.6%	3.0%	20.2%	9.5%	0.0%	0.5%	6.7%	9.5K	-278.2K	-719	0.00	122.72	N/A	N/A	0	0	48	6
2024-09-26	$79.69	$71.00	13.4%	3.8%	24.2%	20.5%	0.0%	-0.6%	-0.3%	6.6K	-332.7K	-540	0.00	125.20	N/A	N/A	2	0	48	6
2024-09-27	$79.73	$71.00	12.9%	3.7%	24.3%	18.5%	14.0%	0.4%	5.4%	7.4K	-336.4K	-535	0.00	120.81	N/A	N/A	38	0	50	6
2024-09-30	$78.45	$71.00	16.7%	4.8%	25.3%	33.8%	19.1%	-0.4%	4.8%	15.0K	-328.7K	-707	5.00	118.55	N/A	N/A	1	5	83	6