AAXJ Options History — October 2024

In October 2024, AAXJ traded between $75.91 and $82.03. ATM implied volatility averaged 16.6%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 9.8% (HV 20d: 26.4%). Max pain ranged from $70.00 to $78.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.90.

Notable Days

  • 2024-10-16: Highest Volume — 62 contracts
  • 2024-10-16: Largest IV spike — 66.6% change
  • 2024-10-28: Highest IV Rank — 72.5%
  • 2024-10-28: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.46$75.91$82.03$79.25$75.91
Max Pain$73.35$70.00$78.00$78.00$75.00
ATM IV16.6%12.2%23.7%14.0%17.9%
Expected Move4.8%3.5%6.8%4.0%5.1%
HV 20d26.4%20.1%31.1%23.7%20.1%
HV 60d22.3%20.8%23.2%20.8%21.2%
IV Rank38.9%18.7%72.5%23.1%45.3%
IV Percentile64.3%24.6%97.6%41.7%87.7%
Term Structure2.6%-8.9%9.1%5.5%3.5%
VWIV17.5%13.4%22.6%14.0%16.8%
Skew 25d1.0%-6.2%10.2%0.4%1.5%
Skew 10d-4.2%-47.2%5.1%1.6%-5.1%
Call IV 25d15.6%12.7%22.1%13.9%17.9%
Put IV 25d16.6%13.3%25.3%14.3%19.4%
Bid-Ask Spread %114.5699.78134.92117.07114.23
Gamma HHI0.320.160.460.300.31
Net GEX6.9K-16.1K36.2K13.8K-11.0K
Net DEX-177.2K-455.1K150.5K-332.6K150.5K
Net VEX-1.2K-1.8K-668-724-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.004.000.003.00
Total Volume8.30406220
Total OI127.3919519095159

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-10-01$79.25$78.0014.0%4.0%23.7%23.1%14.0%0.4%5.5%13.8K-332.6K-7240.00117.07N/AN/A208411
2024-10-02$81.10$78.0014.1%4.1%24.4%23.6%16.1%-0.1%5.5%19.1K-374.2K-6680.00120.44N/AN/A3608611
2024-10-03$80.06$74.0021.7%6.1%25.3%63.3%0.0%-5.4%-0.6%18.6K-383.1K-8520.00107.19N/AN/A009111
2024-10-04$81.02$74.0013.8%4.8%23.8%26.0%0.0%1.0%0.6%21.8K-411.9K-8290.00109.58N/AN/A009111
2024-10-07$82.03$74.0020.9%6.5%23.8%59.6%0.0%1.1%-2.5%24.4K-455.1K-8402.00106.22N/AN/A129111
2024-10-08$78.88$74.0019.6%5.0%28.8%53.5%13.4%0.5%-8.5%11.4K-323.7K-8210.00109.22N/AN/A609213
2024-10-09$78.97$74.0013.3%3.8%28.9%23.6%19.4%1.0%8.4%16.8K-350.4K-8570.00113.47N/AN/A029813
2024-10-10$78.98$70.0013.2%3.8%28.9%23.2%0.0%1.2%8.0%13.4K-336.8K-8850.00117.31N/AN/A609815
2024-10-11$79.57$70.0017.9%5.1%28.9%45.6%0.0%0.4%8.2%17.4K-376.7K-8980.00108.39N/AN/A0010415
2024-10-14$79.10$70.0021.6%6.2%29.1%62.6%0.0%-3.5%-8.9%17.8K-366.6K-8240.00134.92N/AN/A1010415
2024-10-15$77.07$70.0012.5%3.6%31.1%19.9%22.6%7.3%9.1%10.4K-271.6K-8610.00112.32N/AN/A13010515
2024-10-16$77.84$70.0020.8%6.0%31.1%59.1%0.0%8.1%1.4%25.9K-342.4K-8670.0099.78N/AN/A06211815
2024-10-17$77.66$70.0013.8%4.0%30.4%26.2%0.0%-2.9%6.7%5.6K-67.0K-1.5K0.00115.42N/AN/A0111872
2024-10-18$78.63$70.0012.3%3.5%30.6%18.9%16.6%-6.2%-0.5%36.2K-137.8K-1.5K0.05115.78N/AN/A19111871
2024-10-21$77.87$74.0012.2%3.5%30.8%18.7%0.0%0.2%8.1%-8.5K-34.7K-1.5K0.00111.85N/AN/A006259
2024-10-22$77.87$74.0017.8%5.1%28.0%44.7%16.0%-0.4%4.6%-9.2K1.5K-1.5K4.00105.99N/AN/A146259
2024-10-23$77.40$74.0013.6%3.9%27.7%25.2%0.0%1.0%2.0%-8.1K-16.0K-1.5K0.00115.33N/AN/A056263
2024-10-24$77.15$74.0013.7%3.9%23.1%25.7%22.4%4.8%6.2%-7.9K43.0K-1.5K0.00123.31N/AN/A076268
2024-10-25$77.18$75.0017.9%5.1%23.1%45.5%0.0%0.1%6.6%-9.8K54.0K-1.6K0.00123.37N/AN/A016275
2024-10-28$77.43$75.0023.7%6.8%22.5%72.5%16.8%10.2%-5.9%-16.1K86.5K-1.6K0.86110.50N/AN/A766276
2024-10-29$77.28$75.0018.7%5.4%22.1%49.2%0.0%1.4%-1.4%-12.1K63.7K-1.8K0.00116.23N/AN/A006982
2024-10-30$76.40$75.0016.5%4.7%20.4%39.0%0.0%1.7%4.0%-10.4K104.8K-1.7K3.00126.91N/AN/A266982
2024-10-31$75.91$75.0017.9%5.1%20.1%45.3%0.0%1.5%3.5%-11.0K150.5K-1.8K0.00114.23N/AN/A007188