AXTI Options History — November 2010

In November 2010, AXTI traded between $7.54 and $8.90. ATM implied volatility averaged 63.3%. The 30-day expected move averaged 19.0%. IV traded below realized volatility by 10.7% (HV 20d: 74.0%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.41.

Notable Days

  • 2010-11-02: Highest Volume — 189 contracts
  • 2010-11-10: Largest IV spike — 33.3% change
  • 2010-11-29: Largest Expected Move — 21.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.28$7.54$8.90$7.82$8.25
Max Pain$6.07$5.00$7.50$5.00$7.50
ATM IV63.3%40.7%76.1%57.3%74.2%
Expected Move19.0%11.7%21.8%16.4%21.3%
HV 20d74.0%55.4%81.3%75.8%55.4%
HV 60d64.3%60.2%70.9%70.9%60.8%
Term Structure0.2%-18.1%25.0%8.7%-2.3%
VWIV66.7%41.6%76.0%57.4%74.0%
Bid-Ask Spread %82.7526.58125.4177.3263.96
Gamma HHI0.460.410.570.470.44
Net GEX3.3K7466.4K3.0K3.1K
Net DEX-525.1K-654.1K-422.0K-430.0K-437.3K
Net VEX-1.6K-1.9K-1.4K-1.7K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.002.730.310.00
Total Volume54.048118910115
Total OI2,069.5241,9042,2452,0171,904

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$7.82$5.0057.3%16.4%75.8%0.0%57.4%0.0%8.7%3.0K-430.0K-1.7K0.3177.32N/AN/A77249321,085
2010-11-02$8.23$5.0059.4%17.0%75.3%0.0%59.4%0.0%1.9%3.3K-509.5K-1.6K0.1485.66N/AN/A166239261,090
2010-11-03$8.33$5.0040.7%11.7%75.0%0.0%0.0%0.0%25.0%2.8K-547.1K-1.5K2.7351.47N/AN/A11309311,081
2010-11-04$8.42$5.0044.4%12.7%72.8%0.0%43.4%0.0%21.2%2.4K-554.8K-1.5K0.0093.19N/AN/A809391,111
2010-11-05$8.70$5.0045.2%20.2%71.7%0.0%73.2%0.0%-4.4%1.8K-604.1K-1.5K0.0058.08N/AN/A18209391,111
2010-11-08$8.90$5.0043.6%18.2%71.8%0.0%71.4%0.0%1.6%2.1K-654.1K-1.5K0.0062.77N/AN/A11109741,111
2010-11-09$8.52$5.0050.3%20.1%73.4%0.0%71.4%0.0%-3.2%3.0K-615.2K-1.6K0.4341.57N/AN/A46201,0141,111
2010-11-10$8.59$5.0067.1%19.0%73.0%0.0%66.1%0.0%4.1%3.6K-617.0K-1.7K0.0093.49N/AN/A2701,0361,131
2010-11-11$8.39$5.0069.6%19.9%74.0%0.0%69.4%0.0%-0.9%2.9K-601.6K-1.7K1.6793.46N/AN/A6101,0461,131
2010-11-12$8.12$5.0070.9%20.3%75.0%0.0%70.9%0.0%0.2%4.1K-534.7K-1.8K0.0091.60N/AN/A1701,0411,122
2010-11-15$8.06$5.0073.0%20.9%75.1%0.0%72.9%0.0%-3.4%4.1K-528.1K-1.7K0.00113.04N/AN/A4701,0521,122
2010-11-16$7.63$5.0072.7%20.8%76.5%0.0%72.7%0.0%-3.8%5.7K-435.6K-1.9K0.11115.08N/AN/A4651,0831,122
2010-11-17$7.54$7.5064.4%18.5%76.8%0.0%64.4%0.0%3.5%6.4K-444.8K-1.8K1.0091.68N/AN/A10101,1111,127
2010-11-18$8.00$7.5067.9%19.5%77.7%0.0%66.5%0.0%1.5%4.6K-563.3K-1.8K0.00112.01N/AN/A2201,1081,137
2010-11-19$8.17$7.5062.6%17.9%77.8%0.0%0.0%0.0%5.5%2.3K-607.0K-1.7K0.00119.78N/AN/A101,1071,137
2010-11-22$8.56$7.5073.2%21.0%78.8%0.0%41.6%0.0%-18.1%746-478.2K-1.4K2.26125.41N/AN/A531208561,107
2010-11-23$8.17$7.5070.5%20.2%81.3%0.0%70.5%0.0%-0.7%2.8K-422.0K-1.6K0.00116.21N/AN/A3408991,007
2010-11-24$8.48$7.5072.2%20.7%79.2%0.0%72.2%0.0%-4.5%3.4K-484.2K-1.5K0.0026.58N/AN/A409041,007
2010-11-26$8.35$7.5073.0%20.9%79.6%0.0%72.8%0.0%-15.9%3.2K-461.9K-1.6K0.0071.30N/AN/A208971,007
2010-11-29$8.57$7.5076.1%21.8%57.2%0.0%76.0%0.0%-11.4%3.6K-496.7K-1.4K0.0034.09N/AN/A808971,007
2010-11-30$8.25$7.5074.2%21.3%55.4%0.0%74.0%0.0%-2.3%3.1K-437.3K-1.5K0.0063.96N/AN/A1508971,007