AXTI Options History — January 2011

In January 2011, AXTI traded between $10.03 and $11.71. ATM implied volatility averaged 54.6%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded above realized volatility by 7.7% (HV 20d: 46.9%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.33.

Notable Days

  • 2011-01-14: Highest Volume — 592 contracts
  • 2011-01-13: Largest IV spike — 48.8% change
  • 2011-01-21: Highest IV Rank — 32.0%
  • 2011-01-21: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.85$10.03$11.71$10.31$10.83
Max Pain$7.00$5.00$7.50$7.50$7.50
ATM IV54.6%37.8%61.4%52.4%59.7%
Expected Move16.5%14.9%17.6%15.0%17.1%
HV 20d46.9%37.0%57.7%43.4%50.9%
HV 60d58.5%51.5%62.7%59.5%51.5%
IV Rank21.8%0.0%32.0%16.6%29.7%
IV Percentile25.0%0.0%40.7%17.3%37.0%
Term Structure3.8%-1.8%8.0%4.5%6.9%
VWIV56.8%51.8%62.3%52.4%59.5%
Skew 25d4.6%-7.1%12.6%12.6%0.0%
Skew 10d5.1%-13.0%22.1%20.8%7.6%
Call IV 25d57.0%49.8%61.9%51.6%61.9%
Put IV 25d61.6%48.0%66.1%64.2%61.9%
Bid-Ask Spread %26.7617.3045.7124.0132.38
Gamma HHI0.590.450.780.680.53
Net GEX15.7K11.2K22.5K13.6K22.5K
Net DEX-1.6M-2.0M-1.1M-1.3M-1.7M
Net VEX-3.2K-4.0K-2.7K-2.8K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.003.550.080.19
Total Volume148.73159213031
Total OI3,376.42,9653,8033,0183,803

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$10.31$7.5052.4%15.0%43.4%16.6%52.4%12.6%4.5%13.6K-1.3M-2.8K0.0824.01N/AN/A120101,6941,324
2011-01-04$10.03$7.5052.1%14.9%43.7%16.1%52.2%-7.1%5.4%13.6K-1.1M-2.7K0.3920.02N/AN/A38151,6311,334
2011-01-05$10.31$7.5052.4%15.0%41.8%16.6%52.5%8.2%5.5%13.2K-1.2M-2.7K3.5521.99N/AN/A291031,6451,341
2011-01-06$10.37$7.5051.9%14.9%40.4%15.8%51.8%6.8%8.0%13.2K-1.2M-2.7K0.3223.64N/AN/A78251,6501,430
2011-01-07$10.46$7.5050.0%16.7%40.2%13.1%56.4%12.4%1.5%13.5K-1.3M-2.8K0.2036.49N/AN/A49101,7261,435
2011-01-10$10.90$7.5052.8%17.0%41.8%17.1%58.5%0.6%2.4%12.3K-1.5M-2.7K0.3222.04N/AN/A124401,7751,445
2011-01-11$11.04$5.0037.8%16.5%40.6%0.0%57.3%1.0%4.2%11.2K-1.6M-2.7K0.0020.02N/AN/A10701,8221,434
2011-01-12$11.06$7.5039.1%17.4%37.0%1.7%58.0%3.7%-1.8%11.7K-1.7M-2.8K0.4818.09N/AN/A23111,8681,434
2011-01-13$10.97$5.0058.1%16.7%37.8%27.6%55.1%5.5%4.2%12.6K-1.6M-2.7K0.1926.85N/AN/A156301,8721,433
2011-01-14$11.70$5.0056.9%16.3%41.9%25.9%56.3%4.5%2.5%12.5K-1.9M-2.9K0.1021.88N/AN/A537551,9941,463
2011-01-18$11.71$5.0058.1%16.6%41.8%27.5%59.5%3.6%1.5%14.3K-2.0M-3.3K0.0445.71N/AN/A14152,1411,456
2011-01-19$10.70$7.5057.1%16.4%56.2%26.2%58.0%4.1%3.0%20.7K-1.6M-3.5K0.0230.80N/AN/A16632,1181,461
2011-01-20$10.45$7.5060.0%17.2%57.5%30.1%62.3%4.5%4.1%19.8K-1.4M-3.5K0.1017.30N/AN/A249242,0831,461
2011-01-21$10.71$7.5061.4%17.6%57.6%32.0%57.2%0.0%0.8%17.7K-1.6M-3.6K0.2026.67N/AN/A128252,1581,461
2011-01-24$11.02$7.5059.0%16.9%57.7%28.7%58.6%9.0%4.3%16.0K-1.6M-3.6K0.0025.26N/AN/A4502,0321,340
2011-01-25$11.09$7.5059.6%17.1%57.7%29.6%57.0%5.4%3.5%16.2K-1.6M-3.5K0.2829.79N/AN/A81232,0471,340
2011-01-26$11.29$7.5054.3%15.6%49.8%22.4%55.0%3.7%6.9%16.8K-1.7M-3.6K0.0025.63N/AN/A29102,0921,363
2011-01-27$11.19$7.5061.0%17.5%49.6%31.5%60.6%4.5%3.6%21.1K-1.8M-4.0K0.0832.64N/AN/A6552,3481,363
2011-01-28$10.81$7.5058.4%16.7%51.0%27.9%57.9%0.0%5.1%20.6K-1.7M-3.9K0.0034.05N/AN/A13202,3431,368
2011-01-31$10.83$7.5059.7%17.1%50.9%29.7%59.5%0.0%6.9%22.5K-1.7M-4.0K0.1932.38N/AN/A2652,4351,368