AXTI Options History — March 2011

In March 2011, AXTI traded between $5.91 and $7.25. ATM implied volatility averaged 65.6%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded below realized volatility by 13.4% (HV 20d: 79.0%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 2.88.

Notable Days

  • 2011-03-30: Highest Volume — 616 contracts
  • 2011-03-10: Largest IV spike — 61.8% change
  • 2011-03-11: Highest IV Rank — 60.3%
  • 2011-03-11: Largest Expected Move — 23.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.70$5.91$7.25$7.09$7.17
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV65.6%47.5%82.3%61.4%62.0%
Expected Move19.5%17.0%23.6%17.6%17.8%
HV 20d79.0%56.1%92.4%92.4%56.2%
HV 60d70.3%67.2%72.5%69.6%69.9%
IV Rank37.8%13.2%60.3%32.1%32.8%
IV Percentile51.2%5.3%90.8%42.8%43.6%
Term Structure2.5%-8.3%26.1%6.3%6.0%
VWIV67.6%61.3%78.0%61.4%62.1%
Skew 25d2.6%-16.8%15.6%7.9%15.6%
Skew 10d13.8%-12.0%36.4%14.3%24.7%
Call IV 25d65.4%55.6%78.6%57.1%58.0%
Put IV 25d68.0%52.1%83.4%64.9%73.6%
Bid-Ask Spread %19.6912.0732.3117.5814.21
Gamma HHI0.410.340.520.400.50
Net GEX21.3K12.7K29.7K29.3K28.7K
Net DEX-604.6K-1.0M-115.3K-871.6K-994.5K
Net VEX-5.1K-6.2K-3.7K-6.0K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.880.0048.000.770.00
Total Volume202.6961561623215
Total OI8,373.0435,39210,2249,6546,171

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$7.09$7.5061.4%17.6%92.4%32.1%61.4%7.9%6.3%29.3K-871.6K-6.0K0.7717.58N/AN/A1311018,6331,021
2011-03-02$7.21$7.5064.2%18.4%89.5%35.8%64.1%9.1%3.1%29.0K-923.7K-6.2K1.2721.51N/AN/A40518,6391,112
2011-03-03$7.25$7.5061.7%17.7%89.7%32.4%0.0%10.0%6.1%29.7K-946.6K-6.2K0.4017.37N/AN/A75308,6621,077
2011-03-04$7.14$7.5061.4%18.8%89.7%32.0%65.1%-0.1%2.9%27.7K-808.8K-5.8K0.1532.31N/AN/A98158,6511,103
2011-03-07$6.66$7.5058.5%20.0%90.6%28.0%64.4%10.5%1.1%21.4K-498.8K-5.1K0.1225.41N/AN/A338408,6641,118
2011-03-08$6.75$7.5047.5%18.6%84.8%13.2%64.9%-6.4%5.6%23.0K-510.4K-5.2K0.0112.07N/AN/A14318,6801,137
2011-03-09$6.44$7.5050.3%21.5%84.7%17.0%73.1%6.8%-8.3%18.8K-327.6K-4.5K0.0826.94N/AN/A152128,7261,138
2011-03-10$5.91$7.5081.4%23.3%86.7%59.1%76.2%2.5%-7.2%12.7K-115.3K-3.7K0.8820.52N/AN/A2902568,7861,141
2011-03-11$6.25$7.5082.3%23.6%92.1%60.3%73.3%10.7%-0.1%14.1K-253.1K-4.7K0.4921.60N/AN/A191948,8261,349
2011-03-14$6.09$7.5077.4%22.2%91.3%53.7%0.0%1.6%-2.2%13.2K-177.8K-4.2K48.0029.39N/AN/A1488,8281,335
2011-03-15$6.07$7.5068.9%19.8%80.3%42.2%78.0%4.2%26.1%13.2K-173.6K-4.1K0.0924.59N/AN/A5358,8281,259
2011-03-16$6.26$7.5078.0%22.4%81.7%54.5%74.3%4.7%-2.6%14.8K-325.6K-4.5K1.4329.06N/AN/A53768,8311,261
2011-03-17$6.50$7.5073.0%20.9%83.9%47.8%68.7%11.1%-0.1%16.2K-375.5K-4.7K2.5426.89N/AN/A13338,8841,315
2011-03-18$6.48$7.5072.0%20.7%84.0%46.4%71.3%-16.8%3.7%16.1K-388.5K-4.8K8.3014.25N/AN/A10838,8971,327
2011-03-21$6.49$7.5059.2%17.0%83.6%29.1%69.1%-15.9%-2.4%16.1K-498.8K-4.4K0.2614.38N/AN/A255664,3611,031
2011-03-22$6.48$7.5066.9%19.2%82.9%39.5%65.3%-10.8%0.8%17.4K-534.1K-4.7K0.4017.52N/AN/A248994,5371,084
2011-03-23$6.66$7.5067.7%19.4%83.5%40.5%68.3%-7.6%-2.1%19.3K-596.8K-4.7K0.0413.19N/AN/A4524,6571,132
2011-03-24$6.89$7.5061.0%17.5%60.7%31.5%61.3%-3.5%6.7%22.0K-788.2K-5.2K0.4015.12N/AN/A2881154,6761,134
2011-03-25$7.04$7.5061.4%17.6%58.3%32.0%61.5%0.9%6.9%24.8K-921.1K-5.6K0.2013.69N/AN/A298594,8251,209
2011-03-28$7.15$7.5064.7%18.6%58.7%36.5%64.8%8.3%1.6%27.7K-1.0M-5.7K0.3214.51N/AN/A65214,9241,222
2011-03-29$7.10$7.5064.8%18.6%56.4%36.6%64.9%6.0%4.0%27.3K-946.5K-5.6K0.0013.65N/AN/A3704,9511,232
2011-03-30$7.08$7.5063.7%18.3%56.1%35.2%0.0%11.7%1.7%27.7K-900.6K-5.4K0.0017.08N/AN/A61514,9741,232
2011-03-31$7.17$7.5062.0%17.8%56.2%32.8%62.1%15.6%6.0%28.7K-994.5K-5.4K0.0014.21N/AN/A1504,9381,233