AXTI Options History — May 2011

In May 2011, AXTI traded between $6.67 and $8.27. ATM implied volatility averaged 62.7%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded above realized volatility by 1.8% (HV 20d: 60.9%). 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 16 of 21 days. Put/call ratio averaged 0.30.

Notable Days

  • 2011-05-03: Highest Volume — 1,362 contracts
  • 2011-05-04: Largest IV drop — 19.1% change
  • 2011-05-03: Highest IV Rank — 55.0%
  • 2011-05-03: Largest Expected Move — 22.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.76$6.67$8.27$6.67$8.14
Max Pain$7.02$5.00$7.50$5.00$7.50
ATM IV62.7%48.7%78.5%66.6%48.7%
Expected Move18.2%14.0%22.5%19.1%14.0%
HV 20d60.9%44.8%65.1%44.8%61.1%
HV 60d64.2%54.6%73.2%68.2%55.6%
IV Rank33.6%14.8%55.0%38.8%14.8%
IV Percentile41.2%5.2%86.2%51.2%5.2%
Term Structure2.5%-10.0%20.1%-4.2%20.1%
VWIV66.6%57.1%80.3%73.6%60.8%
Skew 25d4.7%-13.6%26.6%-0.3%19.7%
Skew 10d4.2%-30.0%53.7%-5.0%53.7%
Call IV 25d63.6%40.0%71.9%71.9%58.9%
Put IV 25d68.3%56.7%78.5%71.6%78.5%
Bid-Ask Spread %63.8647.2378.8549.1060.71
Gamma HHI0.530.350.800.580.36
Net GEX44.9K17.6K100.9K34.7K29.1K
Net DEX-2.4M-3.2M-1.1M-1.6M-2.3M
Net VEX-7.0K-7.9K-6.0K-6.4K-7.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.002.080.000.00
Total Volume279.762301,36226753
Total OI7,4484,4478,8508,0705,713

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$6.67$5.0066.6%19.1%44.8%38.8%73.6%-0.3%-4.2%34.7K-1.6M-6.4K0.0049.10N/AN/A26616,9141,156
2011-05-03$7.19$5.0078.5%22.5%52.3%55.0%80.3%7.2%-10.0%39.8K-1.9M-7.1K0.0863.38N/AN/A1,2571057,1111,157
2011-05-04$8.00$5.0063.6%18.2%63.8%34.8%64.0%1.4%2.7%50.5K-3.2M-7.9K0.1947.23N/AN/A9741867,7051,145
2011-05-05$7.92$5.0060.7%17.4%64.0%30.9%60.7%2.7%6.9%47.1K-2.6M-7.6K0.6649.45N/AN/A68457,0691,207
2011-05-06$8.27$7.5064.3%19.0%65.1%35.7%66.4%4.6%-3.2%46.2K-3.0M-7.6K0.2757.58N/AN/A154427,0391,232
2011-05-09$8.21$7.5065.1%19.8%63.7%36.9%68.9%-5.7%-3.4%44.9K-3.0M-7.4K0.5157.58N/AN/A41217,0441,232
2011-05-10$8.20$7.5058.1%19.8%59.2%27.4%65.4%2.7%1.1%44.3K-3.0M-7.5K0.1956.33N/AN/A86167,0271,253
2011-05-11$8.00$7.5065.5%18.5%59.1%37.3%0.0%-13.6%-0.1%45.2K-2.7M-7.2K1.1176.66N/AN/A46517,0371,264
2011-05-12$8.15$7.5062.2%17.8%59.0%33.0%0.0%4.0%1.4%44.8K-2.9M-7.1K0.3178.85N/AN/A32107,0041,235
2011-05-13$7.87$7.5067.8%19.4%61.6%40.4%70.0%0.1%1.9%45.5K-2.6M-7.0K2.0877.39N/AN/A37776,9971,245
2011-05-16$7.68$7.5062.2%17.8%62.3%33.0%62.2%2.5%6.4%54.9K-2.4M-6.6K0.2573.32N/AN/A130327,0221,253
2011-05-17$7.60$7.5065.8%18.9%62.4%37.9%0.0%3.5%2.0%70.7K-2.3M-6.7K0.0671.40N/AN/A6747,1191,248
2011-05-18$7.82$7.5064.8%18.6%62.7%36.4%0.0%2.0%1.1%60.8K-2.7M-6.5K0.0074.86N/AN/A3607,0721,248
2011-05-19$7.78$7.5063.1%18.1%59.5%34.2%76.9%2.2%4.8%66.2K-2.5M-6.5K0.0372.15N/AN/A24486,8621,232
2011-05-20$7.64$7.5064.3%18.4%60.2%35.8%64.8%2.1%0.5%100.9K-2.2M-6.5K0.0370.99N/AN/A18356,7451,240
2011-05-23$7.25$7.5061.2%17.5%63.8%31.6%61.2%10.3%2.7%17.6K-1.1M-6.0K0.0375.06N/AN/A1,003263,796651
2011-05-24$7.25$7.5058.9%16.9%62.3%28.5%0.0%9.1%5.5%22.6K-1.6M-7.0K0.2548.81N/AN/A2464,789677
2011-05-25$7.47$7.5057.1%16.4%62.7%26.1%57.1%13.0%6.2%23.8K-1.8M-7.1K0.1071.34N/AN/A4044,801683
2011-05-26$7.86$7.5060.8%17.4%64.5%31.1%60.8%26.6%3.3%25.7K-2.0M-7.2K0.0158.51N/AN/A17924,841679
2011-05-27$7.92$7.5056.8%16.3%63.9%25.6%0.0%4.8%6.1%27.2K-2.2M-7.6K0.0350.25N/AN/A304104,987677
2011-05-31$8.14$7.5048.7%14.0%61.1%14.8%0.0%19.7%20.1%29.1K-2.3M-7.3K0.0060.71N/AN/A5305,027686