AXTI Options History — June 2011

In June 2011, AXTI traded between $7.52 and $8.68. ATM implied volatility averaged 58.4%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 11.3% (HV 20d: 47.1%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2011-06-21: Highest Volume — 730 contracts
  • 2011-06-15: Largest IV spike — 27.7% change
  • 2011-06-17: Highest IV Rank — 38.5%
  • 2011-06-06: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.98$7.52$8.68$7.84$8.48
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV58.4%43.0%66.3%55.8%44.9%
Expected Move17.0%12.3%19.4%16.0%12.9%
HV 20d47.1%41.6%58.2%58.2%47.9%
HV 60d51.5%48.7%54.4%54.2%52.3%
IV Rank27.8%7.1%38.5%24.4%9.6%
IV Percentile31.7%1.2%55.8%20.4%2.8%
Term Structure7.2%-4.2%24.3%-4.2%10.3%
VWIV58.6%36.8%66.0%48.9%64.7%
Skew 25d19.5%-2.3%46.0%2.0%2.4%
Skew 10d36.4%-4.8%100.3%6.3%2.6%
Call IV 25d47.9%37.7%66.4%60.4%66.4%
Put IV 25d67.4%43.2%93.9%62.4%68.9%
Bid-Ask Spread %89.4254.10102.4560.52102.45
Gamma HHI0.390.350.510.360.45
Net GEX25.9K21.2K29.2K28.2K25.3K
Net DEX-2.2M-2.6M-2.0M-2.2M-2.5M
Net VEX-6.9K-7.4K-6.4K-7.3K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.003.861.240.02
Total Volume155.227277309263
Total OI5,884.8185,4376,2085,7505,767

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$7.84$7.5055.8%16.0%58.2%24.4%48.9%2.0%-4.2%28.2K-2.2M-7.3K1.2460.52N/AN/A41515,064686
2011-06-02$7.69$7.5057.7%16.5%44.3%26.8%57.7%16.0%2.4%26.5K-2.1M-7.4K2.8554.10N/AN/A13375,099731
2011-06-03$7.74$7.5056.7%18.1%44.3%25.6%63.2%43.3%5.9%26.5K-2.0M-7.3K0.1295.61N/AN/A85105,089761
2011-06-06$7.58$7.5061.0%19.4%41.6%31.3%0.0%16.3%0.3%25.6K-2.0M-7.2K0.0993.39N/AN/A109105,086771
2011-06-07$7.75$7.5063.3%18.1%42.6%34.4%0.0%17.6%4.0%27.9K-2.1M-7.1K0.0091.12N/AN/A4105,140763
2011-06-08$7.52$7.5061.7%18.9%43.7%32.2%66.0%14.7%1.2%27.5K-2.0M-7.0K2.0092.99N/AN/A17345,165763
2011-06-09$7.68$7.5063.2%18.1%43.9%34.3%0.0%15.4%0.7%27.3K-2.1M-7.1K0.0793.30N/AN/A4035,155791
2011-06-10$7.73$7.5059.4%17.0%43.3%29.1%0.0%14.9%7.5%27.3K-2.1M-7.0K0.0093.91N/AN/A0275,132791
2011-06-13$7.77$7.5065.8%18.9%41.7%37.8%65.8%21.3%2.1%28.9K-2.1M-6.9K0.2385.67N/AN/A88205,132769
2011-06-14$8.42$7.5050.4%14.4%49.6%17.0%36.8%15.3%19.4%26.0K-2.6M-6.5K0.2597.25N/AN/A53135,148789
2011-06-15$8.19$7.5064.3%18.4%50.6%35.8%0.0%25.3%2.1%26.8K-2.5M-6.8K0.0193.39N/AN/A10915,167787
2011-06-16$7.96$7.5059.7%17.1%51.0%29.5%59.6%20.2%8.4%28.1K-2.3M-6.6K3.8689.29N/AN/A421625,081785
2011-06-17$8.07$7.5066.3%19.0%51.1%38.5%0.0%44.5%4.0%21.6K-2.4M-6.8K0.9488.32N/AN/A17165,121845
2011-06-20$7.98$7.5064.9%18.6%50.8%36.5%64.8%46.0%3.7%21.3K-2.1M-6.5K2.0587.20N/AN/A22454,765672
2011-06-21$8.15$7.5063.8%18.3%46.9%35.1%64.7%33.3%5.2%21.2K-2.2M-6.6K0.0688.98N/AN/A689414,756717
2011-06-22$7.90$7.5063.2%18.1%48.7%34.3%0.0%24.3%3.5%22.8K-2.1M-6.7K0.0988.79N/AN/A229205,048752
2011-06-23$8.12$7.5049.9%14.3%48.5%16.3%0.0%15.2%18.2%23.0K-2.2M-6.5K0.0093.11N/AN/A9905,268772
2011-06-24$7.99$7.5058.4%16.7%45.7%27.8%0.0%15.8%9.1%25.3K-2.2M-7.0K0.0091.54N/AN/A4505,321772
2011-06-27$7.94$7.5060.6%17.4%45.7%30.8%0.0%6.0%9.1%25.2K-2.2M-6.9K0.0189.81N/AN/A15015,361772
2011-06-28$8.35$7.5049.9%14.3%48.2%16.3%0.0%21.3%21.6%28.8K-2.5M-6.9K0.0294.52N/AN/A636135,436772
2011-06-29$8.68$7.5043.0%12.3%47.6%7.1%0.0%-2.3%24.3%29.2K-2.6M-6.4K0.02101.92N/AN/A31675,132772
2011-06-30$8.48$7.5044.9%12.9%47.9%9.6%0.0%2.4%10.3%25.3K-2.5M-6.5K0.02102.45N/AN/A6215,000767