AXTI Options History — July 2011

In July 2011, AXTI traded between $7.03 and $8.74. ATM implied volatility averaged 66.5%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 20.3%. IV traded above realized volatility by 9.8% (HV 20d: 56.7%). 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 8 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2011-07-28: Highest Volume — 1,056 contracts
  • 2011-07-11: Largest IV spike — 52.8% change
  • 2011-07-27: Highest IV Rank — 66.5%
  • 2011-07-27: Largest Expected Move — 25.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.68$7.03$8.74$8.25$8.73
Max Pain$5.63$5.00$7.50$7.50$5.00
ATM IV66.5%42.5%87.1%42.5%74.6%
Expected Move20.3%12.2%25.0%12.2%21.4%
HV 20d56.7%46.7%86.5%49.3%86.0%
HV 60d55.3%50.6%65.1%52.6%61.4%
IV Rank38.8%6.4%66.5%6.4%49.7%
IV Percentile57.2%1.2%96.0%1.2%82.9%
Term Structure-0.6%-11.7%9.2%9.2%-0.1%
VWIV71.2%58.2%87.3%58.2%73.2%
Skew 25d-1.0%-17.3%14.9%-17.3%13.0%
Skew 10d4.7%-24.6%62.3%-19.9%61.0%
Call IV 25d66.7%50.4%78.7%52.9%64.0%
Put IV 25d65.6%35.6%76.9%35.6%76.9%
Bid-Ask Spread %36.4112.60101.93101.9319.85
Gamma HHI0.370.310.460.460.43
Net GEX26.3K17.6K42.5K23.9K42.5K
Net DEX-2.5M-3.9M-2.0M-2.5M-3.8M
Net VEX-6.4K-6.9K-5.8K-6.4K-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.005.100.110.03
Total Volume214.1101,05663176
Total OI6,756.35,7977,7725,7977,772

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$8.25$7.5042.5%12.2%49.3%6.4%0.0%-17.3%9.2%23.9K-2.5M-6.4K0.11101.93N/AN/A5765,029768
2011-07-05$8.10$5.0048.2%19.2%49.1%14.1%58.2%-12.4%0.7%22.0K-2.2M-6.2K0.0056.25N/AN/A67515,064770
2011-07-06$8.10$5.0056.8%18.7%48.6%25.7%64.7%5.3%3.4%28.0K-2.7M-6.8K0.1159.15N/AN/A1925,741771
2011-07-07$8.13$5.0052.2%20.2%47.1%19.5%63.3%4.1%-0.9%24.3K-2.8M-6.8K0.0052.63N/AN/A1205,732771
2011-07-08$8.13$5.0046.4%18.4%46.7%11.6%65.5%-11.7%6.3%24.1K-2.7M-6.6K1.4036.12N/AN/A62875,734771
2011-07-11$7.89$7.5070.9%20.1%48.0%44.6%0.0%6.2%0.2%22.0K-2.6M-6.7K0.0063.21N/AN/A1005,796810
2011-07-12$7.05$7.5063.0%22.0%62.7%34.0%72.1%4.5%-10.8%19.5K-2.0M-6.2K0.4558.22N/AN/A108495,792810
2011-07-13$7.19$7.5056.3%19.1%54.9%25.0%65.4%6.8%4.6%17.6K-2.0M-6.1K5.1050.65N/AN/A10515,861847
2011-07-14$7.30$7.5072.7%20.8%55.0%47.1%72.1%7.4%-2.3%18.1K-2.1M-6.4K2.3617.23N/AN/A501185,861792
2011-07-15$7.27$5.0072.6%20.8%54.3%46.9%0.0%4.6%-2.9%21.9K-2.1M-6.3K0.8322.21N/AN/A12105,911721
2011-07-18$7.03$5.0068.6%19.7%54.8%41.6%63.6%-1.5%4.3%24.1K-2.0M-5.8K0.0118.49N/AN/A11315,885620
2011-07-19$7.22$5.0071.9%20.6%56.1%46.0%71.1%-9.6%-2.0%25.4K-2.2M-6.0K0.0016.41N/AN/A17205,966620
2011-07-20$7.25$5.0070.4%20.2%55.3%43.9%68.4%-10.9%-0.1%26.3K-2.2M-6.1K0.7316.67N/AN/A30226,108620
2011-07-21$7.35$5.0067.9%19.5%54.9%40.6%68.1%8.3%-0.9%25.5K-2.3M-5.9K0.0019.76N/AN/A7506,128630
2011-07-22$7.70$5.0078.9%22.6%56.7%55.5%87.3%-10.1%-6.0%28.7K-2.6M-5.9K0.0227.07N/AN/A796156,147630
2011-07-25$7.49$5.0076.7%22.0%57.2%52.5%82.5%-12.9%-3.5%29.9K-2.6M-6.5K0.0030.73N/AN/A11806,654635
2011-07-26$7.41$5.0078.7%22.6%57.3%55.1%78.5%4.6%-5.6%30.1K-2.5M-6.5K0.0222.74N/AN/A11026,713635
2011-07-27$7.25$5.0087.1%25.0%53.9%66.5%84.4%-14.1%-11.7%30.3K-2.4M-6.3K0.0412.60N/AN/A247106,780635
2011-07-28$8.74$5.0074.5%21.4%86.5%49.6%72.8%14.9%6.3%41.4K-3.9M-6.9K0.1426.26N/AN/A9251316,951645
2011-07-29$8.73$5.0074.6%21.4%86.0%49.7%73.2%13.0%-0.1%42.5K-3.8M-6.9K0.0319.85N/AN/A17157,054718