AXTI Options History — August 2011

In August 2011, AXTI traded between $6.99 and $9.16. ATM implied volatility averaged 82.8%, placing in the 60.7% IV rank vs the trailing year. The 30-day expected move averaged 23.0%. IV traded below realized volatility by 16.3% (HV 20d: 99.1%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 2.97.

Notable Days

  • 2011-08-19: Highest Volume — 459 contracts
  • 2011-08-10: Largest IV spike — 25.0% change
  • 2011-08-10: Highest IV Rank — 98.0%
  • 2011-08-26: Largest Expected Move — 25.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.95$6.99$9.16$9.16$7.77
Max Pain$5.11$5.00$7.50$5.00$5.00
ATM IV82.8%69.2%110.4%72.0%76.1%
Expected Move23.0%19.8%25.8%20.6%21.8%
HV 20d99.1%86.8%113.8%86.8%95.3%
HV 60d71.9%61.7%78.8%62.1%78.8%
IV Rank60.7%42.4%98.0%46.1%51.7%
IV Percentile88.5%65.1%99.6%73.0%81.3%
Term Structure-2.3%-17.2%12.6%-4.5%-2.1%
VWIV78.2%44.6%88.6%73.0%76.8%
Skew 25d6.8%-12.3%51.5%18.4%-1.8%
Skew 10d16.1%-13.6%74.5%59.8%5.4%
Call IV 25d69.9%49.3%81.8%55.5%70.0%
Put IV 25d76.7%63.7%100.9%74.0%68.2%
Bid-Ask Spread %78.1824.32102.1231.8671.28
Gamma HHI0.340.290.480.470.35
Net GEX30.5K18.6K48.1K48.1K33.0K
Net DEX-2.9M-4.3M-1.9M-4.3M-2.7M
Net VEX-5.8K-7.0K-5.1K-6.6K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.970.0051.000.320.01
Total Volume153.7830459224305
Total OI6,955.3045,1287,8827,8045,651

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$9.16$5.0072.0%20.6%86.8%46.1%73.0%18.4%-4.5%48.1K-4.3M-6.6K0.3231.86N/AN/A170547,081723
2011-08-02$8.96$5.0070.1%20.1%87.0%43.6%76.5%0.6%-2.9%44.6K-4.1M-7.0K0.1024.32N/AN/A5257,104758
2011-08-03$8.71$5.0069.2%19.8%87.7%42.4%80.1%2.8%12.6%40.8K-3.8M-6.9K1.0529.54N/AN/A63667,110763
2011-08-04$8.02$5.0075.9%21.8%92.9%51.4%75.5%3.5%-0.7%32.5K-3.2M-6.6K4.8853.96N/AN/A341667,112751
2011-08-05$7.89$5.0084.4%21.7%93.1%62.9%0.0%4.1%3.1%30.9K-3.0M-6.8K0.2781.52N/AN/A277747,108774
2011-08-08$7.14$5.0098.3%23.9%99.0%81.7%88.6%-5.4%-7.4%25.7K-2.3M-6.0K0.1877.64N/AN/A105197,053789
2011-08-09$8.12$5.0088.4%23.0%101.3%68.2%44.6%51.5%-8.3%38.4K-3.2M-5.4K0.03102.12N/AN/A19056,979790
2011-08-10$8.00$5.00110.4%25.2%101.4%98.0%81.1%-4.2%-11.8%32.4K-3.1M-6.3K0.4683.60N/AN/A148686,972795
2011-08-11$8.34$5.0084.9%24.3%102.2%63.6%0.0%6.3%-8.0%35.5K-3.3M-6.1K0.9286.44N/AN/A49456,942786
2011-08-12$8.21$5.0079.3%22.7%102.5%56.0%0.0%2.6%-1.8%24.4K-3.2M-5.7K0.0086.51N/AN/A0306,913777
2011-08-15$8.45$5.0082.1%23.5%101.7%59.7%0.0%-2.4%-5.9%25.7K-3.4M-5.4K0.7380.82N/AN/A15116,913777
2011-08-16$8.18$5.0078.0%22.4%102.5%54.3%0.0%5.7%-1.4%24.7K-3.2M-5.3K0.0082.33N/AN/A006,908777
2011-08-17$8.17$5.0078.8%22.6%102.5%55.3%79.5%-1.6%0.7%25.9K-3.0M-5.5K51.0080.03N/AN/A1516,849777
2011-08-18$7.39$5.0088.3%25.3%109.1%68.1%81.2%2.7%-17.2%18.6K-2.3M-5.4K0.7696.77N/AN/A45346,840825
2011-08-19$7.10$5.0075.5%21.6%108.6%50.9%75.6%5.3%6.2%21.6K-1.9M-5.1K0.5280.90N/AN/A3011586,849817
2011-08-22$6.99$5.0085.0%24.4%108.3%63.6%84.9%21.4%-0.9%24.0K-2.0M-5.3K0.1780.93N/AN/A126214,958170
2011-08-23$7.69$5.0087.9%25.2%113.8%67.6%78.7%34.9%-1.0%28.1K-2.4M-5.3K0.0096.51N/AN/A32405,073191
2011-08-24$7.66$5.0080.5%23.1%113.5%57.6%80.7%-9.0%-0.1%28.5K-2.5M-5.7K0.0583.27N/AN/A2215,281191
2011-08-25$7.33$5.0087.5%25.1%91.2%67.0%0.0%-12.3%-4.4%27.2K-2.4M-5.7K0.0095.83N/AN/A3605,293192
2011-08-26$7.43$5.0089.9%25.8%91.5%70.3%88.5%9.4%-10.3%28.7K-2.3M-5.5K0.0097.63N/AN/A6705,295192
2011-08-29$7.89$5.0080.0%22.9%92.6%57.0%81.7%15.0%1.8%31.3K-2.7M-5.4K0.6697.15N/AN/A70465,305192
2011-08-30$8.21$7.5081.1%23.3%93.9%58.5%81.6%7.9%12.0%30.7K-3.0M-5.5K0.2597.25N/AN/A226575,350226
2011-08-31$7.77$5.0076.1%21.8%95.3%51.7%76.8%-1.8%-2.1%33.0K-2.7M-5.5K0.0171.28N/AN/A30235,468183