AXTI Options History — September 2011

In September 2011, AXTI traded between $5.03 and $7.63. ATM implied volatility averaged 87.1%, placing in the 66.5% IV rank vs the trailing year. The 30-day expected move averaged 24.6%. IV traded above realized volatility by 21.9% (HV 20d: 65.1%). 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 15 of 21 days. Put/call ratio averaged 0.18.

Notable Days

  • 2011-09-20: Highest Volume — 696 contracts
  • 2011-09-22: Largest IV spike — 25.1% change
  • 2011-09-06: Highest IV Rank — 79.3%
  • 2011-09-22: Largest Expected Move — 27.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.25$5.03$7.63$7.63$5.03
Max Pain$7.26$5.00$7.50$5.00$7.50
ATM IV87.1%75.8%96.6%80.4%88.5%
Expected Move24.6%21.9%27.4%23.0%25.4%
HV 20d65.1%42.7%92.0%91.0%44.9%
HV 60d78.8%77.9%79.7%78.6%79.4%
IV Rank66.5%51.3%79.3%57.4%68.4%
IV Percentile90.9%77.0%97.6%88.5%91.3%
Term Structure3.1%-5.0%27.0%-5.0%9.3%
VWIV83.4%70.2%98.5%85.8%88.5%
Skew 25d16.1%-15.0%48.5%-2.4%43.1%
Skew 10d41.2%-20.8%87.1%4.9%75.8%
Call IV 25d73.2%61.2%96.4%71.8%72.5%
Put IV 25d89.4%65.0%115.6%69.4%115.6%
Bid-Ask Spread %77.4063.6388.4963.6371.87
Gamma HHI0.370.320.440.340.44
Net GEX27.8K24.0K32.8K31.4K24.0K
Net DEX-1.7M-2.6M-1.1M-2.6M-1.1M
Net VEX-4.8K-5.4K-4.2K-5.4K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.000.680.180.28
Total Volume189.4291269699109
Total OI6,432.5245,6177,6815,6177,673

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$7.63$5.0080.4%23.0%91.0%57.4%85.8%-2.4%-5.0%31.4K-2.6M-5.4K0.1863.63N/AN/A84155,431186
2011-09-02$7.32$5.0078.7%22.6%92.0%55.1%78.8%-8.6%-0.5%30.7K-2.4M-5.4K0.3285.49N/AN/A41135,452201
2011-09-06$7.61$7.5096.6%23.5%85.7%79.3%82.0%-6.3%0.5%32.8K-2.5M-5.2K0.5488.49N/AN/A26145,492214
2011-09-07$7.34$7.5083.0%23.5%72.7%61.0%0.0%-4.0%0.9%31.7K-2.4M-5.3K0.0084.61N/AN/A1205,515228
2011-09-08$7.11$7.5086.9%24.3%73.2%66.3%84.6%-9.8%-3.6%31.5K-2.2M-5.1K0.5587.36N/AN/A55305,527228
2011-09-09$6.92$7.5075.8%22.2%71.4%51.3%77.5%-15.0%2.2%31.0K-2.1M-5.0K0.1688.03N/AN/A128205,546248
2011-09-12$6.83$7.5089.9%25.7%71.3%70.3%89.0%31.5%0.3%29.9K-2.0M-5.1K0.0180.71N/AN/A23825,632258
2011-09-13$6.83$7.5096.0%23.9%70.0%78.6%83.9%30.8%4.9%26.1K-1.9M-5.0K0.0573.50N/AN/A218105,789260
2011-09-14$6.64$7.5081.3%23.3%69.9%58.7%0.0%25.7%-1.6%26.5K-1.8M-4.8K0.0071.73N/AN/A4705,831270
2011-09-15$6.19$7.5090.0%25.8%72.9%70.5%70.2%14.8%4.0%24.9K-1.5M-4.4K0.0476.59N/AN/A278105,821270
2011-09-16$6.17$7.5084.3%24.2%65.4%62.7%0.0%5.7%4.7%25.3K-1.5M-4.5K0.2872.96N/AN/A235665,903277
2011-09-19$5.94$7.5090.8%26.0%65.2%71.5%79.4%7.4%-3.6%24.9K-1.4M-4.2K0.1872.03N/AN/A338605,550208
2011-09-20$5.82$7.5085.7%24.6%65.3%64.6%0.0%3.9%4.4%25.5K-1.3M-4.5K0.0674.98N/AN/A656405,856258
2011-09-21$5.67$7.5076.3%21.9%52.5%52.0%83.5%1.4%27.0%27.4K-1.5M-4.9K0.0472.87N/AN/A278116,500288
2011-09-22$5.27$7.5095.5%27.4%56.1%77.9%98.5%14.0%3.1%25.0K-1.2M-4.6K0.2077.92N/AN/A287586,743289
2011-09-23$5.33$7.5088.0%25.2%56.3%67.8%0.0%37.7%11.1%25.4K-1.2M-4.7K0.0074.56N/AN/A2206,923346
2011-09-26$5.39$7.5094.1%27.0%56.1%76.0%0.0%48.5%-1.8%26.4K-1.2M-4.5K0.0074.31N/AN/A2206,923346
2011-09-27$5.40$7.5090.2%25.9%49.0%70.7%0.0%42.1%2.9%27.3K-1.3M-4.6K0.0577.75N/AN/A358196,945346
2011-09-28$5.40$7.5094.1%27.0%44.5%76.0%0.0%44.0%0.2%28.7K-1.4M-5.0K0.6877.20N/AN/A47327,282347
2011-09-29$5.33$7.5082.0%23.5%42.7%59.7%83.0%34.3%6.5%27.9K-1.3M-4.8K0.2578.86N/AN/A79207,302379
2011-09-30$5.03$7.5088.5%25.4%44.9%68.4%88.5%43.1%9.3%24.0K-1.1M-4.4K0.2871.87N/AN/A85247,290383