AXTI Options History — October 2011

In October 2011, AXTI traded between $4.60 and $5.92. ATM implied volatility averaged 92.5%, placing in the 69.2% IV rank vs the trailing year. The 30-day expected move averaged 26.7%. IV traded above realized volatility by 22.9% (HV 20d: 69.6%). 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 6 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2011-10-27: Highest Volume — 1,302 contracts
  • 2011-10-27: Largest IV drop — 34.6% change
  • 2011-10-03: Highest IV Rank — 100.0%
  • 2011-10-26: Largest Expected Move — 33.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.19$4.60$5.92$4.61$4.70
Max Pain$5.48$5.00$7.50$7.50$5.00
ATM IV92.5%71.5%117.7%116.7%71.5%
Expected Move26.7%20.5%33.7%33.5%20.5%
HV 20d69.6%50.3%118.7%50.3%114.2%
HV 60d80.3%70.5%90.2%81.1%89.5%
IV Rank69.2%42.2%100.0%100.0%42.2%
IV Percentile88.4%57.1%100.0%100.0%57.1%
Term Structure-2.7%-27.7%19.9%-16.1%2.8%
VWIV95.3%76.4%116.8%116.8%76.4%
Skew 25d15.5%-6.0%54.5%48.7%27.7%
Skew 10d37.4%0.7%92.7%78.7%41.0%
Call IV 25d87.9%69.0%110.6%91.1%70.0%
Put IV 25d103.4%78.6%139.8%139.8%97.7%
Bid-Ask Spread %66.9958.0685.6277.5968.57
Gamma HHI0.500.360.860.460.86
Net GEX26.8K5.6K38.0K20.4K30.1K
Net DEX-1.3M-2.0M-671.5K-866.3K-681.5K
Net VEX-3.9K-4.5K-1.9K-3.9K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.004.000.410.92
Total Volume194.333101,30214523
Total OI8,494.5717,7599,5527,7599,552

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$4.61$7.50116.7%33.5%50.3%100.0%116.8%48.7%-16.1%20.4K-866.3K-3.9K0.4177.59N/AN/A103427,353406
2011-10-04$4.93$7.50101.8%29.2%55.6%81.2%0.0%46.5%6.1%22.1K-994.1K-4.1K0.0085.62N/AN/A1007,434428
2011-10-05$4.98$7.5078.2%22.4%56.4%51.2%0.0%54.5%19.9%22.9K-1.0M-4.2K0.0175.60N/AN/A13917,434410
2011-10-06$5.09$7.5085.6%24.5%58.1%60.6%81.8%49.5%9.9%25.6K-1.2M-4.4K0.2973.13N/AN/A3501007,568410
2011-10-07$5.10$5.0090.6%27.0%58.3%66.9%95.6%6.0%-2.2%26.1K-1.2M-4.5K0.1158.06N/AN/A7087,772510
2011-10-10$5.20$5.0096.0%27.1%59.6%73.8%93.6%7.7%-6.3%26.7K-1.2M-4.3K0.0367.46N/AN/A7127,807510
2011-10-11$5.09$5.0095.5%27.3%59.4%73.1%96.9%9.8%-7.2%25.7K-1.2M-4.1K0.8064.31N/AN/A1087,836512
2011-10-12$5.16$5.0079.9%26.8%60.0%53.4%93.4%10.8%-1.3%26.0K-1.2M-4.1K0.2463.76N/AN/A85207,825520
2011-10-13$5.54$5.0091.5%26.2%62.9%68.0%91.7%7.1%5.3%31.4K-1.6M-4.5K1.9261.85N/AN/A26507,909540
2011-10-14$5.36$5.0093.5%26.8%63.6%70.5%96.1%5.0%-6.2%28.8K-1.4M-4.3K0.0561.82N/AN/A15087,929590
2011-10-17$5.33$5.0096.7%27.7%62.6%74.7%99.1%4.2%-5.9%28.7K-1.4M-4.2K0.2959.98N/AN/A35108,044582
2011-10-18$5.39$5.0090.2%25.8%62.6%66.4%90.2%-6.0%-0.8%30.4K-1.4M-4.0K0.0061.53N/AN/A3408,065582
2011-10-19$5.12$5.0090.9%26.1%64.4%67.3%91.0%-2.8%-4.1%25.7K-1.2M-3.7K0.3760.36N/AN/A54208,085576
2011-10-20$5.23$5.0088.9%25.5%59.7%64.7%0.0%7.0%6.5%27.0K-1.3M-3.7K4.0067.14N/AN/A6248,128593
2011-10-21$5.34$5.0089.8%25.8%60.1%66.0%90.3%7.9%-2.8%30.7K-1.4M-3.8K1.3666.23N/AN/A22308,134590
2011-10-24$5.88$5.00102.9%29.5%69.1%82.5%104.3%-0.3%-4.0%38.0K-1.9M-4.1K0.1161.34N/AN/A535607,817400
2011-10-25$5.55$5.00111.7%32.0%72.5%93.6%110.9%4.2%-16.7%35.3K-1.8M-4.2K0.0561.35N/AN/A314158,013460
2011-10-26$5.92$5.00117.7%33.7%75.9%100.0%114.5%1.3%-27.7%5.6K-2.0M-1.9K0.7073.84N/AN/A106748,270475
2011-10-27$4.60$5.0076.9%22.1%118.7%49.0%77.1%10.8%-1.8%26.8K-671.5K-2.8K0.5668.44N/AN/A8354678,311538
2011-10-28$4.79$5.0076.3%21.9%118.3%48.2%76.4%25.6%-4.5%29.9K-810.2K-3.6K1.4868.91N/AN/A66988,577891
2011-10-31$4.70$5.0071.5%20.5%114.2%42.2%0.0%27.7%2.8%30.1K-681.5K-3.4K0.9268.57N/AN/A12118,570982