AXTI Options History — November 2011

In November 2011, AXTI traded between $3.74 and $4.79. ATM implied volatility averaged 70.8%, placing in the 41.4% IV rank vs the trailing year. The 30-day expected move averaged 20.6%. IV traded below realized volatility by 30.9% (HV 20d: 101.7%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.88.

Notable Days

  • 2011-11-23: Highest Volume — 848 contracts
  • 2011-11-25: Largest IV spike — 134.2% change
  • 2011-11-25: Highest IV Rank — 94.8%
  • 2011-11-25: Largest Expected Move — 32.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.37$3.74$4.79$4.49$4.19
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV70.8%46.1%113.5%83.2%62.6%
Expected Move20.6%13.2%32.6%23.9%17.9%
HV 20d101.7%53.5%115.5%112.5%60.6%
HV 60d81.9%78.2%87.8%87.8%80.2%
IV Rank41.4%10.5%94.8%56.9%31.0%
IV Percentile51.4%2.0%99.2%79.4%36.1%
Term Structure4.1%-25.9%25.2%1.3%17.9%
VWIV75.4%66.2%83.5%83.5%66.2%
Skew 25d17.7%-7.5%65.3%20.1%8.5%
Skew 10d30.4%2.5%94.2%30.8%24.3%
Call IV 25d66.0%47.9%86.1%82.0%60.6%
Put IV 25d83.7%57.1%141.4%102.1%69.1%
Bid-Ask Spread %73.2642.54101.3048.90101.30
Gamma HHI0.690.310.930.850.45
Net GEX15.8K-1.6K38.5K23.6K754
Net DEX-135.5K-699.7K337.6K-473.8K253.5K
Net VEX-3.0K-3.6K-2.0K-3.1K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.0016.673.480.00
Total Volume149.524084841219
Total OI8,083.7623,70910,2759,5694,723

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$4.49$5.0083.2%23.9%112.5%56.9%83.5%20.1%1.3%23.6K-473.8K-3.1K3.4848.90N/AN/A923208,576993
2011-11-02$4.68$5.0082.4%23.6%113.6%55.8%82.7%24.5%-7.2%26.5K-517.2K-3.6K0.0052.51N/AN/A1008,6101,264
2011-11-03$4.51$5.0088.8%25.5%113.8%63.9%0.0%23.3%-17.1%24.2K-502.9K-3.5K0.0042.54N/AN/A2208,6101,264
2011-11-04$4.69$5.0076.1%23.7%114.9%48.0%75.0%40.8%-3.0%28.9K-512.3K-3.5K0.0077.70N/AN/A8208,6271,264
2011-11-07$4.73$5.0077.0%23.1%114.7%49.2%80.7%61.7%-2.1%32.1K-568.0K-3.5K0.0052.11N/AN/A1208,6361,264
2011-11-08$4.79$5.0070.2%22.7%114.7%40.6%0.0%65.3%-6.7%38.3K-699.7K-3.6K1.1051.45N/AN/A31348,6361,264
2011-11-09$4.57$5.0068.0%19.6%115.5%37.8%75.3%28.4%3.5%30.4K-451.9K-3.2K0.0064.43N/AN/A4008,6451,288
2011-11-10$4.50$5.0073.5%21.1%111.9%44.7%74.4%-4.0%-1.1%26.1K-184.1K-2.8K2.6355.90N/AN/A1343538,6471,288
2011-11-11$4.73$5.0077.7%22.3%113.5%50.0%77.7%23.1%-5.2%38.5K-376.8K-3.6K0.0054.25N/AN/A23308,6441,631
2011-11-14$4.56$5.0066.0%18.9%114.0%35.3%0.0%23.0%9.2%29.4K-302.1K-3.3K10.0079.10N/AN/A1108,4541,631
2011-11-15$4.58$5.0075.7%21.7%113.9%47.5%76.0%21.6%-1.9%26.2K-98.6K-3.1K0.1074.41N/AN/A97108,4531,631
2011-11-16$4.55$5.0067.3%19.3%112.8%36.9%67.4%14.7%5.6%3.7K21.1K-2.8K0.2276.90N/AN/A98228,4361,641
2011-11-17$4.42$5.0071.1%20.4%112.6%41.7%70.9%11.8%6.0%3.4K51.0K-2.7K1.2977.64N/AN/A14188,4841,641
2011-11-18$4.26$5.0064.8%18.6%112.5%33.9%66.2%9.0%2.3%2.9K106.8K-2.5K0.1981.25N/AN/A238458,4881,646
2011-11-21$3.98$5.0047.7%13.7%106.6%12.5%0.0%-0.1%23.8%1.1K139.7K-2.2K0.0579.02N/AN/A9252,3731,336
2011-11-22$3.94$5.0046.1%13.2%105.6%10.5%0.0%-0.3%23.1%50150.6K-2.1K0.0099.53N/AN/A13802,3901,341
2011-11-23$3.80$5.0048.5%13.9%101.3%13.4%0.0%-7.5%25.2%491165.9K-2.0K16.6798.39N/AN/A488002,4971,341
2011-11-25$3.74$5.00113.5%32.6%53.5%94.8%0.0%9.7%-25.9%-1.6K337.6K-2.8K0.0099.56N/AN/A002,5362,141
2011-11-28$4.02$5.0065.4%18.7%58.5%34.6%0.0%-4.0%23.1%-1.6K305.1K-3.1K0.0087.24N/AN/A11202,5362,141
2011-11-29$3.97$5.0061.3%17.6%58.4%29.5%0.0%2.0%14.4%-1.3K310.1K-3.0K0.0084.37N/AN/A0102,6072,141
2011-11-30$4.19$5.0062.6%17.9%60.6%31.0%0.0%8.5%17.9%754253.5K-3.4K0.00101.30N/AN/A1902,5722,151