AXTI Options History — December 2011

In December 2011, AXTI traded between $3.75 and $4.26. ATM implied volatility averaged 73.8%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 18.8% (HV 20d: 54.9%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.06.

Notable Days

  • 2011-12-01: Highest Volume — 70 contracts
  • 2011-12-14: Largest IV spike — 56.5% change
  • 2011-12-14: Highest IV Rank — 100.0%
  • 2011-12-13: Largest Expected Move — 23.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.00$3.75$4.26$3.92$4.17
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV73.8%46.7%130.5%62.6%46.7%
Expected Move18.8%13.4%23.9%17.9%13.4%
HV 20d54.9%37.6%62.9%62.1%37.6%
HV 60d80.0%76.9%81.3%80.9%76.9%
IV Rank41.8%9.6%100.0%31.0%9.6%
IV Percentile54.2%2.8%100.0%36.1%2.8%
Term Structure2.7%-19.0%27.8%-2.1%27.8%
VWIV65.2%65.2%65.2%65.2%65.2%
Skew 25d2.4%-12.4%29.5%-4.1%-3.8%
Skew 10d15.6%3.0%52.9%4.5%6.6%
Call IV 25d67.1%60.0%79.3%66.0%60.7%
Put IV 25d69.6%57.0%91.8%61.9%57.0%
Bid-Ask Spread %94.0027.24114.1498.8627.24
Gamma HHI0.610.510.670.620.59
Net GEX-1.4K-1.8K-735-1.5K-1.1K
Net DEX325.9K280.6K371.0K316.7K311.6K
Net VEX-2.9K-3.1K-2.7K-3.0K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.060.000.440.000.00
Total Volume11.9050707036
Total OI4,579.6194,3334,7894,7194,351

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$3.92$5.0062.6%17.9%62.1%31.0%0.0%-4.1%-2.1%-1.5K316.7K-3.0K0.0098.86N/AN/A7002,5682,151
2011-12-02$4.05$5.0060.2%17.3%62.9%28.1%0.0%1.6%18.3%-1.5K310.4K-3.1K0.0097.24N/AN/A6502,6382,151
2011-12-05$4.03$5.0071.3%17.7%60.6%41.9%0.0%-1.9%1.2%-1.3K308.7K-3.0K0.00100.09N/AN/A002,6092,151
2011-12-06$4.08$5.0078.5%16.0%60.8%50.9%0.0%-0.2%7.2%-1.5K303.5K-3.1K0.0093.13N/AN/A002,6092,151
2011-12-07$4.01$5.0071.5%15.3%60.4%42.2%0.0%1.8%6.3%-1.3K311.9K-3.0K0.0093.06N/AN/A002,6092,151
2011-12-08$3.90$5.0080.4%17.2%59.2%53.4%0.0%7.3%-3.9%-1.3K340.3K-2.8K0.0093.61N/AN/A002,6092,151
2011-12-09$3.95$5.0094.8%17.8%59.5%71.4%0.0%-3.7%-1.7%-1.6K350.7K-2.9K0.0092.87N/AN/A002,6092,151
2011-12-12$3.85$5.0091.3%20.8%56.0%67.0%0.0%-1.0%-9.0%-1.8K371.0K-2.7K0.00100.48N/AN/A002,6092,151
2011-12-13$3.75$5.0083.4%23.9%55.4%57.1%0.0%-1.7%-19.0%-1.6K352.6K-2.7K0.0082.08N/AN/A0162,6092,151
2011-12-14$3.84$5.00130.5%22.3%56.5%100.0%0.0%-12.4%-6.1%-1.7K337.5K-2.7K0.44100.78N/AN/A1882,6092,142
2011-12-15$3.88$5.0065.5%18.8%56.9%29.9%0.0%3.0%-5.0%-1.8K366.2K-2.7K0.00101.47N/AN/A002,6162,146
2011-12-16$3.87$5.0067.6%19.4%56.4%32.1%0.0%-0.2%-3.5%-1.8K352.5K-2.7K0.0098.07N/AN/A1102,6162,146
2011-12-19$3.82$5.0079.8%22.9%55.3%45.3%0.0%2.9%4.5%-1.5K324.2K-2.7K0.00108.57N/AN/A002,1992,134
2011-12-20$4.01$5.0069.2%19.8%53.3%33.9%0.0%2.6%-6.3%-1.6K346.0K-2.8K0.00102.05N/AN/A502,1992,134
2011-12-21$3.96$5.0077.9%22.3%53.4%43.3%0.0%3.8%-10.1%-1.1K323.6K-2.7K0.00106.29N/AN/A002,1992,134
2011-12-22$4.08$5.0074.3%21.3%52.5%39.4%0.0%4.3%10.8%-895280.6K-2.9K0.00110.09N/AN/A002,1992,134
2011-12-23$4.26$5.0067.4%19.3%53.8%32.0%65.2%12.5%-2.3%-857297.3K-2.9K0.00108.08N/AN/A2002,1992,134
2011-12-27$4.26$5.0070.4%20.2%47.9%35.2%0.0%29.5%1.3%-735284.7K-2.9K0.00114.14N/AN/A102,2172,134
2011-12-28$4.16$5.0052.0%14.9%48.5%15.3%0.0%12.5%23.7%-1.1K320.2K-2.8K0.00104.00N/AN/A002,2172,134
2011-12-29$4.22$5.0054.5%15.6%44.8%18.0%0.0%-1.7%25.3%-1.0K333.1K-2.8K0.0041.78N/AN/A002,2172,134
2011-12-30$4.17$5.0046.7%13.4%37.6%9.6%0.0%-3.8%27.8%-1.1K311.6K-2.8K0.0027.24N/AN/A3602,2172,134