AXTI Options History — March 2012

In March 2012, AXTI traded between $5.23 and $6.74. ATM implied volatility averaged 46.8%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 6.7% (HV 20d: 53.5%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.24.

Notable Days

  • 2012-03-20: Highest Volume — 530 contracts
  • 2012-03-15: Largest IV drop — 46.9% change
  • 2012-03-14: Highest IV Rank — 54.6%
  • 2012-03-09: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.01$5.23$6.74$5.61$6.35
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV46.8%34.9%86.0%34.9%45.0%
Expected Move13.8%10.0%17.1%10.0%12.9%
HV 20d53.5%44.1%59.6%55.7%44.1%
HV 60d52.4%50.9%53.7%51.0%51.4%
IV Rank14.6%2.4%54.6%2.4%12.8%
IV Percentile11.2%0.4%82.9%0.4%8.3%
Term Structure9.2%-4.7%22.4%19.1%2.2%
VWIV57.6%57.6%57.6%57.6%57.6%
Skew 25d4.1%-21.3%25.7%7.1%-13.6%
Skew 10d15.2%-20.4%43.2%31.3%-19.3%
Call IV 25d50.4%39.0%63.3%53.0%52.2%
Put IV 25d54.5%33.1%69.7%60.2%38.6%
Bid-Ask Spread %105.1393.22115.7295.46106.01
Gamma HHI0.550.490.840.550.49
Net GEX-2.1K-14.1K1.7K-2.5K931
Net DEX-722.9K-1.1M-303.9K-618.6K-889.9K
Net VEX-3.1K-3.8K-2.1K-3.5K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.002.000.000.00
Total Volume57.6820530100
Total OI4,701.2274,2064,8484,6754,848

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$5.61$5.0034.9%10.0%55.7%2.4%0.0%7.1%19.1%-2.5K-618.6K-3.5K0.0095.46N/AN/A1002,4862,189
2012-03-02$5.35$5.0044.3%12.7%57.1%12.0%0.0%24.1%-4.7%-3.0K-437.6K-3.7K2.00107.09N/AN/A35702,4962,189
2012-03-05$5.27$5.0041.9%16.5%56.9%9.6%57.6%25.2%0.8%-3.4K-327.0K-3.8K0.0097.29N/AN/A3202,5122,259
2012-03-06$5.23$5.0043.1%16.5%56.7%10.8%57.6%24.7%0.2%-3.3K-303.9K-3.8K0.0093.22N/AN/A2402,5132,259
2012-03-07$5.26$5.0043.1%15.4%56.1%10.8%0.0%25.7%4.9%-3.0K-347.9K-3.7K0.0095.14N/AN/A3502,5042,259
2012-03-08$5.34$5.0036.6%16.3%55.0%4.2%0.0%24.6%-0.2%-3.9K-422.1K-3.6K0.0095.15N/AN/A3002,4992,259
2012-03-09$5.61$5.0037.3%17.1%53.5%4.9%0.0%6.4%3.8%-3.5K-578.0K-3.5K0.0098.33N/AN/A1502,4842,259
2012-03-12$5.57$5.0051.5%12.5%53.2%19.4%0.0%21.6%8.4%-3.6K-590.6K-3.4K0.00111.40N/AN/A1602,4992,259
2012-03-13$5.63$5.0059.3%12.6%53.1%27.4%0.0%22.0%14.5%-3.7K-594.5K-3.3K0.27115.15N/AN/A37102,4732,259
2012-03-14$5.79$5.0086.0%14.8%53.6%54.6%0.0%15.2%1.7%-14.1K-835.2K-2.1K0.00108.81N/AN/A2802,4362,259
2012-03-15$6.15$5.0045.6%13.1%56.6%13.4%0.0%-0.1%18.6%-1.2K-821.2K-2.9K0.00115.72N/AN/A16602,3612,259
2012-03-16$6.53$5.0042.8%12.3%59.0%10.5%0.0%9.8%21.7%1.2K-1.1M-2.7K0.00105.22N/AN/A3802,5132,259
2012-03-19$6.43$5.0043.8%12.6%59.6%11.5%0.0%1.4%11.8%1.7K-895.0K-2.7K2.00115.65N/AN/A10202,2531,963
2012-03-20$6.30$5.0042.6%12.2%58.9%10.3%0.0%-21.3%12.1%-679-826.5K-2.6K0.00103.38N/AN/A05302,2431,963
2012-03-21$6.23$5.0049.7%14.3%57.6%17.6%0.0%-19.2%-1.6%-2.2K-744.3K-3.2K0.00105.07N/AN/A002,2432,493
2012-03-22$6.49$5.0048.3%13.8%58.5%16.1%0.0%-19.4%15.4%-3.3K-868.1K-2.9K0.03106.48N/AN/A3712,2432,493
2012-03-23$6.54$5.0047.8%13.7%46.3%15.6%0.0%-14.9%13.5%-1.5K-901.4K-2.8K0.00110.14N/AN/A802,2692,494
2012-03-26$6.51$5.0048.3%13.8%46.5%16.1%0.0%-16.6%10.0%1.2K-912.8K-3.0K0.20108.23N/AN/A1022,2722,494
2012-03-27$6.65$5.0047.0%13.5%46.6%14.8%0.0%4.5%17.8%-1.2K-956.9K-2.8K0.00108.54N/AN/A4202,2672,496
2012-03-28$6.74$5.0044.9%12.9%45.6%12.6%0.0%-7.9%22.4%703-1.0M-2.8K0.00107.27N/AN/A6102,3072,496
2012-03-29$6.56$5.0045.8%13.1%46.2%13.6%0.0%-8.1%9.1%1.4K-948.6K-2.9K0.00104.07N/AN/A202,3502,496
2012-03-30$6.35$5.0045.0%12.9%44.1%12.8%0.0%-13.6%2.2%931-889.9K-3.0K0.00106.01N/AN/A002,3522,496