AXTI Options History — May 2012

In May 2012, AXTI traded between $3.77 and $5.05. ATM implied volatility averaged 64.5%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded below realized volatility by 29.2% (HV 20d: 93.7%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.11.

Notable Days

  • 2012-05-02: Highest Volume — 1,159 contracts
  • 2012-05-10: Largest IV drop — 49.2% change
  • 2012-05-31: Highest IV Rank — 59.1%
  • 2012-05-31: Largest Expected Move — 25.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.04$3.77$5.05$5.04$3.85
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV64.5%38.6%90.4%72.9%90.4%
Expected Move17.6%9.6%25.9%20.9%25.9%
HV 20d93.7%72.3%104.5%72.3%83.8%
HV 60d70.5%59.2%73.9%59.3%69.4%
IV Rank32.7%6.2%59.1%41.3%59.1%
IV Percentile45.8%2.0%90.5%63.9%90.5%
Term Structure0.5%-30.5%28.5%-11.2%-11.8%
VWIV67.3%45.7%83.3%72.9%45.7%
Skew 25d13.8%-54.1%49.1%34.1%-7.0%
Skew 10d25.4%-59.0%80.5%63.1%-5.7%
Call IV 25d79.0%36.9%174.8%82.0%71.9%
Put IV 25d92.8%60.1%122.8%116.0%64.8%
Bid-Ask Spread %106.1283.24120.7195.18102.15
Gamma HHI0.880.830.920.890.84
Net GEX-6.0K-18.4K-4.0K-15.9K-4.9K
Net DEX826.6K131.8K1.3M131.8K469.7K
Net VEX-2.1K-4.0K-1.6K-4.0K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.005.450.240.00
Total Volume156.04501,1595800
Total OI4,951.8183,0236,3596,2413,301

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$5.04$5.0072.9%20.9%72.3%41.3%72.9%34.1%-11.2%-15.9K131.8K-4.0K0.2495.18N/AN/A4691112,6833,558
2012-05-02$5.05$5.0083.6%24.0%72.4%52.1%83.3%44.7%-18.8%-18.4K215.0K-3.9K1.2483.24N/AN/A5176422,4033,634
2012-05-03$4.06$5.0044.4%12.7%103.2%12.1%45.7%31.4%-10.3%-4.0K1.3M-2.0K0.13101.46N/AN/A609782,1724,187
2012-05-04$4.05$5.0044.9%9.6%103.1%12.7%0.0%28.7%23.3%-4.9K1.3M-1.9K0.00104.73N/AN/A2002,0513,937
2012-05-07$4.17$5.0047.7%12.9%104.5%15.5%0.0%49.1%28.5%-5.0K1.3M-2.0K1.6098.89N/AN/A941502,0733,937
2012-05-08$4.19$5.0056.9%10.4%104.5%24.9%0.0%42.9%27.9%-5.5K1.2M-2.1K0.0096.95N/AN/A002,1423,960
2012-05-09$4.16$5.0076.0%12.8%102.2%44.4%0.0%48.4%24.9%-5.5K1.2M-2.0K0.00100.79N/AN/A002,1423,810
2012-05-10$4.13$5.0038.6%11.1%99.9%6.2%0.0%34.7%22.5%-5.5K1.2M-2.0K0.0098.36N/AN/A002,1423,710
2012-05-11$4.02$5.0045.1%12.9%99.9%12.9%0.0%29.7%15.0%-5.2K1.1M-1.9K0.0097.86N/AN/A0102,1423,660
2012-05-14$3.85$5.0051.5%14.8%98.3%19.4%0.0%20.0%8.5%-4.5K1.2M-1.6K0.00106.18N/AN/A0362,1423,660
2012-05-15$3.90$5.0060.2%17.3%97.0%28.3%0.0%15.5%1.3%-4.6K1.1M-1.8K0.00116.08N/AN/A01122,1423,660
2012-05-16$3.88$5.0050.4%14.5%97.1%18.3%0.0%27.6%20.6%-4.6K1.1M-1.8K0.67105.10N/AN/A30202,1423,772
2012-05-17$3.77$5.0072.0%20.6%97.0%40.3%0.0%8.2%-8.2%-4.4K1.1M-1.6K0.00118.53N/AN/A002,1723,752
2012-05-18$3.81$5.0067.5%19.4%97.8%35.8%0.0%9.6%-1.6%-4.3K1.1M-1.8K5.45116.90N/AN/A221202,1723,752
2012-05-21$3.94$5.0057.0%16.3%99.6%25.0%0.0%39.0%-6.4%-5.5K486.8K-2.0K0.00107.53N/AN/A009362,087
2012-05-22$3.81$5.0068.9%19.7%99.1%37.1%0.0%-50.8%-11.9%-5.0K462.7K-1.9K0.00109.84N/AN/A23809362,087
2012-05-23$3.90$5.0086.5%24.8%98.1%55.1%0.0%24.1%-26.5%-4.8K460.3K-2.0K0.00119.88N/AN/A001,0592,087
2012-05-24$3.81$5.0077.9%22.3%82.5%46.3%0.0%-52.9%-4.8%-4.5K436.5K-1.9K0.00111.90N/AN/A001,0592,087
2012-05-25$3.81$5.0080.6%23.1%82.5%49.1%0.0%-54.1%-30.5%-4.6K419.0K-2.0K0.00120.71N/AN/A1001,0592,087
2012-05-29$3.89$5.0082.5%23.7%83.5%51.0%0.0%-8.6%-8.7%-4.9K442.8K-2.0K2.94112.26N/AN/A341001,0692,087
2012-05-30$3.81$5.0063.4%18.2%83.5%31.5%0.0%-10.3%-10.9%-4.9K458.2K-2.0K0.00110.15N/AN/A1101,1032,187
2012-05-31$3.85$5.0090.4%25.9%83.8%59.1%0.0%-7.0%-11.8%-4.9K469.7K-1.9K0.00102.15N/AN/A001,1142,187