AMD Options History — January 2007

In January 2007, AMD traded between $15.55 and $20.18. ATM implied volatility averaged 43.0%. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 9.0% (HV 20d: 52.0%). Max pain ranged from $19.00 to $22.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.27.

Notable Days

  • 2007-01-12: Highest Volume — 221,035 contracts
  • 2007-01-11: Largest IV spike — 49.4% change
  • 2007-01-10: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.96$15.55$20.18$19.52$15.55
Max Pain$19.88$19.00$22.50$22.50$19.00
ATM IV43.0%32.5%54.6%48.1%33.6%
Expected Move12.4%9.3%14.9%13.8%9.6%
HV 20d52.0%49.1%54.7%54.7%49.1%
Term Structure-0.3%-6.1%5.2%-0.7%4.9%
VWIV43.9%34.0%52.2%48.6%34.7%
Skew 25d0.6%-5.5%4.7%-1.0%-5.5%
Skew 10d0.4%-11.0%11.3%-2.3%-1.9%
Call IV 25d44.2%34.9%51.9%50.5%37.8%
Put IV 25d44.8%32.4%53.6%49.6%32.4%
Bid-Ask Spread %9.965.4027.155.407.14
Gamma HHI0.230.110.440.340.14
Net GEX-4.9M-10.4M-1.7M-6.1M-2.6M
Net DEX191.5M17.3M301.5M157.7M242.9M
Net VEX-2.7M-3.1M-2.3M-2.8M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.312.310.891.04
Total Volume71,703.933,956221,03565,03346,280
Total OI1,138,989.9788,6261,420,0681,209,549942,379

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$19.52$22.5048.1%13.8%0.0%0.0%48.6%-1.0%-0.7%-6.1M157.7M-2.8M0.895.4034,44930,584626,460583,089
2007-01-04$19.79$20.0046.4%13.3%0.0%0.0%47.1%0.9%1.2%-6.3M124.6M-2.8M1.006.2224,59724,592635,791589,012
2007-01-05$19.71$20.0047.8%13.4%0.0%0.0%46.6%1.4%0.2%-6.3M130.7M-2.9M0.6010.7928,56017,142647,837599,621
2007-01-08$19.47$20.0054.6%13.8%0.0%0.0%48.6%2.2%-1.0%-6.6M159.4M-2.9M1.6310.7717,48328,559662,226606,271
2007-01-09$19.65$20.0051.8%13.7%0.0%0.0%48.3%1.5%-1.1%-6.6M141.1M-2.9M1.2311.6716,40820,129664,310611,788
2007-01-10$20.01$20.0034.0%14.9%0.0%0.0%52.2%1.7%-6.1%-10.4M74.8M-2.9M1.3610.1382,203111,539673,475604,219
2007-01-11$20.18$20.0050.7%14.5%0.0%0.0%50.8%1.1%-4.3%-5.1M17.3M-3.1M0.318.6548,02214,652703,465608,801
2007-01-12$18.26$20.0044.2%12.7%0.0%0.0%44.8%0.7%-1.2%-6.1M301.5M-2.6M0.929.11115,298105,737709,803609,428
2007-01-16$18.13$20.0047.2%13.5%0.0%0.0%47.3%2.6%-3.1%-5.1M261.4M-2.8M1.449.1218,79027,029754,881641,023
2007-01-17$18.20$20.0046.3%13.3%0.0%0.0%47.2%1.1%-1.1%-5.1M255.6M-2.8M1.7410.2512,39421,562754,132641,758
2007-01-18$17.92$20.0046.2%13.2%0.0%0.0%46.5%0.7%-2.5%-6.8M262.3M-2.8M1.2613.0523,55429,796758,629641,934
2007-01-19$17.73$20.0045.2%13.0%0.0%0.0%45.1%0.2%-2.1%-6.2M264.3M-2.8M1.198.0416,43219,509768,780651,288
2007-01-22$17.53$20.0045.4%13.0%0.0%0.0%47.2%4.7%-4.0%-1.8M130.0M-2.6M0.7227.1530,85522,332378,246410,380
2007-01-23$17.51$20.0048.3%13.8%0.0%0.0%48.7%1.9%-4.8%-1.7M132.2M-2.7M1.867.7726,83249,989391,989421,627
2007-01-24$16.03$20.0034.9%10.0%0.0%0.0%36.8%-2.9%2.7%-3.2M252.7M-2.3M1.108.0861,98168,375404,875445,078
2007-01-25$16.05$19.0032.5%9.3%54.7%0.0%34.0%0.1%5.2%-2.9M231.2M-2.4M1.9711.2522,79544,794426,702452,590
2007-01-26$16.22$19.0034.1%9.8%53.7%0.0%34.7%-1.1%3.6%-2.8M220.3M-2.6M1.008.8318,84118,923437,519466,929
2007-01-29$15.95$19.0033.5%9.6%52.0%0.0%35.2%1.0%4.9%-2.4M228.9M-2.5M2.317.2620,87748,216445,603462,682
2007-01-30$15.79$19.0034.2%9.8%50.5%0.0%34.1%0.2%2.9%-2.9M240.5M-2.7M1.888.5022,23941,729451,720493,458
2007-01-31$15.55$19.0033.6%9.6%49.1%0.0%34.7%-5.5%4.9%-2.6M242.9M-2.6M1.047.1422,65923,621455,562486,817