AMD Options History — March 2007

In March 2007, AMD traded between $13.06 and $14.79. ATM implied volatility averaged 39.7%. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 6.2% (HV 20d: 33.5%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 4.21.

Notable Days

  • 2007-03-06: Highest Volume — 207,492 contracts
  • 2007-03-02: Largest IV spike — 15.3% change
  • 2007-03-05: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.81$13.06$14.79$14.79$13.06
Max Pain$15.41$14.00$16.00$15.00$14.00
ATM IV39.7%31.9%43.4%37.1%41.9%
Expected Move11.8%10.6%12.4%10.6%12.0%
HV 20d33.5%20.0%37.6%34.8%20.0%
HV 60d38.7%36.8%40.8%40.8%36.8%
Term Structure1.0%-0.9%4.6%4.6%1.0%
VWIV41.6%38.5%44.2%38.5%43.5%
Skew 25d0.0%-2.9%2.9%-2.9%2.8%
Skew 10d-3.4%-9.3%7.2%-4.7%7.2%
Call IV 25d42.7%40.0%46.4%41.1%44.2%
Put IV 25d42.7%38.2%47.0%38.2%47.0%
Bid-Ask Spread %2.751.994.153.492.03
Gamma HHI0.110.080.190.110.13
Net GEX111.9K-1.8M1.2M1.2M414.8K
Net DEX156.1M100.7M186.6M100.7M167.5M
Net VEX-2.7M-3.0M-2.6M-3.0M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.210.2320.983.240.48
Total Volume87,245.27321,603207,49295,92027,387
Total OI1,174,599.3641,102,5961,228,0761,102,5961,217,783

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$14.79$15.0037.1%10.6%34.8%0.0%38.5%-2.9%4.6%1.2M100.7M-3.0M3.243.4922,60173,319586,451516,145
2007-03-02$14.18$15.0042.7%12.2%36.9%0.0%44.2%-2.6%1.5%528.6K157.4M-2.8M1.704.1533,78857,446597,424521,053
2007-03-05$13.95$16.0043.4%12.4%37.1%0.0%43.4%0.8%-0.9%-104.6K186.6M-2.8M1.322.5225,18233,338609,737536,242
2007-03-06$14.09$16.0039.9%11.8%37.6%0.0%42.8%-0.6%0.5%-113.4K169.0M-2.8M8.812.7221,150186,342613,854542,957
2007-03-07$14.10$16.0038.6%11.6%37.3%0.0%41.0%-0.3%1.1%120.2K157.9M-2.8M4.183.0012,21151,035624,920539,221
2007-03-08$14.19$16.0036.0%11.6%37.0%0.0%40.6%0.0%1.3%-270.6K167.1M-2.8M0.982.5623,14922,607630,356555,119
2007-03-09$14.20$16.0031.9%11.1%36.3%0.0%39.5%0.6%2.1%26.7K159.2M-2.8M10.372.7610,822112,254639,916551,203
2007-03-12$14.17$16.0035.4%11.2%36.1%0.0%39.5%0.3%1.8%-521.8K173.1M-2.8M3.753.109,32534,960640,525560,326
2007-03-13$13.94$16.0036.1%11.6%36.2%0.0%39.9%-0.2%1.5%-445.4K180.2M-2.7M7.913.1615,198120,232641,905557,953
2007-03-14$14.13$16.0036.2%12.0%36.6%0.0%40.3%-0.3%1.2%-13.0K148.7M-2.8M1.902.8229,58156,193643,618555,513
2007-03-15$13.93$16.0040.6%11.7%35.6%0.0%41.7%-0.7%2.6%-1.1M170.8M-2.8M2.442.6418,91746,128658,730557,071
2007-03-16$14.01$16.0040.9%11.7%35.7%0.0%41.5%-0.8%1.0%-1.8M164.6M-2.8M2.222.5314,71532,692663,506564,570
2007-03-19$13.72$15.0040.5%11.6%36.0%0.0%41.3%-0.5%0.5%-472.8K168.5M-2.7M0.232.3237,0768,480581,911529,301
2007-03-20$13.41$15.0039.3%11.3%36.6%0.0%40.3%-1.0%0.7%-444.0K176.4M-2.6M3.533.1825,95991,727593,223523,634
2007-03-21$13.60$15.0042.4%12.2%36.5%0.0%42.6%-0.4%-0.0%-151.7K148.1M-2.7M0.503.4887,28143,679601,787523,837
2007-03-22$13.35$15.0041.1%11.8%36.8%0.0%41.8%0.4%0.4%806.0K148.5M-2.7M3.092.5222,12268,255643,907526,062
2007-03-23$13.50$15.0041.6%11.9%36.9%0.0%41.4%0.4%0.3%1.0M135.7M-2.8M1.962.5610,50120,615653,585537,393
2007-03-26$13.55$15.0041.8%12.0%26.6%0.0%42.5%1.2%0.1%1.1M124.9M-2.8M2.242.186,67414,929658,253538,659
2007-03-27$13.50$15.0042.3%12.1%23.8%0.0%42.3%0.7%-0.0%1.2M131.2M-2.7M20.982.496,926145,288661,128538,257
2007-03-28$13.38$15.0041.1%11.8%23.7%0.0%42.4%0.3%1.4%1.1M127.8M-2.7M6.002.288,11048,681663,391536,080
2007-03-29$13.08$15.0043.0%12.3%24.1%0.0%43.7%2.9%-0.9%424.1K169.6M-2.6M4.801.9931,486151,035667,805536,875
2007-03-30$13.06$14.0041.9%12.0%20.0%0.0%43.5%2.8%1.0%414.8K167.5M-2.6M0.482.0318,4908,897675,258542,525