AMD Options History — April 2007

In April 2007, AMD traded between $12.71 and $14.65. ATM implied volatility averaged 42.3%. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 15.7% (HV 20d: 26.6%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.53.

Notable Days

  • 2007-04-02: Highest Volume — 289,720 contracts
  • 2007-04-20: Largest IV drop — 22.0% change
  • 2007-04-05: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.68$12.71$14.65$12.83$13.82
Max Pain$13.50$13.00$14.00$14.00$14.00
ATM IV42.3%33.6%50.0%44.5%33.6%
Expected Move11.9%9.6%14.2%12.8%9.6%
HV 20d26.6%19.7%32.8%20.1%32.8%
HV 60d33.2%29.3%37.5%36.6%30.8%
Term Structure-0.9%-6.0%2.5%-1.5%2.5%
VWIV42.3%34.3%50.5%46.7%35.2%
Skew 25d3.8%1.2%10.3%10.3%2.2%
Skew 10d7.6%3.4%15.8%15.8%5.0%
Call IV 25d41.4%34.4%48.6%44.4%35.3%
Put IV 25d45.2%37.0%55.1%54.8%37.5%
Bid-Ask Spread %4.222.0418.552.273.47
Gamma HHI0.200.110.320.140.13
Net GEX564.2K-2.6M3.4M370.1K2.4M
Net DEX70.3M-79.5M215.1M178.6M23.2M
Net VEX-2.9M-3.4M-2.5M-2.5M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.530.3411.3011.300.58
Total Volume99,979.1515,889289,720289,72026,686
Total OI1,334,130.31,125,2201,538,1331,233,8721,254,230

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$12.83$14.0044.5%12.8%20.1%0.0%46.7%10.3%-1.5%370.1K178.6M-2.5M11.302.2723,548266,172686,624547,248
2007-04-03$12.90$14.0045.7%13.1%19.7%0.0%46.5%6.6%-2.3%-1.4M189.0M-2.6M1.912.2323,17244,275699,991592,235
2007-04-04$12.71$14.0049.0%14.0%20.0%0.0%48.7%5.8%-6.0%-2.6M215.1M-2.6M2.012.8417,40235,047699,375625,236
2007-04-05$12.86$14.0049.6%14.2%20.5%0.0%50.5%6.5%-5.6%-2.2M191.1M-2.7M4.082.0418,30874,619705,226630,347
2007-04-09$13.35$13.0050.0%12.7%25.4%0.0%44.5%2.5%-1.3%-1.2M126.3M-2.9M0.744.3738,68028,525711,165653,161
2007-04-10$13.27$13.0049.7%12.5%25.4%0.0%44.3%2.6%-1.1%-1.7M144.3M-2.8M10.444.3515,019156,849715,137662,811
2007-04-11$13.19$13.0047.4%12.2%24.9%0.0%42.6%2.2%1.1%-2.0M153.5M-2.8M1.2618.5519,93025,171716,930664,323
2007-04-12$13.66$13.0040.7%11.7%27.8%0.0%41.3%2.6%1.2%235.9K88.5M-2.9M3.053.6435,219107,543726,358668,308
2007-04-13$13.57$13.0040.7%11.7%27.5%0.0%42.4%3.8%1.2%335.1K88.8M-2.9M3.103.2611,25334,844741,874675,920
2007-04-16$13.52$13.0042.6%12.2%27.4%0.0%44.2%3.8%-0.1%-751.9K109.9M-2.8M0.563.2510,1845,705742,907688,849
2007-04-17$13.47$13.0043.8%12.6%26.4%0.0%43.4%4.0%-3.1%-917.2K112.5M-2.8M5.552.6820,450113,530743,851688,260
2007-04-18$13.91$13.0043.3%12.4%27.6%0.0%45.5%5.2%-2.3%1.4M34.3M-2.9M0.884.2473,46364,847748,907695,434
2007-04-19$14.28$13.0048.2%13.8%28.6%0.0%48.8%5.1%-5.2%2.6M-36.1M-3.0M0.343.75125,45542,144770,469707,219
2007-04-20$14.16$13.0037.6%10.8%27.8%0.0%38.4%2.2%2.1%3.4M-4.5M-2.9M0.824.6685,08369,897801,315736,818
2007-04-23$14.04$14.0036.5%10.5%27.9%0.0%37.6%1.4%-0.5%1.4M20.4M-2.9M0.373.0342,23715,834556,406568,814
2007-04-24$14.57$14.0037.1%10.6%30.6%0.0%37.8%1.2%0.1%2.6M-62.2M-3.2M1.684.3685,401143,582583,191578,774
2007-04-25$14.65$14.0035.8%10.2%30.5%0.0%36.7%2.6%0.5%3.1M-79.5M-3.4M0.783.8426,79820,809611,459607,105
2007-04-26$14.50$14.0036.0%10.3%30.6%0.0%35.9%2.9%0.8%3.1M-53.9M-3.3M0.783.6313,65910,614620,279613,745
2007-04-27$14.32$14.0034.0%9.8%29.6%0.0%34.3%2.6%2.4%3.1M-33.3M-3.3M0.463.9418,9228,707625,795616,510
2007-04-30$13.82$14.0033.6%9.6%32.8%0.0%35.2%2.2%2.5%2.4M23.2M-3.2M0.583.4716,9009,786634,812619,418