AMD Options History — May 2007

In May 2007, AMD traded between $13.18 and $15.59. ATM implied volatility averaged 35.9%. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 1.6% (HV 20d: 34.3%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.30.

Notable Days

  • 2007-05-14: Highest Volume — 137,351 contracts
  • 2007-05-10: Largest IV spike — 12.9% change
  • 2007-05-14: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.52$13.18$15.59$13.54$14.27
Max Pain$14.09$13.00$15.00$14.00$14.00
ATM IV35.9%32.7%41.1%35.1%35.3%
Expected Move10.5%9.4%11.8%10.1%10.1%
HV 20d34.3%30.8%38.3%33.0%32.8%
HV 60d31.6%29.2%34.2%31.0%29.2%
Term Structure3.3%0.8%5.2%2.6%4.5%
VWIV37.2%33.7%41.4%36.6%35.3%
Skew 25d2.8%1.1%4.5%4.3%2.7%
Skew 10d7.6%3.1%12.4%8.8%3.1%
Call IV 25d36.6%33.8%39.7%36.2%35.3%
Put IV 25d39.4%34.9%42.7%40.5%38.0%
Bid-Ask Spread %3.962.566.733.083.41
Gamma HHI0.130.090.190.120.09
Net GEX3.7M394.4K7.9M1.5M2.4M
Net DEX-93.0M-320.1M97.8M59.8M-13.3M
Net VEX-3.5M-4.0M-2.4M-3.1M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.323.863.860.76
Total Volume67,912.13624,559137,351132,03833,448
Total OI1,345,899.182945,3701,506,5971,254,8561,381,562

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$13.54$14.0035.1%10.1%33.0%0.0%36.6%4.3%2.6%1.5M59.8M-3.1M3.863.0827,154104,884635,628619,228
2007-05-02$13.63$14.0034.7%9.9%33.0%0.0%36.6%1.5%3.0%2.0M40.1M-3.1M1.512.9723,40735,304639,323619,755
2007-05-03$13.69$13.0032.7%9.4%32.4%0.0%34.0%1.5%3.9%2.0M35.9M-3.1M0.653.9917,04711,127644,038628,817
2007-05-04$13.53$14.0033.8%10.6%32.7%0.0%38.7%2.9%3.4%1.6M57.0M-3.1M0.783.7813,76910,790649,207634,201
2007-05-07$13.28$14.0035.1%11.1%30.8%0.0%38.6%2.6%3.2%880.0K82.7M-3.1M0.892.5621,73119,396652,982637,766
2007-05-08$13.18$14.0033.3%11.1%30.8%0.0%38.7%2.8%4.6%394.4K97.8M-3.1M2.622.9232,84386,134663,532641,404
2007-05-09$13.57$14.0034.6%11.2%32.4%0.0%39.5%2.9%3.1%2.6M18.2M-3.3M0.685.4228,46419,379683,656642,504
2007-05-10$14.05$14.0039.1%11.2%32.4%0.0%39.5%2.5%4.5%4.5M-54.5M-3.4M0.424.8967,70128,165693,933644,546
2007-05-11$14.68$14.0039.0%11.2%35.5%0.0%39.9%2.5%3.5%6.3M-165.3M-3.6M0.494.5489,74543,699723,468657,052
2007-05-14$15.36$14.0041.1%11.8%38.3%0.0%41.4%3.1%0.8%6.4M-260.7M-2.4M0.424.3696,82640,525512,701432,669
2007-05-15$15.40$14.0040.2%11.5%38.1%0.0%39.8%3.5%1.3%7.9M-301.8M-3.9M1.634.5946,24375,498775,664689,127
2007-05-16$15.58$14.0037.1%10.6%37.0%0.0%37.8%3.4%1.9%6.8M-299.2M-3.9M1.424.1724,62734,961775,932707,510
2007-05-17$15.43$14.0038.1%10.9%36.5%0.0%38.1%3.0%1.7%6.5M-267.1M-3.9M0.323.6949,28215,643777,009716,119
2007-05-18$15.59$14.0035.9%10.3%36.3%0.0%37.4%4.0%1.9%4.6M-320.1M-4.0M0.473.6724,72511,715795,628710,969
2007-05-21$15.43$14.0036.5%10.5%36.4%0.0%36.1%4.5%3.5%4.4M-173.6M-3.9M1.184.8213,38315,737708,221648,431
2007-05-22$15.42$14.0034.8%10.0%34.4%0.0%35.3%3.6%5.2%4.3M-174.0M-3.9M3.136.7319,32860,565711,976657,853
2007-05-23$15.21$14.0034.3%9.8%34.8%0.0%34.8%2.9%4.7%4.0M-151.1M-3.9M0.693.3318,10512,500715,496656,038
2007-05-24$14.88$14.0033.6%9.6%35.6%0.0%33.9%2.2%4.5%3.5M-103.2M-3.8M1.663.6725,94242,967720,138652,111
2007-05-25$14.76$15.0032.9%9.4%35.4%0.0%33.7%1.1%4.6%3.2M-79.9M-3.8M0.414.6021,5948,805722,547657,585
2007-05-29$14.60$15.0034.9%10.0%33.0%0.0%36.1%1.7%3.4%3.0M-54.3M-3.7M3.212.7918,12058,099728,672660,018
2007-05-30$14.37$15.0037.9%10.9%32.6%0.0%37.7%2.5%3.2%2.3M-19.7M-3.6M1.353.1519,05725,633723,998660,768
2007-05-31$14.27$14.0035.3%10.1%32.8%0.0%35.3%2.7%4.5%2.4M-13.3M-3.6M0.763.4119,02714,421725,661655,901