AMD Options History — June 2007 In June 2007, AMD traded between $13.51 and $14.72. ATM implied volatility averaged 39.0%. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 10.2% (HV 20d: 28.8%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.42.
Notable Days 2007-06-19 : Highest Volume — 183,847 contracts2007-06-14 : Largest IV spike — 32.0% change2007-06-07 : Largest Expected Move — 13.0%Monthly Statistics Metric Avg Min Max Open Close Price $14.04 $13.51 $14.72 $14.31 $14.30 Max Pain $14.19 $14.00 $15.00 $14.00 $14.00 ATM IV 39.0% 30.3% 46.5% 33.5% 44.0% Expected Move 11.8% 9.6% 13.0% 9.6% 12.6% HV 20d 28.8% 18.8% 36.1% 32.8% 36.1% HV 60d 30.8% 29.2% 33.3% 29.2% 33.3% Term Structure 1.0% -1.8% 5.4% 5.4% -0.5% VWIV 41.6% 33.3% 45.5% 33.3% 44.1% Skew 25d 3.3% 1.8% 5.0% 2.6% 1.8% Skew 10d 6.8% 2.2% 10.0% 2.2% 3.4% Call IV 25d 41.2% 33.7% 44.7% 33.7% 44.1% Put IV 25d 44.5% 36.3% 48.9% 36.3% 46.0% Bid-Ask Spread % 2.70 1.71 3.48 3.19 1.71 Gamma HHI 0.13 0.08 0.23 0.09 0.12 Net GEX 4.1M 255.6K 6.9M 2.4M 5.1M Net DEX -14.6M -160.4M 85.8M -20.3M -78.0M Net VEX -3.7M -4.3M -3.3M -3.6M -4.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.42 0.12 4.92 0.63 0.95 Total Volume 63,156.19 16,019 183,847 29,057 26,254 Total OI 1,517,841.333 1,393,870 1,656,590 1,393,870 1,656,590
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2007-06-01 $14.31 $14.00 33.5% 9.6% 32.8% 0.0% 33.3% 2.6% 5.4% 2.4M -20.3M -3.6M 0.63 3.19 17,857 11,200 732,318 661,552 2007-06-04 $14.17 $15.00 32.9% 11.2% 32.7% 0.0% 39.0% 5.0% 2.6% 1.9M 6.6M -3.5M 0.64 3.32 14,884 9,561 736,518 667,030 2007-06-05 $13.98 $15.00 34.5% 11.6% 32.3% 0.0% 40.7% 3.0% 2.7% 882.6K 41.2M -3.5M 2.58 3.48 24,617 63,433 739,198 672,690 2007-06-06 $13.63 $15.00 37.4% 12.2% 33.6% 0.0% 43.0% 2.5% 1.4% 255.6K 85.8M -3.4M 0.80 2.95 20,790 16,557 741,901 678,285 2007-06-07 $13.68 $15.00 46.5% 13.0% 32.0% 0.0% 45.5% 4.1% -0.7% 793.7K 66.7M -3.4M 0.12 2.19 148,561 18,068 748,187 680,976 2007-06-08 $14.07 $14.00 35.3% 12.2% 31.1% 0.0% 42.9% 2.4% 1.5% 6.9M -35.3M -3.7M 0.21 2.65 63,084 12,955 860,646 689,269 2007-06-11 $13.91 $14.00 35.6% 11.9% 26.7% 0.0% 42.1% 4.0% 0.6% 5.6M 6.2M -3.6M 0.43 2.81 11,197 4,822 869,292 690,747 2007-06-12 $13.80 $14.00 34.1% 12.0% 19.8% 0.0% 41.9% 2.1% 0.4% 5.7M 23.3M -3.5M 4.14 2.27 14,208 58,761 867,913 690,272 2007-06-13 $13.96 $14.00 30.3% 11.6% 20.5% 0.0% 40.5% 3.2% 2.4% 6.3M 1.5M -3.6M 1.89 2.50 10,502 19,809 871,158 686,083 2007-06-14 $13.78 $14.00 40.0% 11.5% 19.7% 0.0% 40.3% 3.2% 2.2% 5.6M 37.2M -3.5M 0.94 2.24 12,200 11,523 872,885 691,095 2007-06-15 $13.63 $14.00 38.5% 11.0% 19.8% 0.0% 39.2% 4.4% 2.6% 3.7M 68.3M -3.4M 0.85 2.46 16,268 13,897 877,338 695,377 2007-06-18 $13.51 $14.00 38.2% 11.0% 18.8% 0.0% 38.5% 1.8% 0.1% 2.2M 69.9M -3.3M 0.73 2.47 24,764 18,127 759,260 657,828 2007-06-19 $13.57 $14.00 38.8% 11.1% 19.2% 0.0% 40.2% 3.1% 0.5% 2.5M 60.7M -3.4M 3.34 3.21 42,359 141,488 768,675 663,135 2007-06-20 $13.64 $14.00 42.4% 12.2% 19.5% 0.0% 42.3% 3.5% -1.8% 2.8M 27.4M -3.7M 0.40 2.10 35,864 14,269 794,700 693,727 2007-06-21 $14.72 $14.00 41.1% 11.8% 34.9% 0.0% 42.4% 3.3% 0.7% 5.6M -160.4M -4.0M 0.66 2.72 80,338 52,685 818,429 698,494 2007-06-22 $14.57 $14.00 42.1% 12.1% 34.3% 0.0% 42.6% 2.9% 0.7% 6.1M -135.9M -4.1M 0.84 2.31 24,581 20,735 843,935 716,272 2007-06-25 $14.28 $14.00 43.6% 12.5% 34.8% 0.0% 43.3% 4.2% -0.1% 5.2M -76.3M -4.0M 0.75 2.82 17,015 12,790 844,023 725,749 2007-06-26 $14.18 $14.00 44.4% 12.7% 34.7% 0.0% 44.0% 3.2% -0.7% 4.6M -53.8M -4.0M 4.92 3.23 10,994 54,125 844,355 732,070 2007-06-27 $14.58 $14.00 42.6% 12.2% 35.8% 0.0% 44.9% 4.4% 0.5% 5.5M -124.5M -4.2M 1.28 2.69 36,673 47,064 848,091 742,841 2007-06-28 $14.49 $14.00 42.8% 12.3% 35.8% 0.0% 42.4% 4.3% 0.4% 5.5M -117.7M -4.3M 2.69 3.33 19,359 52,042 872,241 773,523 2007-06-29 $14.30 $14.00 44.0% 12.6% 36.1% 0.0% 44.1% 1.8% -0.5% 5.1M -78.0M -4.3M 0.95 1.71 13,475 12,779 878,338 778,252
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