AMD Options History — September 2007

In September 2007, AMD traded between $12.61 and $13.81. ATM implied volatility averaged 44.1%, placing in the 52.8% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 6.7% (HV 20d: 37.3%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.77.

Notable Days

2007-09-27: Highest Volume — 102,434 contracts
2007-09-13: Largest IV spike — 18.5% change
2007-09-27: Highest IV Rank — 82.7%
2007-09-10: Largest Expected Move — 15.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.11	$12.61	$13.81	$13.17	$13.20
Max Pain	$13.63	$12.00	$14.00	$12.00	$14.00
ATM IV	44.1%	37.4%	51.8%	38.8%	48.4%
Expected Move	13.2%	11.1%	15.0%	11.1%	13.9%
HV 20d	37.3%	33.0%	45.5%	45.0%	33.1%
HV 60d	39.5%	37.7%	40.9%	40.3%	39.1%
IV Rank	52.8%	27.4%	82.7%	32.6%	69.3%
IV Percentile	68.1%	35.3%	96.2%	42.3%	90.9%
Term Structure	3.7%	-1.4%	9.9%	9.5%	-0.4%
VWIV	47.0%	41.0%	53.0%	41.0%	49.5%
Skew 25d	3.9%	-0.2%	8.5%	-0.2%	1.2%
Skew 10d	8.6%	0.9%	16.3%	2.2%	5.1%
Call IV 25d	46.3%	41.8%	52.8%	42.1%	49.5%
Put IV 25d	50.1%	41.9%	57.6%	41.9%	50.7%
Bid-Ask Spread %	3.79	2.80	6.58	5.39	2.99
Gamma HHI	0.11	0.10	0.13	0.11	0.12
Net GEX	1.2M	-1.3M	2.3M	1.2M	-1.3M
Net DEX	63.6M	-7.3M	114.3M	39.0M	114.3M
Net VEX	-4.2M	-4.4M	-4.1M	-4.4M	-4.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.28	3.02	0.30	0.64
Total Volume	36,746.842	9,953	102,434	50,765	30,261
Total OI	1,680,330.789	1,629,925	1,733,824	1,629,925	1,719,648

Daily Data (19 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
2007-09-04	$13.17	$12.00	38.8%	11.1%	45.0%	32.6%	41.0%	-0.2%	9.5%	1.2M	39.0M	-4.4M	0.30	5.39	39,041	11,724	802,598	827,327
2007-09-05	$12.90	$12.00	41.8%	12.0%	45.5%	44.1%	43.6%	1.3%	9.7%	1.3M	75.2M	-4.3M	0.50	6.58	22,618	11,288	813,333	829,746
2007-09-06	$12.94	$12.00	40.8%	11.7%	39.7%	40.1%	42.4%	2.0%	9.9%	1.5M	69.1M	-4.3M	0.83	4.18	9,131	7,584	819,845	830,272
2007-09-07	$12.61	$14.00	43.5%	14.7%	39.8%	50.5%	50.6%	7.7%	1.0%	904.8K	112.6M	-4.2M	0.28	3.24	24,255	6,907	821,565	832,078
2007-09-10	$12.94	$13.00	44.9%	15.0%	40.9%	56.0%	53.0%	6.6%	1.4%	1.9M	58.1M	-4.3M	0.82	3.66	26,235	21,605	836,285	832,681
2007-09-11	$12.97	$14.00	37.4%	14.5%	40.6%	27.4%	52.7%	8.5%	2.2%	1.4M	62.9M	-4.3M	0.76	4.07	26,801	20,250	833,031	842,687
2007-09-12	$12.83	$14.00	40.3%	13.9%	39.9%	38.2%	48.8%	6.5%	3.9%	1.5M	87.8M	-4.2M	0.33	3.76	17,757	5,906	843,335	848,728
2007-09-13	$12.73	$14.00	47.7%	13.7%	35.6%	66.8%	48.6%	7.1%	4.3%	1.2M	107.2M	-4.1M	0.95	3.10	12,006	11,349	848,901	850,669
2007-09-14	$12.69	$14.00	48.3%	13.9%	34.0%	69.2%	49.9%	4.8%	4.4%	895.9K	113.5M	-4.1M	1.30	3.72	10,298	13,395	842,507	853,950
2007-09-17	$12.84	$14.00	48.1%	13.8%	33.5%	68.4%	49.4%	4.9%	4.4%	1.4M	92.8M	-4.1M	0.43	4.04	6,968	2,985	843,588	859,809
2007-09-18	$13.30	$14.00	43.9%	12.6%	35.0%	52.2%	45.7%	4.9%	4.3%	2.3M	24.4M	-4.2M	0.59	3.35	20,850	12,320	844,756	857,729
2007-09-19	$13.10	$14.00	43.5%	12.5%	35.7%	50.5%	43.9%	3.3%	5.8%	2.2M	76.7M	-4.2M	0.48	3.59	20,559	9,909	847,701	860,873
2007-09-20	$13.35	$14.00	43.8%	12.6%	35.5%	51.7%	44.8%	2.8%	2.0%	2.1M	28.5M	-4.2M	0.65	4.28	32,953	21,336	847,175	863,707
2007-09-21	$13.24	$14.00	44.0%	12.6%	35.8%	52.7%	44.5%	2.8%	5.3%	1.4M	49.3M	-4.2M	1.22	4.25	24,432	29,715	854,989	878,835
2007-09-24	$13.48	$14.00	44.0%	12.6%	36.2%	52.5%	43.6%	5.2%	2.1%	478.9K	41.2M	-4.3M	0.35	2.95	18,455	6,398	791,619	856,718
2007-09-25	$13.81	$14.00	42.3%	12.1%	36.1%	45.9%	44.0%	3.5%	2.3%	1.4M	-7.3M	-4.3M	0.51	2.80	20,814	10,532	797,134	853,772
2007-09-26	$13.75	$14.00	44.1%	12.6%	34.1%	52.8%	45.3%	0.2%	-0.0%	1.3M	-4.4M	-4.3M	0.69	2.96	17,238	11,881	805,436	860,086
2007-09-27	$13.28	$14.00	51.8%	14.9%	33.0%	82.7%	52.1%	0.5%	-1.4%	467.8K	67.2M	-4.2M	3.02	3.08	25,508	76,926	810,580	862,592
2007-09-28	$13.20	$14.00	48.4%	13.9%	33.1%	69.3%	49.5%	1.2%	-0.4%	-1.3M	114.3M	-4.2M	0.64	2.99	18,508	11,753	815,156	904,492