AMD Options History — September 2008

In September 2008, AMD traded between $4.29 and $6.34. ATM implied volatility averaged 102.5%, placing in the 69.7% IV rank vs the trailing year. The 30-day expected move averaged 30.5%. IV traded above realized volatility by 40.4% (HV 20d: 62.1%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2008-09-10: Highest Volume — 41,678 contracts
  • 2008-09-29: Largest IV spike — 70.2% change
  • 2008-09-16: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 57.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.44$4.29$6.34$6.34$5.25
Max Pain$5.86$5.00$6.00$5.00$6.00
ATM IV102.5%53.5%199.2%53.5%126.6%
Expected Move30.5%15.3%57.1%15.3%36.3%
HV 20d62.1%40.4%123.6%40.4%123.6%
HV 60d66.6%61.6%88.4%64.0%88.4%
IV Rank69.7%25.7%100.0%25.7%56.3%
IV Percentile84.3%34.9%100.0%34.9%98.8%
Term Structure-14.6%-56.7%19.2%15.8%-11.8%
VWIV106.8%53.1%189.4%53.1%134.6%
Skew 25d15.7%5.2%40.9%5.2%25.6%
Skew 10d29.2%8.0%60.5%8.0%46.4%
Call IV 25d102.4%51.5%173.5%51.5%139.3%
Put IV 25d118.0%56.7%214.4%56.7%164.8%
Bid-Ask Spread %5.522.409.393.238.51
Gamma HHI0.180.140.230.180.18
Net GEX40.4K-194.2K355.0K252.0K-174.9K
Net DEX83.5M52.1M118.5M52.1M118.5M
Net VEX-1.2M-1.3M-958.9K-1.3M-958.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.182.270.420.44
Total Volume21,874.7145,25741,67824,94317,977
Total OI1,222,113.1431,175,2481,266,2861,212,6591,204,394

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$6.34$5.0053.5%15.3%40.4%25.7%53.1%5.2%15.8%252.0K52.1M-1.3M0.423.2317,5347,409609,331603,328
2008-09-03$6.15$5.0054.2%15.5%43.6%26.6%54.5%6.8%15.1%180.1K65.2M-1.3M0.673.657,4825,009608,292607,880
2008-09-04$5.84$5.0057.5%16.5%48.2%30.7%58.1%8.7%19.2%63.6K79.0M-1.3M0.282.4015,1414,289606,026609,581
2008-09-05$5.96$6.0058.3%22.4%46.4%31.7%78.0%7.5%-4.7%154.7K70.9M-1.3M0.945.4720,54319,394614,498609,877
2008-09-08$6.07$6.0063.9%24.6%46.3%38.8%85.1%10.5%-9.2%184.1K67.0M-1.3M1.913.6411,16921,369618,686622,727
2008-09-09$5.77$6.0075.0%25.6%50.8%52.7%88.6%9.8%-10.4%131.5K81.9M-1.2M0.345.6516,6235,672620,919616,469
2008-09-10$5.78$6.0077.4%28.7%50.5%55.6%105.7%16.1%-16.9%257.9K72.8M-1.3M2.053.5113,66428,014628,352617,208
2008-09-11$5.71$6.0099.0%28.4%50.6%82.8%102.1%16.9%-16.4%316.3K76.7M-1.2M1.004.648,6068,579628,959607,221
2008-09-12$5.75$6.0096.9%27.8%49.8%80.2%96.6%18.1%-15.3%355.0K73.3M-1.3M0.335.153,9631,294631,395609,076
2008-09-15$5.18$6.00110.3%31.6%58.4%97.0%107.6%16.6%-21.0%90.5K95.2M-1.1M2.275.886,37914,505632,388609,419
2008-09-16$5.26$6.00114.6%32.9%55.7%100.0%114.5%12.7%-21.2%121.7K91.3M-1.1M1.216.2018,79922,691634,996607,417
2008-09-17$4.90$6.00135.4%38.8%57.6%100.0%143.1%18.3%-36.3%-83.0K91.6M-1.1M1.906.796,93313,140637,428620,458
2008-09-18$5.30$6.00128.8%36.9%64.4%93.5%125.3%23.6%-28.8%26.4K82.9M-1.2M0.699.3914,0859,705637,681622,735
2008-09-19$5.42$6.00116.4%33.4%64.9%81.5%115.3%14.2%-21.2%-140.0K84.0M-1.2M0.465.289,2304,265640,096626,190
2008-09-22$4.99$6.00119.4%34.2%70.6%84.4%120.8%14.3%-19.9%-193.8K92.8M-1.1M0.534.287,4834,000583,788591,460
2008-09-23$4.94$6.00119.9%34.4%69.8%84.9%123.4%18.6%-19.3%-188.6K94.9M-1.1M0.976.236,3936,217588,391588,909
2008-09-24$4.88$6.00117.7%33.8%69.7%82.7%120.8%15.5%-17.8%-194.2K96.5M-1.0M0.786.157,5645,906590,630592,365
2008-09-25$5.23$6.00111.0%31.8%74.3%76.1%109.2%13.9%-14.3%-117.5K91.6M-1.1M0.184.6624,3014,405593,185592,232
2008-09-26$5.16$6.00117.0%33.6%73.1%82.0%116.5%15.2%-16.4%-59.6K92.3M-1.1M0.876.499,1667,950606,703593,945
2008-09-29$4.29$6.00199.2%57.1%95.5%100.0%189.4%40.9%-56.7%-133.0K82.5M-973.6K1.118.7410,65511,866601,853597,888
2008-09-30$5.25$6.00126.6%36.3%123.6%56.3%134.6%25.6%-11.8%-174.9K118.5M-958.9K0.448.5112,4765,501604,207600,187