AMD Options History — November 2008

In November 2008, AMD traded between $1.80 and $3.80. ATM implied volatility averaged 141.8%, placing in the 64.4% IV rank vs the trailing year. The 30-day expected move averaged 40.3%. IV traded above realized volatility by 21.0% (HV 20d: 120.8%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.67.

Notable Days

  • 2008-11-13: Highest Volume — 23,276 contracts
  • 2008-11-12: Largest IV spike — 29.5% change
  • 2008-11-20: Highest IV Rank — 99.2%
  • 2008-11-20: Largest Expected Move — 56.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.63$1.80$3.80$3.61$2.36
Max Pain$3.21$3.00$4.00$4.00$3.00
ATM IV141.8%92.8%197.8%103.1%138.1%
Expected Move40.3%26.6%56.7%29.6%39.6%
HV 20d120.8%108.6%143.0%119.7%131.4%
HV 60d116.2%109.1%128.7%109.1%128.7%
IV Rank64.4%33.9%99.2%41.4%62.1%
IV Percentile93.0%82.1%99.6%86.9%90.9%
Term Structure5.4%-11.0%24.0%-3.1%12.3%
VWIV138.1%98.5%197.4%107.9%138.2%
Skew 25d2.3%-10.8%22.5%18.4%-4.1%
Skew 10d0.2%-18.6%30.7%21.3%-17.1%
Call IV 25d141.1%89.4%197.7%102.4%142.2%
Put IV 25d143.4%108.8%197.7%120.9%138.1%
Bid-Ask Spread %3.482.065.245.242.94
Gamma HHI0.300.250.350.250.34
Net GEX-126.6K-240.7K-60.5K-232.9K-94.8K
Net DEX63.8M44.1M105.0M99.1M58.1M
Net VEX-391.7K-612.8K-234.0K-596.9K-310.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.093.110.280.09
Total Volume12,646.4213,74723,27613,85711,665
Total OI973,698.684920,6981,063,1571,058,891925,905

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-11-03$3.61$4.00103.1%29.6%119.7%41.4%107.9%18.4%-3.1%-232.9K99.1M-596.9K0.285.2410,7843,073519,095539,796
2008-11-04$3.80$4.0092.8%26.6%117.1%33.9%98.5%22.5%2.5%-240.7K105.0M-612.8K3.114.714,69314,597524,532538,625
2008-11-05$3.55$4.0099.2%28.4%111.2%37.8%107.3%14.2%-3.8%-197.8K75.0M-576.0K0.104.898,895854524,380463,968
2008-11-06$3.17$4.00109.5%31.4%117.5%44.3%112.1%-10.8%-0.0%-173.7K75.2M-485.0K2.773.503,91410,854530,111459,519
2008-11-07$3.16$3.00108.7%33.6%116.2%43.8%114.1%4.0%20.8%-175.7K74.4M-485.2K0.123.378,7831,067530,419456,873
2008-11-10$3.04$3.00118.8%33.2%109.1%50.1%112.7%4.7%23.4%-168.4K69.9M-472.1K0.233.164,4051,015528,856450,427
2008-11-11$2.96$3.00117.4%33.3%108.6%49.2%114.2%3.9%19.9%-161.1K71.0M-436.6K0.573.6814,3638,148530,798445,036
2008-11-12$2.57$3.00152.0%35.2%114.6%70.6%123.2%-2.5%24.0%-103.9K62.0M-364.6K0.252.6014,0593,494531,623430,377
2008-11-13$2.70$3.00146.6%42.0%114.3%67.3%146.7%-2.4%6.2%-89.2K62.5M-388.4K0.223.8119,1274,149537,198430,327
2008-11-14$2.43$3.00149.7%42.9%116.9%69.2%154.6%-4.7%3.8%-104.0K58.6M-355.2K0.852.786,3445,413544,056427,963
2008-11-17$2.50$3.00156.0%44.7%118.6%73.1%156.0%-0.6%9.6%-112.2K56.3M-373.5K0.764.0510,7278,157539,864428,060
2008-11-18$2.50$3.00160.5%46.0%118.5%75.9%160.4%4.4%3.7%-109.1K57.2M-373.6K0.723.776,1204,429543,369431,020
2008-11-19$2.12$3.00173.8%49.8%127.6%84.3%174.6%-2.3%9.5%-75.9K46.8M-326.6K0.442.503,5991,571544,250431,027
2008-11-20$1.91$3.00197.8%56.7%128.1%99.2%197.4%0.0%-11.0%-64.8K44.7M-283.9K0.192.5014,3942,767544,417429,481
2008-11-21$1.82$3.00191.3%54.8%126.8%95.1%191.4%-0.5%-1.9%-60.5K44.1M-258.6K0.604.623,3692,025546,762427,937
2008-11-24$1.86$3.00165.5%47.4%127.9%79.0%0.0%0.2%-9.5%-74.3K50.8M-234.0K0.752.695,0703,823506,171416,073
2008-11-25$1.80$3.00160.2%45.9%127.9%75.8%0.0%-1.0%1.1%-71.4K46.9M-239.2K0.572.062,3901,357506,649414,613
2008-11-26$2.13$3.00152.7%43.8%143.0%71.1%0.0%-0.2%-5.6%-94.1K54.7M-268.9K0.153.279,3731,415506,854413,844
2008-11-28$2.36$3.00138.1%39.6%131.4%62.1%138.2%-4.1%12.3%-94.8K58.1M-310.5K0.092.9410,697968511,678414,227