AMD Options History — December 2008

In December 2008, AMD traded between $1.96 and $2.29. ATM implied volatility averaged 134.2%, placing in the 59.6% IV rank vs the trailing year. The 30-day expected move averaged 37.5%. IV traded above realized volatility by 9.9% (HV 20d: 124.3%). Max pain ranged from $3.00 to $7.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.58.

Notable Days

  • 2008-12-16: Highest Volume — 17,983 contracts
  • 2008-12-08: Largest IV spike — 24.6% change
  • 2008-12-08: Highest IV Rank — 96.6%
  • 2008-12-02: Largest Expected Move — 49.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.15$1.96$2.29$2.00$2.16
Max Pain$5.93$3.00$7.50$3.00$6.00
ATM IV134.2%107.2%193.6%173.3%127.7%
Expected Move37.5%30.7%49.8%49.7%36.6%
HV 20d124.3%79.9%143.7%141.1%80.4%
HV 60d129.2%116.1%133.9%132.1%116.1%
IV Rank59.6%42.9%96.6%83.9%55.6%
IV Percentile85.7%74.6%99.2%96.8%85.7%
Term Structure-0.3%-19.8%12.6%-10.3%-4.4%
VWIV123.1%107.2%141.1%141.1%127.8%
Skew 25d-7.2%-15.6%7.2%-0.1%7.2%
Skew 10d-16.4%-28.5%9.6%-0.1%9.6%
Call IV 25d137.9%113.6%174.0%173.3%116.1%
Put IV 25d130.6%107.2%173.6%173.2%123.3%
Bid-Ask Spread %1.771.152.421.621.54
Gamma HHI0.290.260.320.270.30
Net GEX-75.6K-99.6K-52.8K-82.4K-53.9K
Net DEX55.1M49.7M61.1M49.7M54.8M
Net VEX-254.0K-290.4K-201.0K-271.9K-234.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.052.490.340.34
Total Volume7,488.63684717,9834,5107,647
Total OI923,625907,027936,724929,357915,006

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$2.00$3.00173.3%49.7%141.1%83.9%0.0%-0.1%-10.3%-82.4K49.7M-271.9K0.341.623,3661,144514,882414,475
2008-12-02$2.03$3.00173.8%49.8%140.3%84.2%0.0%-0.4%-19.8%-85.1K52.4M-260.4K0.311.966,0251,848513,878414,278
2008-12-03$2.20$3.00156.9%45.0%142.9%73.7%0.0%-8.3%-4.4%-99.6K54.3M-290.4K0.052.0012,025631518,025412,929
2008-12-04$2.08$3.00168.8%48.4%142.5%81.1%0.0%-1.3%-16.5%-86.1K52.3M-273.0K0.441.914,9632,183524,127412,597
2008-12-05$2.13$7.50155.4%39.7%139.7%72.8%141.1%-12.2%-7.2%-83.3K52.5M-268.1K1.301.374,7526,192524,256404,089
2008-12-08$2.10$7.50193.6%38.9%139.6%96.6%135.8%-11.6%-5.8%-79.0K54.8M-252.6K0.541.153,6741,998525,161404,374
2008-12-09$2.27$7.50149.8%37.0%143.7%69.3%133.8%-15.6%0.9%-94.9K55.5M-289.7K0.601.506,9584,187527,368404,550
2008-12-10$2.20$7.50116.7%38.6%143.7%48.8%136.6%-9.0%-4.9%-92.8K52.4M-284.4K0.231.435,2411,201528,007400,646
2008-12-11$2.20$6.00133.9%38.4%135.8%59.4%136.8%-12.8%-4.8%-89.7K53.0M-280.8K0.551.431,320728529,494399,911
2008-12-12$2.28$7.50118.7%34.0%135.1%50.0%119.4%-13.2%4.7%-93.8K57.4M-271.7K2.491.431,6874,196527,288398,872
2008-12-15$2.21$7.50124.4%35.7%130.5%53.5%124.6%-10.5%1.7%-89.5K56.7M-253.0K0.491.722,4201,198527,138397,970
2008-12-16$2.25$7.50116.9%33.5%130.2%48.9%116.9%-9.6%8.5%-89.6K58.3M-255.6K0.122.1716,0741,909527,704397,740
2008-12-17$2.29$6.00114.5%32.8%130.5%47.4%114.9%-14.7%11.2%-73.7K57.0M-274.7K0.792.171,2781,014533,884396,095
2008-12-18$2.23$6.00110.1%31.6%116.4%44.6%110.1%-11.6%12.2%-70.0K58.0M-252.4K0.392.063,9591,563534,227396,297
2008-12-19$2.27$6.00107.2%30.7%109.4%42.9%107.2%-11.4%12.6%-67.4K61.1M-246.0K0.142.082,698367536,751396,240
2008-12-22$2.02$6.00118.1%33.9%116.5%49.6%118.2%-4.6%3.2%-54.5K54.2M-218.3K0.331.964,6991,533517,713394,150
2008-12-23$1.96$6.00114.3%32.8%117.0%47.2%114.4%-3.7%8.6%-52.8K53.3M-216.1K0.161.733,921630520,232391,827
2008-12-24$1.99$6.00115.1%33.0%116.3%47.8%115.2%-3.5%3.1%-54.2K55.4M-201.0K0.091.4277968519,333390,132
2008-12-26$2.18$6.00108.8%31.2%104.6%43.8%108.8%5.8%10.7%-58.5K57.4M-227.4K0.161.729,0771,457519,109390,117
2008-12-29$2.10$6.00126.2%36.2%98.2%54.6%126.2%-7.4%-3.9%-54.3K55.2M-227.1K1.992.253,6247,212521,378390,473
2008-12-30$2.21$6.00128.7%36.9%79.9%56.2%128.7%-10.7%-1.7%-57.5K56.0M-239.2K0.812.429,5727,732522,106384,921
2008-12-31$2.16$6.00127.7%36.6%80.4%55.6%127.8%7.2%-4.4%-53.9K54.8M-234.6K0.341.545,7091,938529,094385,912