AMD Options History — January 2009

In January 2009, AMD traded between $2.00 and $2.78. ATM implied volatility averaged 111.3%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 30.4%. IV traded above realized volatility by 7.6% (HV 20d: 103.7%). Max pain ranged from $3.00 to $6.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2009-01-06: Highest Volume — 21,047 contracts
  • 2009-01-15: Largest IV spike — 35.8% change
  • 2009-01-16: Highest IV Rank — 77.0%
  • 2009-01-06: Largest Expected Move — 34.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.34$2.00$2.78$2.38$2.19
Max Pain$4.50$3.00$6.00$6.00$3.00
ATM IV111.3%92.5%162.2%119.4%93.8%
Expected Move30.4%26.5%34.3%34.2%26.9%
HV 20d103.7%82.7%121.2%82.7%120.9%
HV 60d117.4%114.4%120.9%116.7%116.9%
IV Rank45.4%33.7%77.0%50.4%34.5%
IV Percentile73.0%61.9%94.4%82.1%62.3%
Term Structure13.5%-5.6%22.7%-1.7%21.8%
VWIV105.7%92.5%119.8%119.4%93.8%
Skew 25d0.3%-21.1%20.2%-21.1%-0.9%
Skew 10d-2.4%-35.6%27.5%-35.6%-4.1%
Call IV 25d106.8%90.5%140.5%140.5%94.7%
Put IV 25d107.2%92.5%133.3%119.4%93.8%
Bid-Ask Spread %3.431.565.822.003.97
Gamma HHI0.250.210.290.250.28
Net GEX-48.4K-70.7K-11.1K-46.0K-62.2K
Net DEX41.5M20.3M61.3M58.2M23.6M
Net VEX-254.9K-312.1K-215.8K-258.2K-230.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.094.650.160.44
Total Volume9,297.61,07121,04714,1292,930
Total OI701,211.15413,198941,936915,912425,315

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$2.38$6.00119.4%34.2%82.7%50.4%119.4%-21.1%-1.7%-46.0K58.2M-258.2K0.162.0012,2251,904531,042384,870
2009-01-05$2.67$6.00117.8%33.8%88.3%49.5%107.9%1.2%13.6%-33.5K61.3M-286.5K0.311.857,8272,396538,168385,004
2009-01-06$2.78$6.00119.8%34.3%88.8%50.7%119.8%-14.4%-5.6%-32.7K58.2M-312.1K0.742.0412,0878,960539,194384,111
2009-01-07$2.66$6.00110.7%31.7%90.6%45.0%110.7%20.2%3.1%-23.5K58.8M-294.8K0.822.018,5786,996542,502388,123
2009-01-08$2.74$6.00104.0%29.8%87.6%40.9%0.0%0.1%7.3%-70.7K55.6M-300.1K0.872.087,1996,252543,037390,878
2009-01-09$2.69$6.0099.9%28.6%86.9%38.3%0.0%0.4%9.5%-57.7K54.5M-301.8K0.621.565,1853,203545,722393,714
2009-01-12$2.52$4.00110.6%31.8%90.9%45.0%109.6%4.1%12.3%-16.3K57.9M-286.6K0.874.862,9292,535548,505393,431
2009-01-13$2.38$4.00113.0%31.7%92.9%46.4%110.3%3.7%13.3%-11.1K55.5M-268.0K1.323.758,16910,816548,837385,338
2009-01-14$2.15$4.00113.8%33.2%99.4%46.9%114.8%4.0%17.7%-54.0K53.1M-244.6K0.284.885,2501,448553,733384,159
2009-01-15$2.26$4.00154.5%30.2%100.9%72.3%105.4%0.3%19.0%-54.8K55.4M-251.9K0.874.734,5523,975554,556380,442
2009-01-16$2.29$4.00162.2%30.5%100.8%77.0%104.6%1.8%11.8%-57.4K57.0M-250.3K1.435.821,6022,286554,679376,565
2009-01-20$2.00$4.00112.6%32.3%111.4%46.2%112.7%0.1%10.8%-50.1K20.3M-218.0K0.232.703,288764187,152226,046
2009-01-21$2.25$4.0099.8%28.6%119.5%38.3%99.8%-0.1%17.7%-60.0K23.7M-236.9K0.142.892,450336188,835225,497
2009-01-22$2.02$4.00110.5%31.7%118.4%44.9%110.2%0.6%11.2%-48.4K21.1M-215.8K0.163.551,883303189,848225,667
2009-01-23$2.07$4.00102.6%29.4%118.2%40.0%101.9%8.1%19.4%-51.1K21.7M-219.7K0.094.3918,3791,576190,238225,509
2009-01-26$2.01$4.00100.3%28.8%118.6%38.6%100.4%-0.7%22.4%-48.0K21.2M-217.1K4.654.471,7848,303195,150226,588
2009-01-27$2.14$4.0094.5%27.1%116.1%35.0%95.0%-1.0%21.5%-59.8K23.1M-231.1K0.393.851,283502195,274231,304
2009-01-28$2.35$4.0092.5%26.5%119.9%33.7%92.5%0.7%22.6%-68.1K25.0M-243.7K0.553.579,4955,231192,210228,244
2009-01-29$2.20$3.0094.2%27.0%121.2%34.8%94.0%-0.6%22.7%-62.6K24.0M-229.3K0.673.65641430194,420230,316
2009-01-30$2.19$3.0093.8%26.9%120.9%34.5%93.8%-0.9%21.8%-62.2K23.6M-230.6K0.443.972,032898194,689230,626