AMD Options History — February 2009

In February 2009, AMD traded between $2.02 and $2.42. ATM implied volatility averaged 92.4%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 26.5%. IV traded below realized volatility by 5.9% (HV 20d: 98.2%). Max pain ranged from $3.00 to $3.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.51.

Notable Days

  • 2009-02-05: Highest Volume — 7,646 contracts
  • 2009-02-25: Largest IV spike — 37.2% change
  • 2009-02-10: Highest IV Rank — 45.8%
  • 2009-02-18: Largest Expected Move — 30.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.21$2.02$2.42$2.15$2.18
Max Pain$3.00$3.00$3.00$3.00$3.00
ATM IV92.4%75.3%112.0%95.9%104.7%
Expected Move26.5%21.6%30.6%27.5%30.0%
HV 20d98.2%75.7%115.6%115.6%75.7%
HV 60d108.9%93.0%116.3%116.3%93.0%
IV Rank33.6%23.0%45.8%35.8%41.3%
IV Percentile59.6%46.0%72.6%63.1%67.5%
Term Structure3.8%-7.1%24.3%24.3%-0.8%
VWIV97.2%87.4%107.9%95.6%107.9%
Skew 25d0.8%-1.5%20.3%-0.2%-0.5%
Skew 10d-1.7%-8.8%24.7%-1.3%-7.0%
Call IV 25d100.7%91.3%114.2%96.1%103.9%
Put IV 25d101.5%93.1%120.3%95.9%103.4%
Bid-Ask Spread %5.962.799.743.764.55
Gamma HHI0.310.270.330.270.31
Net GEX-56.1K-62.3K-49.4K-57.7K-53.8K
Net DEX24.4M23.1M25.7M23.3M25.7M
Net VEX-226.9K-258.9K-204.4K-227.9K-210.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.052.140.611.68
Total Volume2,841.8425487,6469591,423
Total OI438,845.368426,932447,266426,932444,625

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-02-02$2.15$3.0095.9%27.5%115.6%35.8%95.6%-0.2%24.3%-57.7K23.3M-227.9K0.613.76596363195,665231,267
2009-02-03$2.21$3.0095.4%27.4%107.4%35.5%95.4%0.2%21.8%-62.0K24.4M-232.2K0.103.5580382195,793231,493
2009-02-04$2.27$3.0095.9%27.5%106.7%35.8%95.6%0.3%24.1%-62.1K24.2M-238.7K0.112.793,362366196,197231,561
2009-02-05$2.36$0.0075.3%21.6%107.2%23.0%0.0%-0.7%-2.6%-62.3K24.0M-251.8K0.159.746,664982197,824231,679
2009-02-06$2.41$3.0085.8%25.0%106.9%29.6%87.4%1.8%5.7%-61.1K24.3M-258.9K0.336.342,151703202,564232,332
2009-02-09$2.36$3.0087.0%26.3%106.9%30.3%0.0%0.9%1.8%-60.8K25.4M-244.6K0.268.372,089546203,685232,402
2009-02-10$2.11$3.00112.0%23.8%111.5%45.8%102.0%-0.4%1.3%-53.2K23.6M-215.6K0.176.566,2971,096204,985232,203
2009-02-11$2.15$3.0075.3%28.6%110.4%23.0%0.0%-0.7%-1.4%-52.7K24.2M-218.5K0.294.591,085312206,950232,339
2009-02-12$2.28$3.0093.2%26.7%106.4%34.1%93.6%0.2%4.0%-56.8K25.3M-228.3K0.547.451,013549207,530232,532
2009-02-13$2.42$3.0093.9%26.9%107.0%34.6%93.9%-1.2%2.1%-57.1K25.3M-247.5K0.658.492,3191,512207,504232,900
2009-02-17$2.37$3.00103.0%29.5%107.3%40.3%103.2%-1.5%-1.7%-56.0K24.7M-243.2K0.108.373,274336208,130234,117
2009-02-18$2.20$3.00106.7%30.6%98.8%42.5%107.9%0.3%-1.8%-55.3K23.9M-226.3K2.146.159041,934210,894234,096
2009-02-19$2.12$3.0088.8%25.5%90.3%31.4%0.0%20.3%0.1%-52.2K23.1M-218.9K0.797.46307241211,138233,182
2009-02-20$2.03$3.0093.5%26.8%82.9%34.3%0.0%-0.8%-2.6%-49.4K23.4M-206.6K0.295.611,245355211,080234,505
2009-02-23$2.02$3.0084.5%24.2%82.4%28.8%0.0%-0.2%4.4%-49.4K23.5M-204.4K0.114.95886100209,837232,926
2009-02-24$2.12$3.0076.0%21.8%83.5%23.4%0.0%-0.3%7.4%-54.4K25.1M-209.9K0.114.172,997321210,067233,016
2009-02-25$2.22$3.00104.2%29.9%82.1%41.0%0.0%-0.8%-7.1%-56.1K25.4M-221.0K1.144.792,3182,646211,447232,331
2009-02-26$2.09$3.0084.3%24.2%77.4%28.6%0.0%-0.8%-7.1%-52.6K24.9M-206.6K0.055.481,72989212,647234,619
2009-02-27$2.18$3.00104.7%30.0%75.7%41.3%0.0%-0.5%-0.8%-53.8K25.7M-210.6K1.684.55531892213,533231,092