AMD Options History — March 2009

In March 2009, AMD traded between $2.01 and $3.56. ATM implied volatility averaged 104.5%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 30.2%. IV traded above realized volatility by 11.8% (HV 20d: 92.7%). Max pain ranged from $3.00 to $3.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2009-03-25: Highest Volume — 57,572 contracts
  • 2009-03-05: Largest IV spike — 56.0% change
  • 2009-03-06: Highest IV Rank — 52.3%
  • 2009-03-30: Largest Expected Move — 34.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.67$2.01$3.56$2.01$3.05
Max Pain$3.00$3.00$3.00$3.00$3.00
ATM IV104.5%57.3%122.4%87.9%112.8%
Expected Move30.2%16.4%34.8%25.2%32.3%
HV 20d92.7%81.0%105.8%81.0%105.6%
HV 60d97.9%93.2%102.9%94.5%101.7%
IV Rank41.2%11.8%52.3%30.8%46.3%
IV Percentile65.6%17.1%82.9%55.2%71.0%
Term Structure-6.7%-18.0%6.1%5.3%-5.4%
VWIV110.7%104.0%120.1%112.3%114.0%
Skew 25d3.1%-5.9%18.2%-1.7%5.2%
Skew 10d1.7%-15.4%32.0%-8.8%9.4%
Call IV 25d111.3%100.0%120.4%115.7%118.9%
Put IV 25d114.4%103.8%131.9%114.0%124.1%
Bid-Ask Spread %4.613.3010.0310.034.14
Gamma HHI0.250.170.320.320.18
Net GEX1.5K-55.9K104.2K-50.2K70.9K
Net DEX17.7M245.0K25.7M24.6M11.3M
Net VEX-277.2K-409.8K-192.8K-192.8K-350.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.075.250.480.32
Total Volume12,084.27395557,5725,5354,608
Total OI465,093435,605516,915444,840516,915

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$2.01$3.0087.9%25.2%81.0%30.8%0.0%-1.7%5.3%-50.2K24.6M-192.8K0.4810.033,7301,805213,110231,730
2009-03-03$2.07$3.0088.7%25.4%81.7%31.4%0.0%18.2%-9.7%-48.2K23.5M-200.7K0.805.07710570215,946231,033
2009-03-04$2.30$3.0057.3%16.4%89.7%11.8%0.0%-1.3%6.1%-55.1K25.7M-219.3K0.464.41910416216,197231,076
2009-03-05$2.16$3.0089.3%25.6%92.0%31.7%0.0%-0.6%2.9%-50.8K25.3M-203.0K0.705.15561394216,559231,083
2009-03-06$2.14$3.00122.4%32.3%90.7%52.3%112.3%0.5%-11.3%-46.3K24.2M-208.5K1.093.639931,084216,628231,239
2009-03-09$2.14$3.00110.3%33.0%90.2%44.8%112.8%-0.9%-13.6%-39.9K21.2M-209.8K3.523.306592,322216,466219,139
2009-03-10$2.32$3.0088.4%30.6%95.0%31.1%106.8%-1.4%-8.2%-50.8K23.3M-214.3K0.734.721,107806216,821220,838
2009-03-11$2.31$3.0099.5%30.3%85.6%38.0%105.8%-1.1%-8.4%-55.9K25.2M-208.1K0.654.752,6981,761217,073221,039
2009-03-12$2.40$3.00104.0%29.8%86.3%40.8%104.0%-2.5%-7.9%-54.9K24.9M-220.4K0.604.472,8151,698219,083222,486
2009-03-13$2.52$3.00111.0%31.8%85.5%45.2%111.1%-3.5%-10.6%-53.2K22.6M-250.2K0.073.6825,2671,706220,687223,871
2009-03-16$2.48$3.00113.5%32.5%83.3%46.8%113.7%-2.8%-18.0%-35.1K22.6M-245.6K0.354.744,8421,712229,197224,400
2009-03-17$2.76$3.00105.8%30.3%90.8%42.0%106.2%-5.9%-9.0%17.8K19.8M-279.7K0.293.3010,5143,000238,410225,083
2009-03-18$2.97$3.00107.6%30.8%88.2%43.1%107.6%-2.1%-12.2%64.8K18.0M-296.3K0.173.956,4441,069240,434225,959
2009-03-19$2.96$3.00106.6%30.6%86.4%42.5%106.7%-2.3%-9.2%74.6K16.4M-306.0K0.354.698,0712,833242,637226,453
2009-03-20$2.67$3.00108.4%31.1%94.2%43.6%110.0%-5.1%-2.4%9.4K15.1M-290.1K1.814.676,62212,018241,709227,514
2009-03-23$3.02$3.00105.7%30.3%101.5%41.9%105.2%17.8%5.8%17.1K13.1M-326.5K5.254.117,20537,795236,007228,491
2009-03-24$3.14$3.00110.6%31.7%101.2%44.9%109.4%18.0%-3.4%20.3K11.4M-346.5K0.925.006,9046,322239,521236,273
2009-03-25$3.17$3.00115.3%33.1%100.8%47.9%113.8%10.7%-3.4%26.9K10.1M-351.8K0.244.0646,47211,100241,958239,248
2009-03-26$3.56$3.00112.2%32.2%102.1%45.9%114.8%3.3%-12.4%104.2K245.0K-409.8K0.214.3119,0863,951264,891243,533
2009-03-27$3.37$3.00121.0%34.7%105.8%51.4%117.5%14.4%-12.6%92.1K2.8M-397.8K0.383.334,8911,874270,242245,108
2009-03-30$3.19$3.00121.5%34.8%102.8%51.8%120.1%11.5%-9.0%74.8K7.7M-369.5K0.435.864,5541,955270,447245,512
2009-03-31$3.05$3.00112.8%32.3%105.6%46.3%114.0%5.2%-5.4%70.9K11.3M-350.8K0.324.143,4941,114270,526246,389