AMD Options History — May 2009

In May 2009, AMD traded between $3.82 and $4.71. ATM implied volatility averaged 83.3%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 23.2%. IV traded above realized volatility by 12.5% (HV 20d: 70.7%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.61.

Notable Days

  • 2009-05-13: Highest Volume — 134,466 contracts
  • 2009-05-12: Largest IV spike — 55.6% change
  • 2009-05-12: Highest IV Rank — 55.8%
  • 2009-05-13: Largest Expected Move — 32.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.30$3.82$4.71$3.82$4.54
Max Pain$3.95$3.00$4.00$3.00$4.00
ATM IV83.3%67.8%129.0%74.3%79.2%
Expected Move23.2%19.4%32.1%21.3%22.7%
HV 20d70.7%64.5%74.4%64.5%74.4%
HV 60d84.6%79.8%87.7%85.5%79.8%
IV Rank27.2%17.3%55.8%22.4%24.5%
IV Percentile37.6%20.6%85.7%31.7%32.5%
Term Structure8.5%1.2%19.6%19.6%2.5%
VWIV80.7%70.1%114.8%74.0%76.9%
Skew 25d-1.0%-16.6%7.4%3.9%-10.4%
Skew 10d10.7%-33.4%46.3%-0.1%43.2%
Call IV 25d82.9%71.2%118.4%84.6%81.8%
Put IV 25d81.9%60.6%111.1%88.5%71.4%
Bid-Ask Spread %4.683.6110.6210.626.89
Gamma HHI0.290.140.680.250.24
Net GEX357.0K-28.9K1.4M46.1K574.0K
Net DEX-5.9M-23.3M11.4M8.1M-17.5M
Net VEX-466.7K-520.3K-383.7K-383.7K-504.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.062.450.120.24
Total Volume31,226.455,432134,46635,14410,016
Total OI559,105.55458,810620,784458,810615,890

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$3.82$3.0074.3%21.3%64.5%22.4%74.0%3.9%19.6%46.1K8.1M-383.7K0.1210.6231,3833,761231,318227,492
2009-05-04$4.26$4.0082.3%23.0%69.1%27.4%79.1%7.4%5.5%154.8K-2.1M-416.4K0.554.3040,27822,285242,644228,319
2009-05-05$4.32$4.0076.4%22.2%68.8%22.7%76.6%4.3%2.7%212.9K-2.8M-437.9K0.263.618,3902,191257,764243,187
2009-05-06$4.31$4.0074.1%21.2%67.6%21.3%72.8%6.1%3.2%217.8K581.5K-427.3K2.454.144,51711,080259,141242,029
2009-05-07$4.01$4.0074.7%21.1%70.4%21.6%73.3%6.3%3.7%136.1K8.6M-407.6K2.345.259,74522,771259,494249,182
2009-05-08$3.93$4.0069.7%21.5%70.7%18.5%74.8%6.0%1.2%122.9K11.4M-406.7K0.433.668,8693,847258,756258,403
2009-05-11$4.22$4.0082.9%23.9%73.0%26.8%83.9%-0.9%3.8%163.3K2.5M-436.3K0.083.8839,3113,279260,658259,246
2009-05-12$4.35$4.00129.0%25.7%73.4%55.8%91.5%-2.6%7.9%-28.9K-6.6M-464.3K0.153.8360,2709,010278,193260,787
2009-05-13$4.38$4.00125.9%32.1%69.6%53.9%114.8%-7.3%8.5%372.2K-10.7M-469.6K0.433.9294,33540,131298,497263,497
2009-05-14$4.24$4.00101.9%29.2%70.6%38.7%102.3%-1.0%13.5%524.6K-13.4M-492.5K0.674.4017,36111,677352,690266,440
2009-05-15$4.01$4.0090.0%25.8%74.2%31.3%90.6%-0.8%8.0%1.4M-1.4M-462.0K0.203.9034,4936,943352,131268,653
2009-05-18$4.14$4.0083.9%24.1%68.5%27.4%84.9%-0.8%10.2%270.7K-3.0M-477.9K0.724.408,6546,273320,078259,275
2009-05-19$4.39$4.0078.5%22.5%70.6%24.1%78.9%0.1%12.0%341.3K-11.0M-506.4K0.324.1014,6964,728322,827261,942
2009-05-20$4.50$4.0075.2%21.6%70.2%22.0%75.4%-1.1%11.2%398.2K-14.5M-514.4K0.364.9916,1205,879326,710263,701
2009-05-21$4.34$4.0072.9%20.9%70.5%20.5%73.3%-0.3%12.8%355.3K-6.2M-495.5K0.874.154,6274,048326,061265,707
2009-05-22$4.26$4.0067.8%19.4%71.0%17.3%70.2%-16.6%17.8%353.6K-4.7M-487.1K1.274.575,3786,838329,211266,841
2009-05-26$4.53$4.0074.5%21.4%72.8%21.5%72.9%-5.5%10.1%443.9K-13.5M-503.0K0.424.653,8231,609330,713266,735
2009-05-27$4.71$4.0074.0%21.2%72.4%21.2%70.1%-2.9%10.3%490.6K-19.5M-520.2K0.064.5130,3981,835330,880267,110
2009-05-28$4.70$4.0078.5%22.5%72.5%24.0%78.2%-5.0%6.1%549.4K-23.3M-520.3K0.293.7910,6303,050342,018267,891
2009-05-29$4.54$4.0079.2%22.7%74.4%24.5%76.9%-10.4%2.5%574.0K-17.5M-504.2K0.246.898,0991,917347,530268,360