AMD Options History — July 2009

In July 2009, AMD traded between $3.36 and $4.17. ATM implied volatility averaged 74.2%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 20.7%. IV traded above realized volatility by 13.1% (HV 20d: 61.1%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.74.

Notable Days

  • 2009-07-22: Highest Volume — 45,243 contracts
  • 2009-07-15: Largest IV drop — 32.9% change
  • 2009-07-14: Highest IV Rank — 38.6%
  • 2009-07-08: Largest Expected Move — 26.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.71$3.36$4.17$3.91$3.66
Max Pain$3.86$3.00$4.00$4.00$4.00
ATM IV74.2%55.4%107.5%72.5%55.4%
Expected Move20.7%15.9%26.6%20.8%15.9%
HV 20d61.1%49.3%75.0%51.3%72.3%
HV 60d63.4%61.2%68.3%62.2%63.1%
IV Rank16.3%3.8%38.6%15.2%3.8%
IV Percentile22.4%2.4%62.3%17.1%2.4%
Term Structure0.2%-8.6%6.5%1.5%6.5%
VWIV72.8%55.5%92.2%72.4%55.5%
Skew 25d3.3%-1.9%13.7%-1.9%13.7%
Skew 10d1.7%-24.8%26.8%-4.2%25.9%
Call IV 25d74.7%53.0%87.8%80.0%53.0%
Put IV 25d78.0%62.4%95.9%78.0%66.7%
Bid-Ask Spread %4.063.115.894.653.29
Gamma HHI0.280.170.800.310.26
Net GEX97.0K-158.2K2.0M98.4K8.5K
Net DEX22.8M14.7M31.7M17.8M22.3M
Net VEX-380.3K-420.3K-351.5K-420.3K-360.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.115.200.230.17
Total Volume15,142.3183,64045,24319,7104,436
Total OI611,752.773542,861664,487629,195583,482

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$3.91$4.0072.5%20.8%51.3%15.2%72.4%-1.9%1.5%98.4K17.8M-420.3K0.234.6516,0743,636332,072297,123
2009-07-02$3.78$4.0072.3%20.7%49.3%15.1%71.5%0.1%4.0%60.4K19.7M-415.0K0.115.895,416572334,055297,685
2009-07-06$3.55$4.0092.6%23.6%52.6%28.6%82.3%-0.4%-5.4%-19.4K26.1M-379.7K0.634.463,7552,356335,960297,585
2009-07-07$3.43$4.0090.0%25.0%53.1%26.9%87.7%1.2%-5.7%-158.2K31.7M-353.0K1.444.775,0197,246336,681297,380
2009-07-08$3.36$4.0089.5%26.6%50.4%26.6%92.2%8.1%-8.6%-92.2K31.1M-351.5K0.543.118,5244,588337,842300,499
2009-07-09$3.48$3.0087.9%25.2%52.6%25.5%86.2%2.4%-3.7%-59.8K28.2M-371.4K0.303.592,805835338,925301,111
2009-07-10$3.49$4.0083.9%25.0%52.9%22.8%84.4%0.6%-4.1%-59.3K27.6M-371.6K0.254.147,7131,894339,855301,275
2009-07-13$3.56$4.0094.6%23.2%52.5%30.0%84.0%0.9%-2.2%9.5K24.3M-383.8K0.243.865,2641,241345,725300,922
2009-07-14$3.55$3.00107.5%23.8%50.7%38.6%84.2%2.2%-2.9%-136.1K28.3M-364.7K5.203.792,71814,131348,467301,107
2009-07-15$3.86$3.0072.2%22.0%59.7%15.0%78.7%6.7%1.7%264.2K18.6M-410.6K0.704.6815,98711,217349,382308,430
2009-07-16$3.92$4.0077.4%22.2%60.0%18.5%78.4%2.6%-0.5%535.8K18.5M-406.6K0.534.587,3593,888352,791311,696
2009-07-17$4.00$4.0073.0%20.9%56.6%15.5%73.8%1.6%3.0%2.0M14.7M-399.8K0.594.1110,4496,169351,397310,785
2009-07-20$4.17$4.0071.5%20.5%58.4%14.5%71.9%3.4%-2.4%-126.8K17.2M-394.7K0.163.9423,7853,846255,641287,220
2009-07-21$4.08$4.0074.3%21.3%53.1%16.4%75.7%2.4%-3.7%-76.3K16.2M-397.5K0.264.4531,4718,333269,563288,494
2009-07-22$3.55$4.0063.4%18.2%73.7%9.1%64.9%2.0%2.6%-76.0K28.3M-353.6K0.463.7731,01514,228287,394292,740
2009-07-23$3.59$4.0063.2%18.1%73.0%9.0%64.5%4.3%1.1%-83.7K28.0M-367.1K2.253.255,43012,193283,357296,191
2009-07-24$3.77$4.0058.4%16.7%75.0%5.7%59.1%0.0%4.2%-20.4K20.4M-386.3K0.494.0920,3449,882285,518292,610
2009-07-27$3.80$4.0058.3%16.7%75.0%5.7%58.5%4.3%4.8%8.2K21.1M-381.7K0.333.854,5151,503287,507292,490
2009-07-28$3.77$4.0056.1%16.1%74.5%4.2%56.1%5.5%5.5%36.1K18.6M-372.8K0.354.113,5501,249288,963285,007
2009-07-29$3.71$4.0061.2%17.5%73.3%7.6%61.3%-0.1%2.4%1.6K19.9M-370.9K0.263.412,967758290,733285,380
2009-07-30$3.66$4.0056.8%16.3%73.2%4.7%57.6%13.7%5.5%-1.8K23.4M-353.0K0.713.452,7971,973291,988285,533
2009-07-31$3.66$4.0055.4%15.9%72.3%3.8%55.5%13.7%6.5%8.5K22.3M-360.0K0.173.293,784652292,860290,622