AMD Options History — August 2009

In August 2009, AMD traded between $3.52 and $4.47. ATM implied volatility averaged 61.6%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 9.1% (HV 20d: 52.5%). Max pain ranged from $4.00 to $4.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2009-08-28: Highest Volume — 88,203 contracts
  • 2009-08-31: Largest IV spike — 18.9% change
  • 2009-08-12: Highest IV Rank — 15.2%
  • 2009-08-17: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.80$3.52$4.47$3.74$4.36
Max Pain$4.00$4.00$4.00$4.00$4.00
ATM IV61.6%46.1%72.6%55.8%61.7%
Expected Move17.6%13.2%19.9%16.0%17.7%
HV 20d52.5%29.3%69.0%69.0%45.9%
HV 60d57.4%53.9%61.6%61.6%57.5%
IV Rank8.2%0.0%15.2%4.0%10.2%
IV Percentile9.1%0.0%17.9%2.8%8.3%
Term Structure9.0%1.5%15.1%6.3%4.4%
VWIV62.8%48.4%71.6%56.0%67.8%
Skew 25d-4.6%-18.1%7.1%7.1%-9.3%
Skew 10d-6.9%-34.6%31.4%-1.7%-34.6%
Call IV 25d69.1%59.0%77.4%63.2%70.1%
Put IV 25d64.6%44.5%72.7%70.3%60.7%
Bid-Ask Spread %3.492.314.423.272.31
Gamma HHI0.290.200.400.300.28
Net GEX55.3K-118.7K259.7K62.2K259.7K
Net DEX17.7M-2.7M26.2M17.8M1.8M
Net VEX-360.5K-453.9K-323.6K-365.0K-453.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.061.600.580.30
Total Volume17,575.6193,77188,2034,54026,466
Total OI602,341.571560,758671,645578,727671,645

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$3.74$4.0055.8%16.0%69.0%4.0%56.0%7.1%6.3%62.2K17.8M-365.0K0.583.272,8711,669293,969284,758
2009-08-04$3.76$4.0058.5%16.8%67.6%5.8%58.7%4.4%4.6%68.1K17.7M-365.5K0.364.133,9891,435294,650284,827
2009-08-05$3.75$4.0060.5%17.4%67.0%7.2%60.5%5.3%4.9%59.5K19.0M-361.4K0.133.7610,0801,346296,277285,242
2009-08-06$3.71$4.0061.7%17.7%66.3%8.0%61.6%7.0%1.5%57.2K20.0M-353.2K0.533.013,6691,930301,503285,834
2009-08-07$3.70$4.0059.5%18.0%66.3%6.5%64.9%-4.7%9.5%64.9K19.4M-360.3K0.173.396,3791,068302,541286,663
2009-08-10$3.68$4.0064.3%18.6%66.1%9.7%67.0%-5.4%10.2%70.8K19.8M-351.2K0.062.9710,303599305,775286,054
2009-08-11$3.59$4.0069.2%19.2%66.7%13.0%68.2%-7.6%10.3%36.4K22.1M-346.0K0.333.357,4162,448312,674286,263
2009-08-12$3.59$4.0072.6%19.1%59.1%15.2%68.9%-7.6%9.6%47.0K21.3M-346.6K0.133.833,677487316,681287,261
2009-08-13$3.68$4.0065.3%18.7%59.6%10.4%66.2%-6.6%13.1%116.2K21.0M-346.0K1.013.077,5697,677318,149287,383
2009-08-14$3.69$4.0063.8%18.3%59.0%9.4%65.2%-5.5%10.6%139.5K21.1M-344.2K1.053.502,9983,144321,647288,707
2009-08-17$3.55$4.0069.4%19.9%57.6%13.1%71.6%-10.2%7.2%34.0K24.0M-336.0K0.774.052,7472,124323,059290,630
2009-08-18$3.56$4.0067.3%19.3%57.5%11.7%67.7%-7.6%7.6%-118.7K26.1M-324.9K0.514.424,4152,246323,135290,193
2009-08-19$3.52$4.0068.7%19.7%29.6%12.7%68.0%-7.0%6.8%-117.6K26.2M-325.2K0.244.193,053718324,287288,706
2009-08-20$3.52$4.0069.0%19.8%29.3%12.8%68.7%-6.1%4.6%-113.0K26.1M-323.6K0.244.045,1991,232325,092289,901
2009-08-21$3.70$4.0059.1%17.0%29.5%6.2%59.4%-2.7%12.9%-98.8K23.7M-335.0K0.383.328,1083,111325,251289,991
2009-08-24$4.00$4.0063.2%18.1%40.6%9.0%65.2%-1.8%10.9%-24.2K14.5M-362.9K0.263.3233,7878,643281,673279,085
2009-08-25$4.02$4.0053.6%15.4%40.5%2.5%54.8%-4.1%15.1%62.5K14.0M-370.8K0.323.4621,8476,895299,123283,419
2009-08-26$4.06$4.0052.4%15.0%39.9%1.7%52.4%-18.1%12.4%115.9K12.6M-375.4K0.233.2421,4154,894309,028285,964
2009-08-27$4.23$4.0046.1%13.2%41.3%0.0%48.4%-6.5%14.8%200.0K7.0M-384.2K1.603.1116,64726,584321,333288,343
2009-08-28$4.47$4.0051.8%14.9%44.5%3.8%58.2%-8.7%11.2%239.0K-2.7M-438.6K0.443.5361,13927,064329,044303,413
2009-08-31$4.36$4.0061.7%17.7%45.9%10.2%67.8%-9.3%4.4%259.7K1.8M-453.9K0.302.3120,3326,134352,388319,257