AMD Options History — September 2009

In September 2009, AMD traded between $4.22 and $6.08. ATM implied volatility averaged 66.9%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded above realized volatility by 4.7% (HV 20d: 62.2%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2009-09-08: Highest Volume — 87,088 contracts
  • 2009-09-03: Largest IV spike — 19.2% change
  • 2009-09-29: Highest IV Rank — 23.0%
  • 2009-09-29: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.45$4.22$6.08$4.22$5.66
Max Pain$4.48$4.00$5.00$4.00$5.00
ATM IV66.9%54.1%81.2%55.2%78.3%
Expected Move19.2%15.5%23.3%15.8%22.4%
HV 20d62.2%48.1%68.3%48.1%65.5%
HV 60d61.2%57.6%64.0%57.9%60.4%
IV Rank13.6%5.3%23.0%6.0%21.2%
IV Percentile15.1%1.6%38.1%2.4%34.5%
Term Structure-4.2%-9.8%11.7%8.8%-5.9%
VWIV67.9%56.9%84.7%60.1%79.8%
Skew 25d-3.4%-16.9%5.3%-16.9%1.6%
Skew 10d-3.8%-32.7%27.2%-32.7%12.0%
Call IV 25d71.6%64.3%82.6%70.9%79.8%
Put IV 25d68.2%53.7%87.9%54.0%81.4%
Bid-Ask Spread %3.602.415.405.403.07
Gamma HHI0.240.150.630.280.21
Net GEX331.0K203.8K546.2K236.0K459.2K
Net DEX-44.6M-75.5M9.0M9.0M-45.7M
Net VEX-554.2K-603.6K-433.6K-433.6K-558.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.133.290.172.33
Total Volume39,031.9057,63487,08822,57645,855
Total OI717,768.381674,872764,889674,872699,097

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$4.22$4.0055.2%15.8%48.1%6.0%60.1%-16.9%8.8%236.0K9.0M-433.6K0.175.4019,2593,317355,926318,946
2009-09-02$4.28$4.0054.1%15.5%48.1%5.3%56.9%-14.6%11.7%259.4K4.6M-454.0K0.203.376,3741,260358,804319,141
2009-09-03$4.53$4.0064.5%18.5%50.8%12.1%58.9%-4.6%-2.0%338.1K-4.6M-462.5K1.192.6323,99428,442358,593318,858
2009-09-04$4.53$4.0063.1%17.6%50.7%11.2%60.6%-3.3%-6.3%287.2K-1.4M-471.9K2.563.699,35923,949367,818335,551
2009-09-08$5.19$4.0063.2%18.1%67.1%11.2%62.7%-4.7%-5.9%369.3K-37.6M-527.4K0.194.9773,33513,753367,821348,077
2009-09-09$5.20$4.0056.6%17.7%65.6%6.9%63.0%-4.7%-2.4%521.0K-41.5M-540.1K0.133.4656,5047,333383,313348,298
2009-09-10$5.38$4.0060.2%17.3%65.4%9.3%62.0%-6.1%-0.5%546.2K-54.3M-578.1K0.193.1341,5407,870394,517348,752
2009-09-11$5.68$4.0064.7%18.6%66.5%12.2%65.5%-6.1%-5.0%421.2K-71.0M-603.6K0.433.8136,40715,599400,218350,784
2009-09-14$5.72$4.0068.3%19.6%66.4%14.6%69.0%-2.3%-7.9%383.9K-66.3M-593.7K0.412.9323,1389,398391,568355,507
2009-09-15$5.88$4.0066.7%19.1%62.4%13.5%68.6%-0.6%-6.6%298.9K-75.5M-597.8K0.393.6023,1638,957396,122359,422
2009-09-16$5.69$4.0067.7%19.4%65.3%14.2%68.8%-0.9%-5.5%306.4K-62.3M-598.9K1.023.7720,66721,102398,247361,963
2009-09-17$5.67$5.0067.9%19.5%64.8%14.3%68.8%-1.1%-7.0%246.9K-58.9M-584.6K0.273.9324,8986,645395,042360,140
2009-09-18$5.70$5.0066.8%19.1%64.6%13.5%67.8%-0.1%-6.7%203.8K-62.0M-596.9K0.612.6927,20216,617404,746360,143
2009-09-21$5.81$5.0066.6%19.1%63.9%13.4%67.6%-0.5%-4.5%241.3K-48.0M-559.1K0.484.8911,4085,447350,490331,974
2009-09-22$6.08$5.0070.9%20.3%61.1%16.2%71.3%0.9%-6.6%311.1K-62.8M-582.8K0.382.4136,06113,665353,615332,459
2009-09-23$6.02$5.0068.7%19.7%61.9%14.8%68.9%-3.2%-5.8%275.4K-57.7M-576.0K0.493.1613,4786,568361,346338,540
2009-09-24$5.66$5.0073.6%21.1%68.3%18.0%73.6%-4.5%-8.1%207.0K-40.1M-570.0K0.543.5221,40811,600364,721339,386
2009-09-25$5.83$5.0071.8%20.6%67.9%16.8%72.7%-2.4%-6.3%312.2K-50.0M-574.2K0.535.218,9374,750371,588340,772
2009-09-28$5.94$5.0074.4%21.3%66.3%18.5%75.0%-2.9%-7.0%369.8K-58.6M-580.1K0.923.3013,15412,115374,074341,223
2009-09-29$5.78$5.0081.2%23.3%66.5%23.0%84.7%5.3%-9.8%357.2K-51.2M-593.9K3.292.7615,19449,948376,173339,361
2009-09-30$5.66$5.0078.3%22.4%65.5%21.2%79.8%1.6%-5.9%459.2K-45.7M-558.7K2.333.0713,75932,096380,023319,074