AMD Options History — October 2009

In October 2009, AMD traded between $4.60 and $6.25. ATM implied volatility averaged 73.1%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 15.8% (HV 20d: 57.3%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.78.

Notable Days

  • 2009-10-16: Highest Volume — 56,073 contracts
  • 2009-10-15: Largest IV drop — 40.6% change
  • 2009-10-14: Highest IV Rank — 47.2%
  • 2009-10-02: Largest Expected Move — 23.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.60$4.60$6.25$5.39$4.60
Max Pain$5.50$5.00$6.00$5.00$5.00
ATM IV73.1%51.8%117.6%81.3%64.7%
Expected Move18.8%14.9%23.6%23.3%18.6%
HV 20d57.3%49.8%69.3%69.3%63.5%
HV 60d58.7%52.8%61.8%61.3%61.3%
IV Rank17.8%3.8%47.2%23.2%12.3%
IV Percentile26.9%0.8%82.5%38.9%15.9%
Term Structure-0.0%-4.9%3.3%-4.4%-2.8%
VWIV66.3%53.3%81.9%81.7%65.2%
Skew 25d4.3%-3.3%8.8%-0.3%-3.3%
Skew 10d8.9%-16.7%19.5%2.3%-16.7%
Call IV 25d66.3%51.2%84.7%84.7%69.2%
Put IV 25d70.7%58.2%87.7%84.4%65.8%
Bid-Ask Spread %4.042.815.974.265.97
Gamma HHI0.220.160.240.240.16
Net GEX363.7K-154.4K769.1K448.3K46.4K
Net DEX-31.0M-74.0M17.5M-35.0M14.0M
Net VEX-506.0K-555.5K-408.4K-534.0K-431.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.072.240.541.50
Total Volume28,322.4098,53156,07328,81841,984
Total OI666,918.864584,594747,767688,590666,101

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$5.39$5.0081.3%23.3%69.3%23.2%81.7%-0.3%-4.4%448.3K-35.0M-534.0K0.544.2618,74810,070381,285307,305
2009-10-02$5.31$5.0082.4%23.6%67.8%23.9%81.9%4.4%-4.9%374.8K-27.8M-519.6K2.244.115,80913,034377,863309,837
2009-10-05$5.54$5.0086.1%21.4%68.8%26.4%75.8%7.2%-0.8%433.4K-38.9M-536.7K1.144.3613,13414,976378,794316,224
2009-10-06$5.64$5.0086.1%21.0%50.4%26.4%74.2%6.3%-0.2%438.7K-39.9M-546.7K0.533.697,7324,088381,417318,382
2009-10-07$5.54$5.0081.5%20.7%51.0%23.3%73.1%7.2%0.2%415.7K-34.5M-539.9K0.503.917,8543,963383,568319,720
2009-10-08$5.51$5.0085.5%20.5%49.8%26.0%72.9%6.9%1.0%437.6K-35.2M-524.5K0.364.786,2952,236385,654321,328
2009-10-09$5.88$5.0083.0%20.2%51.4%24.4%72.5%5.1%1.2%544.0K-56.2M-543.4K0.433.1614,2966,191384,377319,785
2009-10-12$6.14$5.0095.0%20.1%53.5%32.2%70.6%4.9%-0.3%632.4K-70.3M-544.8K0.783.7930,97424,062385,167320,169
2009-10-13$6.08$5.00108.0%20.6%52.9%40.8%72.1%4.3%-1.7%583.0K-66.8M-555.5K0.504.5319,3509,701393,898327,379
2009-10-14$6.25$5.00117.6%20.4%52.0%47.2%71.2%5.0%-1.4%769.1K-74.0M-554.5K0.434.8431,71613,778398,283325,917
2009-10-15$6.19$6.0069.8%20.0%52.2%15.7%69.7%5.5%-1.3%666.2K-69.7M-554.5K1.083.5022,06723,776404,344332,531
2009-10-16$5.74$6.0059.1%17.0%59.4%8.6%61.3%3.8%3.3%308.7K-31.5M-505.2K0.923.2129,21426,859409,461338,306
2009-10-19$5.87$6.0055.4%15.9%59.5%6.1%56.5%6.8%1.6%370.3K-31.8M-500.1K0.222.8118,7134,059327,839256,755
2009-10-20$5.98$6.0053.0%15.2%57.5%4.6%53.7%5.9%1.2%494.2K-37.2M-502.0K0.263.2725,5296,604337,147259,417
2009-10-21$5.77$6.0053.1%15.2%58.8%4.7%54.3%3.2%1.4%403.9K-27.4M-501.1K0.385.037,1022,677341,120262,933
2009-10-22$5.83$6.0051.8%14.9%54.5%3.8%53.3%8.8%2.4%406.2K-28.8M-494.6K1.313.335,2836,908338,843263,800
2009-10-23$5.60$6.0053.2%15.3%55.4%4.7%54.0%3.3%2.8%277.3K-18.3M-487.2K0.944.485,3095,008339,163267,826
2009-10-26$5.42$6.0060.8%17.4%55.8%9.7%58.7%5.2%0.8%199.4K-9.5M-475.2K1.825.0410,43818,993341,064269,210
2009-10-27$5.15$6.0060.4%17.3%57.7%9.4%62.7%1.8%1.2%14.6K5.0M-446.0K0.593.4510,7086,299343,348281,164
2009-10-28$4.85$6.0065.1%18.7%60.7%12.6%68.7%3.6%-0.3%-108.8K17.5M-408.4K0.553.4522,29312,358342,050281,703
2009-10-29$4.93$6.0055.0%15.8%59.2%5.9%55.0%0.1%0.2%-154.4K14.9M-425.4K0.073.9649,5923,313343,440288,298
2009-10-30$4.60$5.0064.7%18.6%63.5%12.3%65.2%-3.3%-2.8%46.4K14.0M-431.5K1.505.9716,80925,175377,637288,464