AMD Options History — November 2009

In November 2009, AMD traded between $4.60 and $7.32. ATM implied volatility averaged 60.3%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded below realized volatility by 17.9% (HV 20d: 78.1%). Max pain ranged from $4.00 to $6.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.45.

Notable Days

  • 2009-11-12: Highest Volume — 126,773 contracts
  • 2009-11-18: Largest IV spike — 16.7% change
  • 2009-11-02: Highest IV Rank — 14.7%
  • 2009-11-02: Largest Expected Move — 19.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.09$4.60$7.32$4.60$7.01
Max Pain$5.05$4.00$6.00$5.00$6.00
ATM IV60.3%52.4%68.3%68.3%57.6%
Expected Move17.3%15.0%19.6%19.6%16.5%
HV 20d78.1%58.1%95.7%60.8%82.1%
HV 60d68.4%61.0%74.2%61.3%72.7%
IV Rank9.4%4.3%14.7%14.7%7.8%
IV Percentile11.3%1.2%20.2%20.2%9.5%
Term Structure1.2%-3.7%5.7%-3.7%1.8%
VWIV61.3%53.7%69.1%69.1%58.6%
Skew 25d4.6%-2.1%9.2%2.9%4.3%
Skew 10d10.3%-11.5%21.6%-11.5%10.4%
Call IV 25d61.3%52.6%73.7%70.8%59.0%
Put IV 25d66.0%59.7%73.7%73.7%63.3%
Bid-Ask Spread %4.062.995.294.882.99
Gamma HHI0.250.160.640.190.18
Net GEX640.2K-35.8K2.8M-25.2K657.3K
Net DEX-54.0M-130.2M16.6M16.3M-89.0M
Net VEX-485.9K-543.1K-428.0K-435.2K-473.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.161.040.390.39
Total Volume28,745.37,097126,77314,80711,513
Total OI705,075.2677,798737,685689,707689,506

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$4.60$5.0068.3%19.6%60.8%14.7%69.1%2.9%-3.7%-25.2K16.3M-435.2K0.394.8810,6614,146384,015305,692
2009-11-03$4.64$5.0067.3%19.3%60.4%14.0%68.4%-2.1%-3.2%-5.8K14.4M-440.7K1.043.786,8677,145386,163305,922
2009-11-04$4.69$5.0062.6%18.0%60.7%10.9%63.5%3.0%1.8%-35.8K16.6M-428.0K0.444.579,6094,240384,547309,716
2009-11-05$4.83$5.0060.8%17.4%62.2%9.7%60.9%0.5%0.9%49.2K7.9M-448.9K0.163.416,5411,078388,289308,126
2009-11-06$5.04$4.0057.0%17.5%59.2%7.2%61.6%9.2%2.4%141.3K-2.2M-460.6K0.323.9510,7733,425389,082308,323
2009-11-09$5.21$4.0060.8%17.2%58.1%9.7%60.1%7.7%3.1%200.1K-8.7M-458.2K0.673.337,1214,756390,809309,504
2009-11-10$5.14$5.0057.6%17.0%58.1%7.6%59.5%6.3%2.6%141.8K-6.3M-465.0K0.815.294,0733,310390,616311,958
2009-11-11$5.32$5.0060.7%17.0%58.8%9.6%58.1%7.7%2.6%236.1K-15.3M-458.9K0.383.537,8002,966392,475313,052
2009-11-12$6.48$5.0066.0%18.9%93.6%13.1%65.7%7.0%-2.5%793.8K-85.0M-520.2K0.304.7797,37629,397393,536314,223
2009-11-13$6.53$5.0060.1%17.2%89.0%9.2%63.2%4.0%1.4%936.4K-87.0M-533.0K0.345.1735,60312,219406,863326,279
2009-11-16$6.43$5.0062.5%17.9%89.1%10.9%62.0%7.9%-0.3%882.8K-74.3M-499.0K0.424.3524,50210,400402,104328,227
2009-11-17$6.62$5.0054.5%15.6%89.4%5.6%57.1%5.6%5.7%1.0M-85.5M-516.6K0.273.2828,6337,864404,633327,931
2009-11-18$7.32$5.0063.6%18.2%94.1%11.5%65.1%2.5%-1.6%1.1M-130.2M-520.8K0.264.4587,78122,481392,640326,649
2009-11-19$7.05$5.0063.8%18.3%95.7%11.7%64.4%4.9%-2.1%1.4M-108.6M-543.1K0.463.0826,59712,316401,329335,844
2009-11-20$6.95$5.0059.8%17.2%94.4%9.1%61.7%2.7%2.4%2.8M-99.2M-530.1K0.235.1023,2075,333400,772336,913
2009-11-23$7.00$5.0058.1%16.7%93.0%8.1%59.0%5.9%1.3%525.6K-84.2M-511.7K0.264.3912,7303,350362,219315,579
2009-11-24$6.95$5.0054.4%15.6%90.2%5.7%55.0%5.1%3.6%576.0K-83.6M-500.5K0.633.297,5394,751366,891316,031
2009-11-25$7.11$6.0052.4%15.0%85.8%4.3%53.7%7.0%4.2%767.4K-94.9M-488.1K0.453.814,9022,195368,987318,274
2009-11-27$6.85$6.0057.4%16.5%88.1%7.7%58.5%0.8%2.5%610.8K-81.8M-484.9K0.863.745,2194,487369,599318,186
2009-11-30$7.01$6.0057.6%16.5%82.1%7.8%58.6%4.3%1.8%657.3K-89.0M-473.8K0.392.998,2843,229370,288319,218