AMD Options History — December 2009

In December 2009, AMD traded between $7.20 and $9.91. ATM implied volatility averaged 57.2%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded below realized volatility by 8.3% (HV 20d: 65.5%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.41.

Notable Days

  • 2009-12-07: Highest Volume — 57,929 contracts
  • 2009-12-03: Largest IV spike — 10.8% change
  • 2009-12-10: Highest IV Rank — 12.4%
  • 2009-12-03: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.90$7.20$9.91$7.20$9.68
Max Pain$5.14$5.00$6.00$6.00$5.00
ATM IV57.2%50.5%61.6%55.4%50.5%
Expected Move16.5%14.5%17.6%15.9%14.5%
HV 20d65.5%48.0%89.5%81.7%49.6%
HV 60d69.8%67.7%72.8%72.8%67.8%
IV Rank9.0%3.8%12.4%6.3%3.8%
IV Percentile10.3%0.4%17.9%6.0%0.4%
Term Structure2.0%-0.9%6.6%1.1%6.6%
VWIV59.4%53.0%64.2%57.1%53.0%
Skew 25d3.7%0.9%10.0%10.0%2.9%
Skew 10d9.0%2.6%13.6%13.6%11.4%
Call IV 25d58.5%52.4%63.0%53.3%52.4%
Put IV 25d62.2%55.3%65.8%63.3%55.3%
Bid-Ask Spread %3.582.304.454.222.30
Gamma HHI0.270.180.520.190.43
Net GEX1.5M871.1K3.2M871.1K1.7M
Net DEX-179.5M-212.7M-101.4M-101.4M-195.5M
Net VEX-490.7K-515.4K-464.2K-476.1K-476.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.190.780.270.65
Total Volume24,610.8649,11857,92913,09110,172
Total OI705,017.5649,516752,655692,361682,079

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$7.20$6.0055.4%15.9%81.7%6.3%57.1%10.0%1.1%871.1K-101.4M-476.1K0.274.2210,3142,777373,383318,978
2009-12-02$7.30$6.0055.5%15.9%81.6%6.4%55.9%3.5%2.2%926.2K-104.5M-485.7K0.493.779,4124,650372,998319,455
2009-12-03$8.03$6.0061.6%17.6%85.4%10.5%62.0%4.0%-0.3%1.2M-148.8M-489.4K0.323.6043,14713,864372,399319,634
2009-12-04$7.86$5.0056.5%16.9%87.1%7.1%59.4%5.9%0.6%1.1M-135.2M-464.2K0.503.9617,8719,021369,184324,589
2009-12-07$8.52$5.0061.2%17.4%89.2%10.3%64.2%2.9%-0.9%1.1M-169.4M-483.3K0.202.7948,2939,636371,039326,428
2009-12-08$8.67$5.0059.7%17.5%89.2%9.3%64.1%1.6%-0.3%1.3M-182.6M-498.3K0.233.3533,6597,790394,531329,946
2009-12-09$8.71$5.0058.3%17.2%88.4%10.5%62.7%2.5%0.9%1.6M-187.5M-515.4K0.383.9113,6645,217408,668330,611
2009-12-10$8.58$5.0060.4%17.3%89.5%12.4%63.9%4.0%0.6%1.5M-178.6M-507.1K0.783.548,5396,662410,262334,273
2009-12-11$8.64$5.0058.8%16.9%61.8%11.0%60.6%4.2%1.5%1.5M-179.8M-507.0K0.303.627,1002,137409,754338,238
2009-12-14$8.68$5.0059.0%16.9%61.9%11.1%61.1%2.6%1.7%1.6M-182.8M-492.6K0.454.457,1373,237409,138338,571
2009-12-15$8.82$5.0060.2%17.3%60.9%12.2%62.9%2.2%0.4%1.6M-191.8M-495.1K0.374.0221,8388,102409,284338,080
2009-12-16$9.15$5.0060.2%17.2%61.2%12.1%61.7%4.8%1.1%1.8M-212.2M-504.8K0.193.8747,1839,059412,723339,932
2009-12-17$9.12$5.0058.5%16.8%52.7%10.7%60.7%3.4%2.1%1.8M-201.7M-498.5K0.533.4110,1185,348399,889340,615
2009-12-18$9.05$5.0056.9%16.3%50.0%9.3%59.4%2.4%3.0%3.2M-191.8M-481.3K0.284.2415,9984,547390,806340,092
2009-12-21$9.53$5.0059.2%17.0%50.8%11.3%61.5%4.8%1.0%1.3M-185.4M-477.1K0.453.2424,51811,019350,541298,975
2009-12-22$9.43$5.0058.2%16.7%51.6%10.5%58.2%5.8%2.2%1.4M-184.5M-501.6K0.363.0818,3816,631363,930304,483
2009-12-23$9.67$5.0053.7%15.4%51.0%6.6%56.3%4.7%3.2%1.5M-198.9M-500.0K0.253.0614,8123,733365,031307,179
2009-12-24$9.91$5.0052.7%15.1%51.1%5.7%55.3%2.4%4.5%1.7M-212.7M-490.2K0.522.968,5344,466361,519306,523
2009-12-28$9.83$5.0056.1%16.1%48.0%8.7%58.1%3.7%2.3%1.6M-205.7M-479.7K0.473.8917,9428,412360,524308,272
2009-12-29$9.75$5.0053.5%15.3%48.8%6.4%55.2%2.1%4.6%1.7M-200.4M-487.5K0.443.5712,0525,329365,177312,873
2009-12-30$9.72$5.0051.6%14.8%49.1%4.8%53.1%0.9%5.5%1.7M-198.0M-484.2K0.473.976,2242,894365,174314,605
2009-12-31$9.68$5.0050.5%14.5%49.6%3.8%53.0%2.9%6.6%1.7M-195.5M-476.7K0.652.306,1594,013366,716315,363