AMD Options History — March 2010

In March 2010, AMD traded between $8.21 and $9.67. ATM implied volatility averaged 40.8%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 7.9% (HV 20d: 32.9%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.96.

Notable Days

  • 2010-03-10: Highest Volume — 67,470 contracts
  • 2010-03-30: Largest IV spike — 18.3% change
  • 2010-03-31: Highest IV Rank — 12.5%
  • 2010-03-31: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.97$8.21$9.67$8.21$9.27
Max Pain$8.26$8.00$9.00$8.00$9.00
ATM IV40.8%35.8%47.4%40.9%47.4%
Expected Move12.0%11.0%13.6%11.7%13.6%
HV 20d32.9%24.7%47.0%47.0%33.6%
HV 60d50.1%48.7%55.1%55.1%49.8%
IV Rank4.3%0.0%12.5%0.1%12.5%
IV Percentile2.9%0.0%12.7%0.4%12.7%
Term Structure2.5%-3.9%6.1%4.3%-3.9%
VWIV41.9%38.6%47.6%40.8%47.6%
Skew 25d3.6%2.4%5.8%2.9%2.4%
Skew 10d8.9%1.0%19.9%13.2%1.0%
Call IV 25d41.0%37.2%47.7%41.4%47.7%
Put IV 25d44.5%41.3%50.1%44.2%50.1%
Bid-Ask Spread %3.132.413.883.723.71
Gamma HHI0.250.190.320.320.28
Net GEX853.0K364.0K1.2M1.1M896.1K
Net DEX-96.9M-144.6M-68.1M-68.1M-100.7M
Net VEX-649.7K-695.6K-579.3K-589.5K-695.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.293.480.871.24
Total Volume18,939.0435,48067,47016,15717,091
Total OI475,042.435421,147522,271421,147494,783

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$8.21$8.0040.9%11.7%47.0%0.1%40.8%2.9%4.3%1.1M-68.1M-589.5K0.873.728,6257,532243,514177,633
2010-03-02$8.38$8.0044.0%12.6%41.3%3.6%43.4%3.9%2.7%1.1M-77.4M-594.2K0.483.6023,25211,263244,068180,161
2010-03-03$8.35$8.0040.8%11.7%41.1%0.0%40.6%2.6%4.8%1.2M-77.9M-628.7K1.983.144,5889,064255,575183,796
2010-03-04$8.50$8.0041.9%12.0%41.0%1.3%40.4%3.6%4.3%985.6K-80.6M-609.3K0.403.884,0701,645252,947191,409
2010-03-05$8.61$8.0037.0%12.3%25.1%0.0%43.3%3.3%2.3%1.0M-86.1M-626.8K3.482.954,64316,140253,655191,664
2010-03-08$8.64$8.0038.5%12.4%24.7%1.6%44.9%4.2%2.1%587.7K-86.7M-601.4K0.342.855,2441,805254,314207,219
2010-03-09$8.63$8.0037.7%12.3%24.9%0.8%43.1%2.9%0.7%1.0M-88.6M-581.5K1.403.045,6727,954255,065193,054
2010-03-10$8.92$8.0035.8%11.7%26.4%0.0%41.1%4.0%-0.9%1.1M-106.0M-579.3K2.683.0518,31149,159257,052196,751
2010-03-11$8.95$8.0042.3%12.1%26.4%7.0%42.4%4.0%1.6%700.6K-96.4M-673.4K1.893.509,79518,475263,190231,836
2010-03-12$8.93$8.0040.9%11.7%25.7%5.5%42.2%2.8%3.0%404.9K-90.5M-692.1K0.483.6614,0876,817265,353240,083
2010-03-15$8.92$8.0042.2%12.1%25.8%6.9%43.1%3.4%0.6%535.7K-91.9M-680.9K0.593.748,1164,811272,829240,575
2010-03-16$9.40$8.0042.0%12.0%30.0%6.7%41.9%3.5%1.5%1.0M-128.7M-674.8K0.402.5721,8378,761274,589243,261
2010-03-17$9.67$8.0041.3%11.8%30.6%6.0%42.5%3.7%1.3%1.2M-144.6M-672.1K0.352.4117,2566,065270,590244,733
2010-03-18$9.39$8.0042.3%12.1%32.9%7.0%41.6%4.0%1.3%781.6K-124.4M-672.1K0.472.467,7083,609275,709246,562
2010-03-19$9.11$8.0041.0%11.7%35.5%5.6%41.1%4.7%2.4%364.0K-108.4M-670.8K0.412.7912,0424,912275,834246,252
2010-03-22$9.31$8.0040.6%11.6%35.6%5.2%40.8%5.8%3.9%810.7K-101.1M-667.5K0.513.258,8524,470245,558215,574
2010-03-23$9.45$8.0040.0%11.5%34.7%4.5%39.0%5.0%4.5%886.9K-110.2M-668.4K1.263.083,6464,594248,103217,145
2010-03-24$9.23$9.0040.0%11.5%35.5%4.5%40.0%4.7%4.1%769.9K-96.5M-665.8K0.583.378,8255,100247,620218,346
2010-03-25$9.03$9.0039.3%11.3%35.6%3.8%40.5%2.6%5.2%769.3K-87.4M-677.8K0.412.847,0182,850253,470222,007
2010-03-26$9.02$9.0038.2%11.0%35.7%2.6%38.6%2.5%6.1%770.7K-85.5M-677.5K0.412.434,4961,847254,263221,920
2010-03-29$9.11$9.0038.4%11.0%33.9%2.8%38.6%2.7%5.7%808.8K-90.8M-668.3K0.292.614,2431,237255,625222,589
2010-03-30$9.27$9.0045.4%13.0%33.7%10.3%45.7%3.2%-0.9%902.8K-100.4M-674.7K1.233.2417,06921,002257,061222,639
2010-03-31$9.27$9.0047.4%13.6%33.6%12.5%47.6%2.4%-3.9%896.1K-100.7M-695.6K1.243.717,6329,459264,065230,718