AMD Options History — August 2010

In August 2010, AMD traded between $5.61 and $7.65. ATM implied volatility averaged 48.6%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 6.9% (HV 20d: 41.7%). Max pain ranged from $7.00 to $9.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.31.

Notable Days

  • 2010-08-10: Highest Volume — 44,232 contracts
  • 2010-08-11: Largest IV spike — 22.0% change
  • 2010-08-11: Highest IV Rank — 26.2%
  • 2010-08-13: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.61$5.61$7.65$7.65$5.61
Max Pain$7.86$7.00$9.00$7.00$8.00
ATM IV48.6%40.6%57.3%43.0%50.5%
Expected Move14.0%11.6%15.6%12.3%14.5%
HV 20d41.7%33.4%47.8%37.4%45.1%
HV 60d49.3%44.8%53.2%53.2%44.8%
IV Rank15.7%5.9%26.2%8.9%17.9%
IV Percentile29.8%6.0%56.3%15.9%35.3%
Term Structure2.8%0.8%4.4%0.8%3.4%
VWIV48.9%41.7%52.9%44.8%50.5%
Skew 25d5.3%0.8%7.7%4.3%2.4%
Skew 10d9.1%-10.3%15.1%14.5%-10.3%
Call IV 25d48.5%40.4%54.9%44.4%54.9%
Put IV 25d53.8%44.5%59.1%48.7%57.3%
Bid-Ask Spread %3.242.444.864.674.86
Gamma HHI0.310.130.570.360.13
Net GEX1.2M60.5K2.8M2.6M83.4K
Net DEX6.6M-92.9M57.5M-92.9M57.5M
Net VEX-601.8K-760.7K-463.7K-760.7K-463.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.306.160.354.90
Total Volume20,921.9093,90544,2326,02938,531
Total OI670,520.091576,440746,018665,866611,344

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$7.65$7.0043.0%12.3%37.4%8.9%44.8%4.3%0.8%2.6M-92.9M-760.7K0.354.674,4741,555416,118249,748
2010-08-03$7.51$7.0040.6%11.7%37.4%5.9%42.3%6.0%4.3%2.7M-77.9M-737.1K0.513.364,8922,515417,485250,164
2010-08-04$7.52$7.0040.6%11.6%33.4%5.9%43.0%5.5%2.8%2.7M-79.5M-732.8K0.482.755,8302,770417,293249,797
2010-08-05$7.50$7.0044.7%12.8%33.4%10.9%41.7%4.1%2.5%2.8M-77.8M-719.2K0.392.572,8021,103417,253250,901
2010-08-06$7.45$9.0042.8%13.4%33.4%8.6%45.1%6.3%1.8%2.8M-72.5M-706.6K6.162.795,29532,639417,638251,279
2010-08-09$7.42$8.0045.3%13.3%33.4%11.7%44.4%6.3%1.3%2.5M-57.7M-708.9K1.232.7511,39913,980418,873268,054
2010-08-10$6.83$8.0046.9%13.7%43.7%13.6%49.0%6.9%1.5%2.0M4.5M-646.1K1.103.4021,10923,123422,332273,107
2010-08-11$6.49$8.0057.3%15.5%46.6%26.2%51.3%7.7%1.4%1.3M35.1M-580.6K2.213.0911,71025,881427,943277,072
2010-08-12$6.57$8.0050.0%14.3%47.1%17.3%51.9%5.5%1.1%1.3M26.6M-625.0K0.802.449,2547,446430,624291,326
2010-08-13$6.49$8.0054.3%15.6%47.2%22.6%52.5%5.3%2.8%1.2M34.2M-600.0K0.823.2214,37511,737433,287288,348
2010-08-16$6.62$8.0050.1%14.4%47.8%17.5%52.0%3.3%2.5%1.6M24.3M-623.2K1.042.506,0586,285441,404295,083
2010-08-17$6.63$8.0048.5%13.9%46.8%15.5%49.2%4.8%3.1%1.6M28.6M-605.8K0.412.486,7522,742441,676297,185
2010-08-18$6.57$8.0047.6%13.6%46.2%14.4%51.5%4.8%3.8%1.3M33.5M-593.7K1.142.966,2877,196441,446296,500
2010-08-19$6.42$8.0052.6%15.1%44.8%20.5%50.9%5.5%3.1%210.9K47.3M-555.1K0.682.707,7885,285441,916301,026
2010-08-20$6.25$8.0050.8%14.6%43.1%18.3%50.8%6.4%3.6%181.3K53.0M-537.6K2.392.9012,49929,930445,878300,140
2010-08-23$6.14$8.0049.6%14.2%40.1%16.9%49.4%6.7%2.7%74.6K40.2M-512.8K0.823.3216,52413,547310,560265,880
2010-08-24$5.99$8.0049.5%14.2%38.6%16.8%50.2%6.2%4.0%117.7K42.5M-508.6K0.303.5710,8683,220321,517270,645
2010-08-25$6.13$8.0052.5%15.0%40.6%20.3%52.9%6.9%3.7%146.4K36.3M-528.3K0.553.5911,5456,391321,722271,838
2010-08-26$5.87$8.0051.9%14.9%41.8%19.7%52.3%4.7%3.5%60.5K46.4M-489.1K1.233.8110,74613,202322,540274,477
2010-08-27$6.08$8.0049.1%14.1%44.2%16.3%49.2%6.3%4.4%136.9K40.5M-517.6K0.534.3615,6468,215321,686277,459
2010-08-30$5.78$8.0051.3%14.7%44.8%18.9%51.3%0.8%2.6%70.1K52.7M-488.2K0.783.094,0203,116331,663279,215
2010-08-31$5.61$8.0050.5%14.5%45.1%17.9%50.5%2.4%3.4%83.4K57.5M-463.7K4.904.866,53231,999332,015279,329