AMD Options History — September 2010

In September 2010, AMD traded between $5.76 and $7.28. ATM implied volatility averaged 54.4%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 8.9% (HV 20d: 45.5%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2010-09-27: Highest Volume — 52,701 contracts
  • 2010-09-09: Largest IV spike — 21.5% change
  • 2010-09-27: Highest IV Rank — 30.9%
  • 2010-09-27: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.30$5.76$7.28$5.76$7.11
Max Pain$7.10$7.00$8.00$8.00$7.00
ATM IV54.4%43.1%61.1%45.9%60.7%
Expected Move16.0%13.1%17.5%13.1%17.4%
HV 20d45.5%40.5%51.4%47.1%42.2%
HV 60d43.9%41.4%45.6%45.2%43.5%
IV Rank22.7%9.0%30.9%12.3%30.3%
IV Percentile53.6%17.9%80.6%21.4%79.0%
Term Structure-3.8%-8.6%7.9%6.7%-7.9%
VWIV56.2%45.7%62.0%47.6%61.4%
Skew 25d5.3%2.1%8.5%3.5%7.6%
Skew 10d8.0%1.0%13.9%1.0%11.3%
Call IV 25d55.6%49.5%60.7%49.5%59.6%
Put IV 25d60.9%52.9%67.7%52.9%67.2%
Bid-Ask Spread %3.242.345.355.353.27
Gamma HHI0.240.130.400.130.20
Net GEX-54.9K-669.7K722.9K58.5K665.3K
Net DEX28.8M-41.2M65.6M57.2M-28.7M
Net VEX-502.7K-566.7K-459.1K-487.7K-566.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.145.871.070.49
Total Volume21,086.0485,83352,70119,01516,235
Total OI604,856.238554,473642,821630,333603,653

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$5.76$8.0045.9%13.1%47.1%12.3%47.6%3.5%6.7%58.5K57.2M-487.7K1.075.359,1809,835333,522296,811
2010-09-02$5.93$8.0045.7%13.1%49.4%12.1%45.7%5.6%7.9%30.6K50.8M-523.8K0.143.7125,0543,619338,035304,786
2010-09-03$6.09$7.0043.1%15.4%51.2%9.0%53.8%2.5%-1.9%-76.1K44.3M-528.8K0.163.6327,7654,345328,110303,327
2010-09-07$5.95$7.0050.0%16.3%51.4%17.3%57.2%2.8%-3.1%-249.0K54.7M-498.8K0.273.4018,9145,045316,835305,801
2010-09-08$5.83$7.0047.5%16.4%44.0%14.3%59.7%2.1%-4.3%-338.7K62.5M-470.6K0.423.044,0991,734311,723307,839
2010-09-09$5.86$7.0057.7%16.6%41.2%26.8%59.5%3.1%-4.7%-331.5K61.4M-477.4K0.423.356,5012,754312,968308,188
2010-09-10$5.81$7.0056.1%16.1%40.7%24.8%57.0%4.5%-3.9%-368.4K65.6M-459.1K0.272.558,8392,383314,009308,877
2010-09-13$6.18$7.0056.0%16.1%47.1%24.6%55.7%5.7%-4.3%-365.1K46.4M-490.7K1.092.3720,57222,466315,605309,403
2010-09-14$6.27$7.0055.4%15.9%46.8%24.0%54.9%4.3%-3.9%-356.8K42.6M-492.3K0.403.738,2863,311312,634312,678
2010-09-15$6.22$7.0057.0%16.4%46.9%25.9%57.7%5.8%-4.8%-413.2K42.9M-490.3K5.872.341,6689,791313,210310,523
2010-09-16$6.15$7.0056.8%16.3%46.9%25.6%56.6%8.5%-5.7%-645.4K48.0M-473.0K3.062.907,80323,886313,386313,281
2010-09-17$6.12$7.0055.3%15.9%46.3%23.8%55.1%5.8%-3.5%-669.7K51.7M-475.7K1.012.617,8277,907314,279326,559
2010-09-20$6.09$7.0054.1%15.5%45.4%22.4%54.5%4.5%-4.0%-116.1K31.2M-463.5K0.493.2713,3776,611291,070263,403
2010-09-21$6.17$7.0053.5%15.3%45.3%21.6%55.7%5.6%-3.0%-30.1K26.0M-473.8K0.562.826,6383,696298,757263,405
2010-09-22$6.26$7.0053.3%15.3%44.5%21.3%52.6%6.5%-2.9%-69.9K23.7M-477.8K0.533.915,7233,041295,927265,634
2010-09-23$6.40$7.0057.1%16.4%44.5%25.9%55.3%6.3%-5.9%52.8K16.0M-489.6K0.523.708,0974,222296,921264,515
2010-09-24$6.84$7.0055.1%15.8%46.6%23.6%56.1%6.5%-5.3%369.8K-10.8M-541.3K0.393.1124,4689,578297,609265,015
2010-09-27$7.02$7.0061.1%17.5%46.0%30.9%61.5%6.4%-8.6%506.0K-22.2M-548.0K0.533.2534,35218,349304,693270,298
2010-09-28$6.95$7.0060.2%17.2%41.2%29.7%62.0%7.7%-8.4%470.3K-17.7M-562.1K0.212.8410,6422,271314,463279,706
2010-09-29$7.28$7.0061.1%17.5%40.5%30.8%60.7%6.5%-7.3%722.9K-41.2M-566.7K0.252.8125,6216,302314,036280,487
2010-09-30$7.11$7.0060.7%17.4%42.2%30.3%61.4%7.6%-7.9%665.3K-28.7M-566.5K0.493.2710,9085,327322,556281,097