AMD Options History — November 2010

In November 2010, AMD traded between $7.29 and $8.14. ATM implied volatility averaged 44.1%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 7.7% (HV 20d: 36.4%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2010-11-16: Highest Volume — 82,631 contracts
  • 2010-11-24: Largest IV drop — 7.3% change
  • 2010-11-15: Highest IV Rank — 13.9%
  • 2010-11-15: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.59$7.29$8.14$7.36$7.29
Max Pain$7.19$7.00$8.00$7.00$7.00
ATM IV44.1%39.7%47.2%46.2%44.0%
Expected Move12.7%11.4%13.5%13.2%12.6%
HV 20d36.4%32.2%39.0%34.5%32.5%
HV 60d39.6%36.4%44.3%44.0%36.4%
IV Rank10.2%4.8%13.9%12.6%10.0%
IV Percentile23.1%4.0%32.1%27.4%25.8%
Term Structure1.8%-2.2%4.4%-1.1%1.7%
VWIV44.9%40.8%49.3%47.5%44.8%
Skew 25d0.4%-3.0%4.8%-3.0%0.2%
Skew 10d0.2%-13.5%5.6%-6.3%-2.2%
Call IV 25d46.1%42.1%50.3%50.3%46.5%
Put IV 25d46.4%42.1%49.4%47.3%46.7%
Bid-Ask Spread %5.614.098.915.955.03
Gamma HHI0.230.180.270.180.23
Net GEX1.2M778.5K1.7M889.3K796.7K
Net DEX-55.8M-85.1M-41.4M-44.6M-41.4M
Net VEX-514.2K-592.7K-438.0K-466.7K-554.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.121.050.120.56
Total Volume15,764.2381,29882,63115,4942,397
Total OI468,931.714431,341531,717431,341476,154

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$7.36$7.0046.2%13.2%34.5%12.6%47.5%-3.0%-1.1%889.3K-44.6M-466.7K0.125.9513,8831,611237,975193,366
2010-11-02$7.54$7.0045.7%13.1%35.3%12.2%45.3%-2.8%-0.5%1.1M-53.3M-475.0K0.374.099,3943,432245,514193,916
2010-11-03$7.64$7.0043.1%12.4%34.5%9.0%44.4%-1.4%1.4%1.2M-58.4M-486.3K1.025.593,6393,695248,094195,185
2010-11-04$8.00$7.0041.9%12.0%37.4%7.5%42.4%4.8%1.7%1.4M-75.5M-483.9K0.344.6620,5206,986247,757194,486
2010-11-05$8.04$7.0042.3%12.5%36.8%7.9%44.5%1.5%3.5%1.7M-79.6M-489.4K0.175.4318,1963,157256,129194,259
2010-11-08$8.14$7.0044.0%12.9%36.1%10.0%46.2%1.0%2.7%1.6M-85.1M-481.9K0.385.3121,5678,123253,527194,761
2010-11-09$7.91$7.0045.4%13.0%38.1%11.7%46.5%-0.6%2.6%1.6M-72.6M-470.8K0.377.8912,6224,651259,523194,895
2010-11-10$7.75$8.0045.3%12.8%38.7%11.6%46.4%0.6%2.5%1.5M-62.6M-470.4K0.446.9110,0214,391265,611196,941
2010-11-11$7.63$8.0045.0%12.9%39.0%11.3%46.1%0.2%2.4%1.3M-54.6M-469.0K0.235.608,0561,879263,311199,975
2010-11-12$7.63$8.0046.9%13.5%38.9%13.6%47.3%0.0%1.5%1.3M-53.8M-467.1K0.417.575,2832,144261,695200,040
2010-11-15$7.57$8.0047.2%13.5%37.9%13.9%47.5%0.5%1.6%1.2M-49.8M-453.0K0.244.886,3361,492262,322200,649
2010-11-16$7.43$7.0046.4%13.3%38.8%12.9%46.5%1.2%1.5%1.1M-42.7M-438.0K0.224.2067,93914,692265,325200,227
2010-11-17$7.33$7.0044.6%12.8%38.4%10.7%49.3%0.8%1.8%1.0M-49.2M-588.8K0.404.678,9673,604320,361211,356
2010-11-18$7.35$7.0043.5%12.5%38.3%9.4%43.9%1.1%2.2%911.1K-49.2M-579.6K0.485.093,6271,725319,322209,750
2010-11-19$7.47$7.0041.7%12.0%38.6%7.3%42.1%1.1%2.6%834.0K-53.6M-578.7K0.735.696,0474,430315,266210,336
2010-11-22$7.41$7.0044.8%12.8%34.3%10.9%41.2%3.5%-2.2%822.7K-44.9M-551.4K0.748.9111,4678,499275,403187,175
2010-11-23$7.32$7.0042.8%12.3%34.4%8.6%43.4%0.5%2.7%778.5K-43.0M-577.1K0.934.151,8481,719282,317192,530
2010-11-24$7.62$7.0039.7%11.4%36.5%4.8%40.8%-0.8%4.4%1.0M-56.6M-592.7K0.464.649,6674,467282,277191,129
2010-11-26$7.55$7.0042.1%12.1%34.2%7.7%42.3%-1.4%2.6%1.0M-53.3M-570.0K0.465.88891407283,752191,508
2010-11-29$7.38$7.0044.5%12.7%32.2%10.6%44.8%0.4%1.3%911.7K-47.3M-554.7K1.055.793,6983,880284,056189,391
2010-11-30$7.29$7.0044.0%12.6%32.5%10.0%44.8%0.2%1.7%796.7K-41.4M-554.5K0.565.031,538859284,726191,428