AMD Options History — December 2010

In December 2010, AMD traded between $7.51 and $8.24. ATM implied volatility averaged 42.2%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 13.2% (HV 20d: 29.1%). Max pain ranged from $7.00 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2010-12-13: Highest Volume — 27,445 contracts
  • 2010-12-13: Largest IV spike — 18.1% change
  • 2010-12-01: Highest IV Rank — 14.5%
  • 2010-12-01: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.01$7.51$8.24$7.51$8.18
Max Pain$7.43$7.00$7.50$7.00$7.50
ATM IV42.2%35.9%47.6%47.6%42.4%
Expected Move12.5%11.5%13.7%13.7%12.2%
HV 20d29.1%22.8%33.1%33.1%22.8%
HV 60d33.7%30.3%36.4%36.4%30.3%
IV Rank7.9%0.2%14.5%14.5%8.1%
IV Percentile20.4%0.4%39.3%39.3%24.6%
Term Structure-1.5%-4.1%4.8%-2.1%-3.1%
VWIV43.8%40.6%47.7%47.7%42.1%
Skew 25d0.4%-6.0%3.2%-6.0%0.8%
Skew 10d1.6%-13.3%23.6%15.7%-8.2%
Call IV 25d44.2%41.3%50.9%50.9%41.3%
Put IV 25d44.7%41.0%48.0%44.8%42.0%
Bid-Ask Spread %4.092.056.205.152.05
Gamma HHI0.270.240.430.240.25
Net GEX1.4M948.5K2.6M1.0M1.1M
Net DEX-74.8M-91.5M-52.6M-52.6M-81.7M
Net VEX-565.5K-596.5K-524.8K-560.9K-573.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.163.050.173.05
Total Volume10,353.0452,43327,44526,1018,090
Total OI482,422.591457,445506,841477,181475,781

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$7.51$7.0047.6%13.7%33.1%14.5%47.7%-6.0%-2.1%1.0M-52.6M-560.9K0.175.1522,3573,744285,292191,889
2010-12-02$7.54$7.0044.6%12.8%32.8%10.8%44.4%1.1%1.4%1.2M-53.6M-567.7K0.185.668,2111,495295,548193,410
2010-12-03$7.65$7.0040.0%11.5%28.5%5.1%40.6%1.5%4.8%1.3M-60.5M-578.0K0.246.204,2981,022298,977192,319
2010-12-06$7.82$7.5039.8%12.8%29.7%4.9%45.3%2.5%-1.5%1.6M-67.5M-571.8K0.363.644,2771,539299,595192,273
2010-12-07$8.02$7.5040.5%12.8%30.8%5.8%45.2%1.1%-0.7%1.9M-82.4M-593.1K0.223.9317,0243,727300,606192,296
2010-12-08$8.17$7.5039.5%12.7%29.7%4.6%44.7%-0.6%-0.8%2.0M-89.8M-596.5K0.172.818,0141,326299,477193,341
2010-12-09$7.95$7.5038.0%12.6%30.4%2.7%44.5%2.4%-1.1%1.7M-73.4M-569.4K0.314.214,3291,355297,573192,922
2010-12-10$8.07$7.5035.9%12.3%30.1%0.2%43.3%0.1%-0.2%1.9M-81.6M-580.2K0.604.186,5343,942298,057193,256
2010-12-13$8.23$7.5042.4%12.9%30.7%8.1%45.7%0.0%-2.0%2.0M-91.5M-571.5K0.633.4116,81210,633294,512192,672
2010-12-14$8.05$7.5042.1%12.8%31.8%7.7%43.5%3.2%-1.4%1.9M-78.6M-560.9K1.644.363,5085,768302,078197,954
2010-12-15$8.02$7.5045.0%12.9%30.8%11.2%45.1%1.2%-1.6%2.0M-74.9M-559.7K0.963.876,6116,328300,448200,787
2010-12-16$8.03$7.5044.1%12.6%30.2%10.1%43.7%3.1%-1.2%2.6M-75.5M-580.2K0.164.362,877472304,019202,822
2010-12-17$8.10$7.5043.0%12.3%30.2%8.8%42.7%0.7%-1.2%948.5K-86.3M-576.4K0.274.169,4972,583303,586202,811
2010-12-20$8.24$7.5044.3%12.7%30.3%10.4%42.8%1.8%-2.3%1.1M-78.9M-565.2K0.334.1911,3973,801265,030192,415
2010-12-21$8.14$7.5040.8%11.7%30.5%6.2%41.3%-0.5%-0.8%1.1M-75.2M-559.7K0.483.855,3052,560269,958194,129
2010-12-22$8.11$7.5041.1%11.8%30.0%6.6%41.8%-0.9%-1.3%1.0M-75.8M-566.2K0.594.302,0481,207268,674194,342
2010-12-23$8.04$7.5041.6%11.9%27.4%7.1%41.9%0.2%-2.2%998.0K-71.9M-562.7K0.494.203,8731,901269,716194,208
2010-12-27$8.05$7.5044.8%12.8%27.0%11.0%44.9%-0.3%-4.1%986.1K-70.8M-543.0K0.684.273,9232,676270,456195,277
2010-12-28$8.09$7.5043.5%12.5%25.2%9.4%43.7%-0.9%-3.2%1.0M-72.8M-535.4K0.303.931,868565270,871195,266
2010-12-29$8.08$7.5044.0%12.6%24.5%10.1%44.9%-1.5%-3.7%1.0M-71.9M-524.8K0.463.209,5454,396270,628195,414
2010-12-30$8.14$7.5044.1%12.6%22.8%10.2%43.8%0.6%-3.7%1.1M-79.3M-545.0K2.864.131,6404,689277,173195,439
2010-12-31$8.18$7.5042.4%12.2%22.8%8.1%42.1%0.8%-3.1%1.1M-81.7M-573.3K3.052.051,9996,091278,622197,159