AMD Options History — January 2011

In January 2011, AMD traded between $7.48 and $9.19. ATM implied volatility averaged 44.5%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 2.6% (HV 20d: 41.9%). Max pain ranged from $7.50 to $8.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.40.

Notable Days

  • 2011-01-21: Highest Volume — 93,615 contracts
  • 2011-01-24: Largest IV spike — 19.4% change
  • 2011-01-12: Highest IV Rank — 19.6%
  • 2011-01-20: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.17$7.48$9.19$8.47$7.83
Max Pain$7.90$7.50$8.00$7.50$8.00
ATM IV44.5%39.0%51.8%43.8%42.8%
Expected Move12.4%11.2%13.7%12.5%12.3%
HV 20d41.9%25.1%56.7%25.1%56.7%
HV 60d36.1%31.0%39.6%31.0%39.6%
IV Rank10.6%3.9%19.6%9.8%8.6%
IV Percentile34.5%3.2%65.9%30.6%28.2%
Term Structure-0.6%-3.6%5.4%-1.9%0.8%
VWIV43.9%39.3%48.3%44.6%43.0%
Skew 25d-0.5%-5.8%3.8%1.1%-3.4%
Skew 10d-0.3%-18.1%7.2%7.2%0.6%
Call IV 25d45.2%39.3%48.9%44.7%45.8%
Put IV 25d44.8%40.2%50.7%45.8%42.4%
Bid-Ask Spread %4.543.135.814.265.39
Gamma HHI0.320.220.630.280.39
Net GEX1.3M-3.2M2.4M1.4M2.4M
Net DEX-76.7M-140.0M-27.2M-95.1M-66.3M
Net VEX-653.4K-768.7K-563.5K-563.5K-763.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.071.581.140.17
Total Volume35,814.69,09793,61544,48341,545
Total OI520,582.4374,845600,180475,507490,148

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$8.47$7.5043.8%12.5%25.1%9.8%44.6%1.1%-1.9%1.4M-95.1M-563.5K1.144.2620,74123,742278,719196,788
2011-01-04$8.77$7.5043.9%12.6%26.6%9.9%44.3%1.8%-3.3%1.6M-109.8M-627.1K0.163.1324,5193,871287,976216,896
2011-01-05$8.91$7.5043.4%12.4%25.9%9.3%42.4%1.7%-3.0%1.9M-119.7M-644.4K0.443.1715,4486,721298,048218,181
2011-01-06$8.69$7.5043.0%12.3%27.5%8.8%43.1%0.1%-2.7%1.9M-111.3M-635.5K0.234.3315,5733,524304,902222,284
2011-01-07$8.83$8.0044.1%11.5%25.3%10.2%40.9%3.8%0.0%2.1M-119.2M-642.9K0.154.169,2021,396308,458223,472
2011-01-10$9.19$8.0048.9%12.4%28.0%16.0%43.9%3.1%-1.4%2.3M-140.0M-644.5K0.374.7330,22411,086307,944223,338
2011-01-11$8.36$8.0051.4%12.7%45.1%19.0%44.0%3.1%-1.0%1.5M-87.4M-642.1K0.474.4051,47224,025317,381227,507
2011-01-12$8.39$8.0051.8%12.3%44.3%19.6%42.9%1.2%-0.5%1.4M-85.4M-664.9K0.323.7915,2624,891322,708239,581
2011-01-13$8.26$8.0043.1%12.4%44.7%8.9%43.5%0.0%-0.2%1.3M-77.7M-651.9K0.304.3210,7943,215328,763242,988
2011-01-14$8.20$8.0042.9%12.3%44.8%8.7%43.3%1.2%-0.1%1.1M-73.4M-638.0K0.474.7814,9486,976331,632242,638
2011-01-18$8.10$8.0043.1%12.4%44.9%9.0%43.6%1.1%-0.3%934.4K-70.4M-626.8K0.484.366,1442,953334,602245,309
2011-01-19$7.93$8.0043.6%12.5%45.0%9.6%45.1%-2.2%-0.5%594.9K-58.4M-613.8K0.284.9118,1505,110335,451245,703
2011-01-20$8.02$8.0047.8%13.7%45.1%14.6%48.3%2.1%-3.6%757.6K-72.3M-625.2K1.585.8118,35129,081344,500246,241
2011-01-21$7.54$8.0039.0%11.2%50.0%3.9%39.3%-0.6%5.4%-3.2M-42.4M-582.7K0.295.3172,50221,113345,699254,481
2011-01-24$7.68$8.0046.5%13.3%50.6%13.1%46.6%-4.1%-3.1%668.9K-27.2M-631.0K0.074.6479,4195,753232,530142,315
2011-01-25$7.48$8.0042.8%12.3%51.3%8.5%45.8%-5.8%1.4%1.7M-35.8M-678.7K0.425.0126,20210,995296,249144,887
2011-01-26$7.49$8.0041.7%12.0%51.2%7.2%44.6%-5.8%1.1%1.7M-39.3M-699.4K0.105.7123,4882,300304,363151,377
2011-01-27$7.75$8.0044.0%12.6%53.0%10.0%44.4%-4.1%-1.9%2.2M-60.4M-768.7K0.333.8724,5118,206321,427151,957
2011-01-28$7.49$8.0042.3%12.1%54.0%8.0%43.9%-3.5%2.0%2.0M-42.9M-723.5K0.264.6918,1574,682328,111156,094
2011-01-31$7.83$8.0042.8%12.3%56.7%8.6%43.0%-3.4%0.8%2.4M-66.3M-763.6K0.175.3935,4356,110331,148159,000