AMD Options History — February 2011

In February 2011, AMD traded between $8.22 and $9.44. ATM implied volatility averaged 44.3%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 3.8% (HV 20d: 48.1%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.36.

Notable Days

  • 2011-02-17: Highest Volume — 107,658 contracts
  • 2011-02-14: Largest IV spike — 21.6% change
  • 2011-02-14: Highest IV Rank — 16.1%
  • 2011-02-14: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.65$8.22$9.44$8.22$9.21
Max Pain$7.63$7.00$8.00$8.00$8.00
ATM IV44.3%40.3%49.0%44.7%43.5%
Expected Move12.7%11.5%14.0%12.8%12.5%
HV 20d48.1%41.0%58.0%58.0%46.6%
HV 60d40.5%38.7%43.8%39.7%43.6%
IV Rank10.4%5.5%16.1%10.8%9.4%
IV Percentile36.6%8.3%61.1%42.5%34.9%
Term Structure1.9%-2.5%5.0%-2.5%5.0%
VWIV45.0%39.7%49.4%45.0%44.9%
Skew 25d0.1%-3.0%3.3%1.9%2.6%
Skew 10d-0.2%-7.1%5.1%-0.6%2.5%
Call IV 25d46.4%39.4%53.1%45.1%45.9%
Put IV 25d46.5%42.7%50.4%47.0%48.5%
Bid-Ask Spread %4.563.485.614.383.76
Gamma HHI0.310.250.360.340.30
Net GEX3.1M2.4M3.7M2.7M3.5M
Net DEX-130.8M-219.1M-95.7M-98.8M-155.3M
Net VEX-826.6K-907.0K-785.9K-789.5K-907.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.121.450.270.12
Total Volume37,326.2637,093107,65843,19622,275
Total OI527,357.316494,944607,821494,944545,625

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-02-01$8.22$8.0044.7%12.8%58.0%10.8%45.0%1.9%-2.5%2.7M-98.8M-789.5K0.274.3833,9449,252335,073159,871
2011-02-02$8.29$8.0043.3%12.4%56.6%9.2%44.2%-0.1%-0.0%2.9M-102.3M-797.0K0.275.4329,1107,796336,334162,158
2011-02-03$8.33$8.0043.1%12.3%56.2%8.9%43.6%-0.4%-0.7%2.9M-107.1M-800.4K0.465.619,2214,231342,715163,618
2011-02-04$8.40$7.0040.8%12.1%55.8%6.1%41.6%2.6%3.2%2.9M-112.0M-801.2K0.184.2716,0912,830342,680163,308
2011-02-07$8.33$7.0041.2%11.9%55.4%6.6%41.0%2.3%3.3%3.0M-107.0M-789.1K0.233.5114,8693,349345,914163,210
2011-02-08$8.24$7.0040.6%11.8%53.1%5.9%40.9%2.4%3.0%3.2M-100.8M-785.9K0.364.587,0882,582354,286165,031
2011-02-09$8.23$7.0040.5%11.8%41.3%5.8%40.8%2.3%3.1%3.3M-100.5M-788.0K0.185.0316,5033,046355,558166,007
2011-02-10$8.22$7.0041.1%11.8%41.3%6.5%41.1%2.0%3.5%3.4M-101.9M-787.5K0.524.895,3732,779360,535166,255
2011-02-11$8.28$7.0040.3%11.5%41.0%5.5%39.7%3.3%3.9%3.4M-107.1M-799.4K0.574.274,5232,570360,856167,901
2011-02-14$8.63$7.0049.0%14.0%43.4%16.1%49.4%-2.4%-1.1%3.1M-141.8M-797.8K0.254.9563,93815,743357,797168,451
2011-02-15$8.60$8.0047.7%13.7%43.2%14.5%48.1%-1.2%-0.5%3.4M-142.8M-829.8K0.205.1325,9835,248378,272174,026
2011-02-16$8.99$8.0046.2%13.2%44.5%12.7%47.0%-1.7%1.2%3.7M-178.6M-838.3K0.224.6667,04214,778380,807176,493
2011-02-17$9.44$8.0047.8%13.7%47.0%14.6%48.8%-2.8%2.1%3.5M-219.1M-876.8K0.323.7281,32726,331391,938185,331
2011-02-18$9.18$8.0044.5%12.8%41.6%10.7%47.6%-3.0%2.8%3.3M-197.5M-876.6K0.273.4837,51310,075406,177201,644
2011-02-22$8.85$8.0047.9%13.7%44.5%14.8%49.0%-2.5%3.0%2.7M-117.5M-869.6K1.455.1317,21824,968337,385166,825
2011-02-23$8.55$8.0048.7%14.0%45.4%15.7%48.6%-2.2%1.6%2.4M-95.7M-834.6K0.534.6427,07514,290338,408166,306
2011-02-24$9.10$8.0046.4%13.3%49.5%13.0%47.5%-1.3%2.4%3.0M-143.3M-860.7K0.145.2625,7053,660349,117165,430
2011-02-25$9.29$8.0044.3%12.7%48.8%10.4%45.4%0.1%3.4%3.3M-155.3M-877.0K0.333.8738,28912,584352,818165,629
2011-02-28$9.21$8.0043.5%12.5%46.6%9.4%44.9%2.6%5.0%3.5M-155.3M-907.0K0.123.7619,9582,317373,661171,964