AMD Options History — March 2011

In March 2011, AMD traded between $8.12 and $9.28. ATM implied volatility averaged 45.7%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 1.3% (HV 20d: 44.4%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.55.

Notable Days

  • 2011-03-10: Highest Volume — 76,967 contracts
  • 2011-03-10: Largest IV spike — 26.9% change
  • 2011-03-16: Highest IV Rank — 27.5%
  • 2011-03-16: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.69$8.12$9.28$9.03$8.60
Max Pain$8.00$8.00$8.00$8.00$8.00
ATM IV45.7%36.6%58.5%45.0%38.1%
Expected Move13.5%10.5%16.8%12.9%10.9%
HV 20d44.4%37.2%51.7%46.0%37.4%
HV 60d45.4%43.5%47.0%43.8%46.2%
IV Rank12.0%0.8%27.5%11.3%2.6%
IV Percentile38.6%0.4%84.1%46.4%2.0%
Term Structure0.7%-5.0%6.6%5.4%5.5%
VWIV48.0%37.5%59.1%46.4%39.3%
Skew 25d1.9%-0.4%4.1%1.5%0.7%
Skew 10d3.0%-10.4%12.4%2.8%-9.6%
Call IV 25d48.4%38.2%59.6%48.0%39.9%
Put IV 25d50.3%40.1%61.6%49.5%40.6%
Bid-Ask Spread %4.593.566.013.565.16
Gamma HHI0.280.210.320.300.29
Net GEX2.4M1.3M3.7M3.4M2.0M
Net DEX-97.9M-162.5M-51.2M-138.9M-73.0M
Net VEX-892.7K-979.5K-854.1K-898.8K-864.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.082.530.390.87
Total Volume18,999.6525,37876,96712,28013,905
Total OI560,896.783514,596628,359547,078541,788

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$9.03$8.0045.0%12.9%46.0%11.3%46.4%1.5%5.4%3.4M-138.9M-898.8K0.393.568,8403,440374,654172,424
2011-03-02$9.17$8.0044.1%12.6%43.4%10.1%45.1%2.6%5.2%3.5M-152.7M-911.4K0.183.7313,3252,423377,041174,432
2011-03-03$9.28$8.0041.8%12.0%43.5%7.3%42.9%3.2%6.6%3.7M-162.5M-923.1K0.453.6811,7735,289382,925175,546
2011-03-04$9.22$8.0039.5%13.7%43.7%4.5%49.2%3.7%-1.0%3.7M-157.3M-923.5K0.403.7811,6034,625382,055176,542
2011-03-07$8.84$8.0042.8%14.1%46.7%8.5%49.7%3.2%-1.7%3.4M-126.3M-892.5K0.243.8015,3643,724382,247177,501
2011-03-08$8.99$8.0042.9%14.2%46.8%8.7%50.0%4.1%-1.5%3.5M-137.8M-898.0K0.085.1635,1382,969382,712178,023
2011-03-09$8.67$8.0042.4%14.5%48.7%8.1%51.6%2.0%-1.9%3.2M-111.0M-868.8K0.124.3312,7371,588386,535179,245
2011-03-10$8.42$8.0053.8%15.4%50.0%21.8%53.4%2.3%-2.1%2.8M-90.3M-859.9K1.785.2327,66149,306388,636179,332
2011-03-11$8.65$8.0051.6%14.8%50.8%19.2%52.5%2.2%-2.0%2.8M-101.3M-979.5K0.224.3910,0392,202390,603222,451
2011-03-14$8.43$8.0054.6%15.7%51.7%22.8%55.8%1.3%-2.9%2.3M-77.9M-914.1K0.644.858,3915,384380,708221,975
2011-03-15$8.28$8.0056.5%16.2%49.8%25.1%57.8%1.0%-4.1%2.2M-66.5M-894.7K1.294.9213,61817,604381,269224,037
2011-03-16$8.12$8.0058.5%16.8%50.2%27.5%59.1%2.0%-5.0%1.3M-51.2M-897.4K0.304.7415,5014,623381,605233,517
2011-03-17$8.31$8.0057.1%16.4%48.1%25.9%57.8%0.7%-5.0%1.5M-71.9M-896.6K0.266.0114,1813,673388,012233,805
2011-03-18$8.55$8.0052.5%15.1%45.6%20.2%52.9%1.8%-2.7%1.5M-90.6M-911.7K0.364.6017,4496,342394,756233,603
2011-03-21$8.55$8.0048.1%13.8%44.8%14.9%49.7%2.4%-2.0%1.6M-72.4M-897.2K0.354.1211,0193,872313,137201,459
2011-03-22$8.36$8.0047.8%13.7%43.7%14.5%48.5%1.9%-1.0%1.4M-60.5M-864.8K0.424.754,7241,993315,861202,843
2011-03-23$8.59$8.0046.9%13.5%43.2%13.4%48.3%1.5%-2.8%1.7M-72.9M-882.7K0.534.303,5121,866317,258203,320
2011-03-24$8.83$8.0037.0%10.6%38.1%1.4%38.9%2.9%5.9%2.1M-89.8M-878.8K0.334.0620,1176,622318,613204,064
2011-03-25$8.88$8.0036.6%10.5%37.3%0.8%38.0%1.1%6.4%2.2M-96.2M-881.9K0.324.334,8001,536322,902206,480
2011-03-28$8.69$8.0038.3%11.0%37.9%2.9%39.5%0.3%5.1%2.1M-81.7M-859.3K0.455.163,8071,722322,660206,068
2011-03-29$8.68$8.0038.3%11.0%37.3%2.9%39.0%-0.4%4.8%2.1M-81.5M-854.1K2.535.203,3528,497324,630206,681
2011-03-30$8.79$8.0036.6%10.5%37.2%0.9%37.5%1.9%6.4%2.2M-86.6M-878.1K0.155.6614,6642,172324,589212,082
2011-03-31$8.60$8.0038.1%10.9%37.4%2.6%39.3%0.7%5.5%2.0M-73.0M-864.8K0.875.167,4276,478328,682213,106