AMD Options History — April 2011

In April 2011, AMD traded between $8.10 and $9.10. ATM implied volatility averaged 39.4%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 6.5% (HV 20d: 32.9%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2011-04-21: Highest Volume — 52,398 contracts
  • 2011-04-14: Largest IV spike — 20.1% change
  • 2011-04-14: Highest IV Rank — 9.9%
  • 2011-04-06: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.49$8.10$9.10$8.36$9.10
Max Pain$8.05$8.00$9.00$8.00$8.00
ATM IV39.4%33.8%44.0%38.3%33.8%
Expected Move11.9%9.7%13.3%11.0%9.7%
HV 20d32.9%29.3%38.4%38.4%29.3%
HV 60d41.6%37.1%46.6%46.4%37.1%
IV Rank4.6%0.0%9.9%3.0%0.0%
IV Percentile12.1%0.0%39.3%3.2%0.0%
Term Structure0.7%-2.8%6.6%6.6%4.0%
VWIV41.7%34.4%46.3%38.5%34.4%
Skew 25d1.6%-2.0%3.3%-2.0%2.1%
Skew 10d3.4%-13.8%10.8%-13.8%1.8%
Call IV 25d41.8%34.6%46.5%39.1%34.6%
Put IV 25d43.5%36.6%48.3%37.2%36.6%
Bid-Ask Spread %4.193.416.414.744.09
Gamma HHI0.240.230.280.280.26
Net GEX1.2M236.5K2.3M1.6M2.3M
Net DEX-53.4M-95.2M-24.9M-54.5M-95.2M
Net VEX-887.8K-988.3K-819.8K-848.5K-977.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.122.631.120.36
Total Volume22,189.65,71852,39823,3388,663
Total OI561,949.4459,791603,085547,883571,124

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$8.36$8.0038.3%11.0%38.4%3.0%38.5%-2.0%6.6%1.6M-54.5M-848.5K1.124.7411,00112,337330,949216,934
2011-04-04$8.10$9.0040.6%13.0%37.2%5.7%45.2%2.5%0.2%1.1M-37.1M-829.9K0.893.6512,21110,839337,151223,945
2011-04-05$8.11$8.0041.4%13.0%36.4%6.6%45.6%1.6%0.8%1.1M-36.8M-844.5K1.003.8818,97518,949340,410229,399
2011-04-06$8.43$8.0042.3%13.3%37.7%7.8%46.3%1.4%-0.4%1.7M-59.3M-893.8K0.245.1420,3354,890351,605243,256
2011-04-07$8.41$8.0038.9%13.3%36.2%3.7%46.3%2.4%-0.1%1.6M-57.9M-887.2K0.804.726,1214,874351,388243,523
2011-04-08$8.47$8.0038.3%13.3%34.9%2.9%45.5%2.5%-0.6%1.6M-59.6M-885.2K2.633.713,7029,731350,409245,972
2011-04-11$8.42$8.0043.4%13.0%33.7%9.1%45.1%2.2%-0.6%1.4M-54.5M-877.1K0.414.6911,5784,779352,060251,025
2011-04-12$8.26$8.0040.9%13.0%33.8%6.0%45.2%2.1%-0.7%939.3K-38.6M-845.0K0.513.665,4592,793350,348252,195
2011-04-13$8.20$8.0036.7%12.6%33.2%0.9%44.4%2.9%0.1%660.4K-35.5M-822.3K0.314.934,3761,342344,633250,825
2011-04-14$8.19$8.0044.0%12.6%32.1%9.9%44.4%1.0%-0.2%647.6K-35.5M-825.6K0.553.496,1153,385346,850251,426
2011-04-15$8.27$8.0042.6%12.2%30.4%8.1%42.3%2.9%0.2%484.1K-41.8M-827.3K0.623.7119,20411,838348,291252,911
2011-04-18$8.20$8.0042.9%12.3%30.5%8.5%42.9%2.9%-1.1%236.5K-24.9M-819.8K1.643.4115,95026,218255,227204,564
2011-04-19$8.27$8.0040.2%11.5%29.8%5.2%40.1%3.3%-1.4%267.1K-25.8M-862.6K0.124.639,9261,216266,920224,593
2011-04-20$8.63$8.0039.6%11.4%32.1%4.5%40.0%0.8%-0.8%677.3K-46.9M-895.2K0.216.4130,0076,246270,810225,161
2011-04-21$8.71$8.0042.7%12.2%30.6%8.3%43.9%0.5%-2.8%1.1M-59.7M-933.4K0.984.1026,51625,882289,036227,854
2011-04-25$8.70$8.0035.6%10.2%30.6%0.0%36.7%0.1%1.7%1.2M-55.4M-966.5K0.403.8213,8275,491300,839251,206
2011-04-26$8.88$8.0036.8%10.6%30.4%1.5%37.1%-0.1%1.6%1.5M-71.3M-950.6K0.223.5536,2087,927298,605248,907
2011-04-27$8.95$8.0034.4%9.9%30.5%0.0%36.1%1.9%3.5%2.0M-81.9M-975.3K0.593.428,3394,886317,989249,867
2011-04-28$9.07$8.0034.4%9.9%30.6%0.0%34.7%1.9%3.7%2.2M-94.9M-988.3K1.044.155,7035,953319,229251,552
2011-04-29$9.10$8.0033.8%9.7%29.3%0.0%34.4%2.1%4.0%2.3M-95.2M-977.5K0.364.096,3802,283320,291250,833