AMD Options History — May 2011

In May 2011, AMD traded between $8.39 and $9.03. ATM implied volatility averaged 36.3%, placing in the 2.9% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 14.5% (HV 20d: 21.8%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2011-05-18: Highest Volume — 39,513 contracts
  • 2011-05-23: Largest IV spike — 5.6% change
  • 2011-05-13: Highest IV Rank — 5.8%
  • 2011-05-13: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.72$8.39$9.03$9.03$8.68
Max Pain$8.81$8.00$9.00$8.00$9.00
ATM IV36.3%34.3%38.7%35.2%35.0%
Expected Move10.5%9.8%11.1%10.1%10.0%
HV 20d21.8%17.4%27.2%27.2%19.5%
HV 60d33.8%29.1%37.5%37.1%29.5%
IV Rank2.9%0.6%5.8%1.7%1.4%
IV Percentile4.1%0.4%9.9%1.2%2.4%
Term Structure1.2%-0.3%3.0%2.6%0.5%
VWIV37.0%33.3%39.2%35.0%35.0%
Skew 25d0.8%-2.1%2.7%1.9%-1.3%
Skew 10d3.5%-7.7%15.4%5.9%-7.7%
Call IV 25d37.6%33.4%39.6%36.4%37.4%
Put IV 25d38.3%34.4%40.5%38.3%36.2%
Bid-Ask Spread %4.933.376.404.184.97
Gamma HHI0.250.240.270.260.26
Net GEX1.7M433.0K2.6M2.3M1.9M
Net DEX-51.1M-89.9M-10.0M-89.9M-44.2M
Net VEX-912.7K-968.2K-855.0K-957.1K-883.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.092.730.330.18
Total Volume15,159.4294,96139,5134,96110,978
Total OI595,837558,909625,809572,709604,116

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$9.03$8.0035.2%10.1%27.2%1.7%35.0%1.9%2.6%2.3M-89.9M-957.1K0.334.183,7441,217322,202250,507
2011-05-03$8.80$8.0036.2%10.4%26.3%2.9%36.7%0.8%2.0%1.9M-72.0M-951.9K0.743.374,4883,335322,559250,186
2011-05-04$8.79$8.0036.7%10.5%26.3%3.5%36.9%1.2%1.6%2.0M-62.8M-919.4K0.673.7216,36910,896323,092251,737
2011-05-05$8.87$8.0036.5%10.5%23.0%3.2%36.5%2.7%2.2%1.8M-73.6M-968.2K0.345.4415,0445,183322,556259,095
2011-05-06$8.92$9.0035.2%10.7%23.0%1.6%38.0%2.0%0.7%2.0M-76.6M-957.6K0.305.094,8011,458328,253264,925
2011-05-09$8.94$9.0036.4%10.9%22.9%3.0%38.2%2.1%-0.0%2.3M-79.1M-943.4K0.156.167,0241,088328,670264,989
2011-05-10$8.94$9.0035.8%10.8%22.7%2.3%37.9%1.9%0.5%2.5M-77.2M-937.4K2.224.724,99811,082332,141265,307
2011-05-11$8.88$9.0036.3%11.0%21.5%3.0%38.9%1.6%0.3%2.4M-70.8M-931.3K0.885.1512,87811,353332,605268,223
2011-05-12$8.93$9.0037.7%10.8%21.1%4.6%39.2%0.6%-0.0%2.6M-75.6M-955.2K0.714.486,2964,447336,756277,763
2011-05-13$8.90$9.0038.7%11.1%21.2%5.8%39.1%0.5%-0.3%2.6M-73.4M-958.0K0.285.494,3541,231339,867272,981
2011-05-16$8.67$9.0038.5%11.0%23.7%5.5%39.2%0.1%0.3%2.0M-47.2M-904.8K2.414.212,6526,397341,238273,306
2011-05-17$8.54$9.0037.9%10.9%24.2%4.8%38.2%0.3%0.0%1.3M-31.0M-896.7K1.224.868,47410,334340,369278,185
2011-05-18$8.67$9.0036.6%10.5%24.5%3.3%36.6%1.4%1.0%2.1M-39.3M-896.8K0.135.1535,0274,486340,838280,093
2011-05-19$8.64$9.0035.5%10.2%19.4%2.0%35.7%-0.3%1.3%2.0M-35.4M-883.2K0.644.684,8863,139344,930280,081
2011-05-20$8.62$9.0034.8%10.0%19.1%1.2%36.7%0.1%1.4%1.4M-35.7M-896.0K2.735.513,1528,592344,109281,700
2011-05-23$8.49$9.0036.8%10.5%19.8%3.5%36.9%-0.8%1.3%652.7K-19.2M-856.9K0.756.4011,8288,870301,969256,940
2011-05-24$8.39$9.0036.7%10.5%18.4%3.4%36.7%0.5%1.5%433.0K-10.0M-855.0K0.524.613,8091,993307,662263,279
2011-05-25$8.43$9.0035.7%10.2%18.2%2.3%35.7%1.5%2.5%534.9K-13.7M-866.4K0.295.4526,6877,731311,025264,056
2011-05-26$8.48$9.0034.9%10.0%17.5%1.2%33.3%1.3%2.4%843.1K-22.0M-871.4K0.095.168,327765323,965267,973
2011-05-27$8.49$9.0034.3%9.8%17.4%0.6%36.2%-2.1%3.0%1.0M-25.1M-876.9K0.154.8316,4052,530326,978265,351
2011-05-31$8.68$9.0035.0%10.0%19.5%1.4%35.0%-1.3%0.5%1.9M-44.2M-883.4K0.184.979,2871,691338,654265,462