AMD Options History — June 2011

In June 2011, AMD traded between $6.89 and $8.37. ATM implied volatility averaged 39.4%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 12.0% (HV 20d: 27.4%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.84.

Notable Days

  • 2011-06-08: Highest Volume — 110,263 contracts
  • 2011-06-06: Largest IV spike — 15.2% change
  • 2011-06-08: Highest IV Rank — 11.4%
  • 2011-06-08: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.40$6.89$8.37$8.37$6.99
Max Pain$8.27$8.00$9.00$9.00$8.00
ATM IV39.4%31.2%43.4%36.4%31.2%
Expected Move11.3%8.9%12.7%10.4%8.9%
HV 20d27.4%21.5%34.1%21.5%31.7%
HV 60d28.0%26.4%29.2%29.2%27.7%
IV Rank6.8%0.0%11.4%3.0%0.0%
IV Percentile21.2%0.0%45.2%6.3%0.0%
Term Structure3.5%0.8%10.7%1.2%10.7%
VWIV40.8%31.2%48.9%40.1%31.2%
Skew 25d-0.7%-5.0%3.1%-5.0%-0.1%
Skew 10d-0.7%-14.7%6.1%-14.7%-0.2%
Call IV 25d43.1%38.8%49.3%40.3%38.8%
Put IV 25d42.4%35.3%46.4%35.3%38.6%
Bid-Ask Spread %3.442.384.133.993.46
Gamma HHI0.250.200.550.240.28
Net GEX-516.8K-3.7M1.0M1.0M-739.7K
Net DEX45.4M-14.2M73.7M-14.2M56.2M
Net VEX-707.0K-847.3K-587.4K-847.3K-613.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.102.720.790.10
Total Volume24,028.1365,980110,2639,90441,343
Total OI650,219.955591,773717,798604,075652,813

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$8.37$9.0036.4%10.4%21.5%3.0%40.1%-5.0%1.2%1.0M-14.2M-847.3K0.793.995,5284,376338,428265,647
2011-06-02$8.23$9.0034.9%10.0%22.1%1.3%37.9%-2.3%1.8%537.5K1.6M-815.1K0.893.826,8086,051340,852268,324
2011-06-03$7.97$9.0035.9%11.1%23.8%2.5%41.4%-2.1%1.8%-103.7K25.1M-779.3K0.293.1426,4837,691345,467271,422
2011-06-06$7.80$9.0041.4%11.6%24.1%9.0%41.4%-1.4%1.2%-299.6K33.3M-769.7K0.683.879,1136,206358,819275,150
2011-06-07$7.71$9.0040.7%11.2%23.9%8.2%40.7%-1.6%2.2%-585.8K39.5M-745.4K1.303.5718,39123,921359,408277,861
2011-06-08$7.62$9.0043.4%12.7%23.8%11.4%44.7%-2.1%0.8%-626.7K47.4M-765.0K0.663.7466,46243,801365,485290,434
2011-06-09$7.64$8.0041.5%11.9%24.1%9.1%42.2%-1.7%2.2%-384.0K45.5M-803.6K0.353.5224,1428,540399,652309,693
2011-06-10$7.59$8.0041.3%11.8%23.6%8.8%43.0%-1.2%2.2%-494.9K47.4M-807.1K1.174.137,4578,759403,841313,957
2011-06-13$7.54$8.0041.7%12.0%23.5%9.4%42.1%0.4%1.3%-595.2K51.7M-758.1K1.703.954,1637,096396,366307,709
2011-06-14$7.67$8.0040.2%11.5%24.2%7.5%40.6%-1.0%2.2%-530.1K45.2M-779.5K1.044.045,7175,968398,771310,374
2011-06-15$7.50$8.0041.0%11.7%24.7%8.5%41.5%-1.8%3.9%-646.5K53.4M-760.1K0.583.675,9173,427396,630308,190
2011-06-16$7.19$8.0043.0%12.3%26.3%10.9%45.0%1.1%2.4%-871.6K67.1M-713.8K2.723.959,96027,108396,858306,169
2011-06-17$7.00$8.0042.9%12.3%26.9%10.7%48.9%-3.5%1.9%-3.7M73.7M-638.2K0.583.4118,49410,772392,178291,298
2011-06-20$6.89$8.0041.8%12.0%26.8%9.5%43.0%-1.6%3.2%-595.6K60.6M-592.3K0.672.6612,2698,193335,679256,094
2011-06-21$7.22$8.0041.0%11.8%33.7%8.5%42.8%0.9%3.1%-352.4K42.8M-659.1K0.212.6817,6343,725342,097261,334
2011-06-22$7.06$8.0039.1%11.2%34.1%6.3%41.1%1.5%4.6%-430.5K51.1M-621.9K0.293.197,2742,095345,399258,843
2011-06-23$7.06$8.0038.8%11.1%33.9%6.0%39.1%3.1%5.2%-292.7K46.9M-649.0K0.443.2111,5655,065359,952259,693
2011-06-24$6.90$8.0040.3%11.5%33.8%7.7%40.5%0.4%4.6%-335.9K55.2M-614.4K0.692.936,8384,695366,070260,631
2011-06-27$6.92$8.0039.9%11.4%33.8%7.2%40.0%1.2%4.9%-274.8K53.5M-619.5K0.622.383,6942,286372,251263,272
2011-06-28$6.95$8.0037.9%10.9%32.1%4.8%37.9%2.1%7.0%-391.6K53.6M-614.3K2.003.254,7249,432371,396264,651
2011-06-29$6.89$8.0033.5%9.6%30.7%0.0%33.5%-1.6%8.4%-708.4K62.8M-587.4K0.773.208,7376,699374,343271,338
2011-06-30$6.99$8.0031.2%8.9%31.7%0.0%31.2%-0.1%10.7%-739.7K56.2M-613.2K0.103.4637,4883,855378,323274,490