AMD Options History — July 2011

In July 2011, AMD traded between $6.18 and $7.75. ATM implied volatility averaged 41.8%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 5.1% (HV 20d: 46.9%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.48.

Notable Days

  • 2011-07-22: Highest Volume — 99,448 contracts
  • 2011-07-14: Largest IV spike — 44.1% change
  • 2011-07-21: Highest IV Rank — 40.0%
  • 2011-07-21: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.95$6.18$7.75$7.11$7.34
Max Pain$7.05$7.00$8.00$8.00$7.00
ATM IV41.8%30.7%52.5%30.7%46.6%
Expected Move12.8%8.8%15.1%8.8%13.3%
HV 20d46.9%31.2%74.1%31.6%74.1%
HV 60d34.5%26.7%48.1%26.7%48.0%
IV Rank19.2%0.0%40.0%0.0%29.1%
IV Percentile45.4%0.0%86.5%0.0%71.0%
Term Structure-0.5%-4.0%10.0%10.0%-1.3%
VWIV44.9%30.6%52.3%30.6%46.5%
Skew 25d1.9%-1.5%15.3%15.3%1.6%
Skew 10d4.7%-0.9%36.9%36.9%-0.7%
Call IV 25d46.0%40.5%53.0%40.5%46.8%
Put IV 25d47.9%43.4%55.7%55.7%48.5%
Bid-Ask Spread %3.492.804.474.094.40
Gamma HHI0.260.180.340.280.32
Net GEX74.2K-767.7K1.1M-403.3K815.9K
Net DEX27.0M-55.3M82.4M46.8M-20.8M
Net VEX-642.7K-814.4K-511.0K-659.3K-779.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.111.840.420.61
Total Volume24,158.36,38499,4487,54010,529
Total OI624,472.35505,937722,404687,546594,931

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$7.11$8.0030.7%8.8%31.6%0.0%30.6%15.3%10.0%-403.3K46.8M-659.3K0.424.095,3142,226412,902274,644
2011-07-05$7.14$7.0033.8%12.2%31.2%3.6%42.2%2.8%0.4%-517.9K44.9M-623.5K0.162.868,7551,362385,689275,683
2011-07-06$7.00$7.0032.4%12.1%31.6%2.0%42.4%0.2%1.2%-716.8K53.4M-586.1K0.313.504,8621,522386,544273,184
2011-07-07$7.15$7.0031.2%12.2%32.8%0.6%42.7%2.5%-0.0%-627.5K42.0M-612.8K0.313.309,4212,880389,457274,047
2011-07-08$6.95$7.0031.8%11.8%33.9%1.3%41.5%1.6%1.2%-601.2K55.1M-580.5K1.843.097,51013,794395,706274,894
2011-07-11$6.76$7.0043.7%12.5%34.9%14.9%44.1%1.9%0.0%-767.7K68.4M-558.2K0.443.4211,4735,015399,535283,037
2011-07-12$6.43$7.0044.2%13.8%38.2%15.5%47.9%1.3%-1.6%-509.1K82.4M-511.0K0.943.6717,13516,166404,021283,744
2011-07-13$6.48$7.0033.7%13.6%37.6%3.4%47.4%-0.4%-0.6%-179.4K78.5M-540.0K0.284.3020,9605,920411,339287,884
2011-07-14$6.44$7.0048.5%13.9%37.2%32.7%48.2%0.6%-0.5%-221.4K81.7M-531.3K0.273.0917,9194,852421,322289,531
2011-07-15$6.43$7.0047.4%13.6%34.9%30.6%47.9%-0.1%0.3%-119.3K78.4M-549.5K0.662.978,0355,298432,619289,785
2011-07-18$6.18$7.0049.2%14.1%36.2%33.9%49.5%2.5%-1.9%-109.1K44.9M-512.2K0.113.5034,5163,948288,756217,181
2011-07-19$6.48$7.0047.9%13.7%40.7%31.7%47.4%0.7%-0.7%140.9K29.0M-605.3K0.312.9712,2253,761310,485219,529
2011-07-20$6.60$7.0047.5%13.6%37.2%30.9%48.2%2.3%-3.2%196.9K23.8M-623.7K0.373.0815,9795,924313,615220,101
2011-07-21$6.50$7.0052.5%15.1%36.8%40.0%52.3%1.4%-4.0%227.1K28.5M-598.6K0.393.4722,8808,897323,689223,406
2011-07-22$7.75$7.0040.0%11.5%73.8%17.1%41.7%2.9%-1.3%1.0M-55.3M-814.4K0.302.8076,47122,977338,444229,215
2011-07-25$7.63$7.0045.0%12.9%73.5%26.3%46.4%-0.4%-3.5%986.5K-41.7M-805.2K0.363.3026,6739,560346,890234,029
2011-07-26$7.66$7.0041.8%12.0%73.5%20.4%42.8%-1.5%-2.0%1.1M-46.3M-803.1K0.283.5622,5676,364358,298233,951
2011-07-27$7.51$7.0042.8%12.3%74.0%22.2%43.5%0.1%-0.3%939.3K-30.2M-782.2K0.554.4713,4347,411356,608238,305
2011-07-28$7.42$7.0045.4%13.0%74.1%27.0%44.7%2.6%-1.9%831.1K-24.0M-778.6K0.704.035,0783,553355,454240,993
2011-07-29$7.34$7.0046.6%13.3%74.1%29.1%46.5%1.6%-1.3%815.9K-20.8M-779.1K0.614.406,5393,990354,856240,075