AMD Options History — August 2011

In August 2011, AMD traded between $5.79 and $7.22. ATM implied volatility averaged 60.8%, placing in the 55.2% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded below realized volatility by 19.3% (HV 20d: 80.1%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.86.

Notable Days

  • 2011-08-05: Highest Volume — 22,634 contracts
  • 2011-08-08: Largest IV spike — 40.1% change
  • 2011-08-08: Highest IV Rank — 93.2%
  • 2011-08-08: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.43$5.79$7.22$7.22$6.83
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV60.8%45.9%81.5%46.5%52.6%
Expected Move17.1%13.2%20.0%13.3%15.1%
HV 20d80.1%64.9%92.4%74.2%75.0%
HV 60d57.5%48.0%62.7%48.0%62.6%
IV Rank55.2%27.9%93.2%29.1%40.3%
IV Percentile90.8%68.3%99.6%71.0%80.6%
Term Structure-1.8%-6.2%1.8%-0.7%1.4%
VWIV59.8%46.4%71.9%47.3%56.4%
Skew 25d8.2%1.5%13.1%2.6%11.8%
Skew 10d18.1%-16.9%34.9%0.3%24.9%
Call IV 25d57.5%47.0%69.0%47.8%51.8%
Put IV 25d65.7%50.4%76.1%50.4%63.6%
Bid-Ask Spread %5.462.869.723.003.84
Gamma HHI0.220.180.290.290.21
Net GEX139.1K-116.9K723.6K723.6K21.3K
Net DEX31.1M-10.4M56.7M-10.4M16.5M
Net VEX-604.5K-744.9K-507.0K-744.9K-617.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.182.401.060.35
Total Volume13,171.4785,08722,63416,4255,087
Total OI599,847.522573,705626,083593,651582,299

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$7.22$7.0046.5%13.3%74.2%29.1%47.3%2.6%-0.7%723.6K-10.4M-744.9K1.063.007,9568,469355,360238,291
2011-08-02$7.11$7.0047.0%13.5%74.4%29.9%47.4%2.9%-0.6%665.5K-2.0M-716.2K0.623.3111,0586,824357,757238,971
2011-08-03$7.16$7.0045.9%13.2%74.1%27.9%46.4%5.4%1.4%675.1K-5.5M-727.9K2.312.865,64513,034356,077238,777
2011-08-04$6.50$7.0060.3%17.3%81.3%54.3%56.9%1.5%-4.7%189.3K31.8M-632.0K0.565.3811,3026,287356,478246,006
2011-08-05$6.56$7.0058.2%16.1%81.0%50.4%57.8%5.8%-0.9%241.7K27.7M-650.7K0.567.6114,5008,134356,030245,984
2011-08-08$5.94$7.0081.5%20.0%87.6%93.2%71.9%6.8%-5.3%85.9K45.0M-556.6K0.898.329,7348,703361,458248,245
2011-08-09$6.18$7.0068.2%17.9%87.5%68.7%64.8%6.8%-3.1%104.4K41.5M-588.2K1.009.7210,96510,958361,528246,078
2011-08-10$5.85$7.0078.3%19.7%89.3%87.3%69.3%7.6%-6.2%81.9K49.2M-540.3K0.667.374,7123,128366,337248,547
2011-08-11$6.17$7.0066.1%19.0%91.7%65.0%68.2%10.1%-4.2%137.4K40.0M-597.1K0.525.828,5664,433367,271249,041
2011-08-12$6.21$7.0061.1%17.5%91.8%55.8%59.9%8.1%-2.8%97.1K42.6M-581.8K0.255.617,1321,770370,739248,761
2011-08-15$6.43$7.0058.2%16.7%91.5%50.5%55.7%7.2%-0.8%184.1K33.1M-606.2K0.184.339,2731,643370,864249,105
2011-08-16$6.34$7.0057.7%16.5%90.0%49.5%56.4%7.1%-0.5%3.2K43.7M-556.6K2.084.776,54213,619369,218248,752
2011-08-17$6.14$7.0056.1%16.1%90.4%46.6%55.7%6.8%-0.1%-116.9K51.1M-556.5K1.364.482,7443,721366,337257,351
2011-08-18$5.79$7.0065.4%18.8%92.4%63.7%66.4%8.2%-3.6%-43.0K56.7M-507.0K0.195.8914,2942,770366,998252,730
2011-08-19$5.98$7.0068.3%19.6%64.9%69.1%70.9%10.2%-4.3%123.0K48.8M-546.0K0.626.195,3843,323373,052253,031
2011-08-22$6.05$7.0066.2%19.0%65.5%65.2%66.1%10.8%-2.7%-44.3K47.7M-524.9K0.366.745,7392,081330,583243,122
2011-08-23$6.50$7.0063.3%18.1%71.8%59.8%61.4%13.1%-1.8%-25.3K29.8M-615.3K0.235.1612,1282,811332,825243,303
2011-08-24$6.34$7.0062.3%17.9%71.9%57.9%57.7%10.4%-1.1%-1.5K36.5M-579.7K1.006.093,1023,090334,678243,500
2011-08-25$6.37$7.0066.0%18.9%72.0%64.8%62.4%10.7%-2.5%14.0K31.7M-584.2K0.215.236,6771,380334,645242,151
2011-08-26$6.49$7.0062.9%18.0%72.6%59.0%65.7%12.8%-0.6%26.0K28.7M-605.6K1.435.723,0194,332336,368242,517
2011-08-29$6.83$7.0053.3%15.3%75.2%41.4%57.0%11.7%1.0%57.4K13.9M-642.3K0.884.318,5227,529337,149245,565
2011-08-30$6.84$7.0052.7%15.1%75.1%40.4%54.0%9.3%1.8%34916.7M-624.8K2.403.853,1877,637335,765246,849
2011-08-31$6.83$7.0052.6%15.1%75.0%40.3%56.4%11.8%1.4%21.3K16.5M-617.8K0.353.843,7651,322335,700246,599