AMD Options History — September 2011

In September 2011, AMD traded between $5.08 and $7.34. ATM implied volatility averaged 59.8%, placing in the 53.4% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded below realized volatility by 1.8% (HV 20d: 61.6%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2011-09-29: Highest Volume — 61,691 contracts
  • 2011-09-07: Largest IV drop — 16.4% change
  • 2011-09-06: Highest IV Rank — 69.7%
  • 2011-09-29: Largest Expected Move — 19.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.51$5.08$7.34$6.68$5.08
Max Pain$7.90$7.00$8.00$7.00$8.00
ATM IV59.8%51.8%68.7%52.4%66.6%
Expected Move17.2%14.9%19.6%15.0%19.1%
HV 20d61.6%54.9%78.3%66.8%78.3%
HV 60d66.9%62.7%75.1%62.7%75.1%
IV Rank53.4%38.8%69.7%39.8%65.9%
IV Percentile89.2%77.4%98.4%79.4%96.8%
Term Structure2.2%-2.2%5.6%1.8%5.6%
VWIV59.7%51.7%67.6%56.7%67.6%
Skew 25d8.5%5.9%11.0%8.1%10.8%
Skew 10d18.7%11.3%27.5%27.5%15.8%
Call IV 25d57.3%49.1%64.7%53.9%64.7%
Put IV 25d65.8%57.4%75.6%61.9%75.6%
Bid-Ask Spread %3.852.815.413.762.98
Gamma HHI0.210.170.270.210.20
Net GEX32.2K-163.3K223.2K15.9K211.8K
Net DEX29.4M-14.3M72.9M22.2M72.9M
Net VEX-538.8K-637.6K-334.9K-611.7K-334.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.151.040.150.66
Total Volume14,714.3335,81261,6919,82912,739
Total OI593,256.952560,620638,675583,432638,675

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$6.68$7.0052.4%15.0%66.8%39.8%56.7%8.1%1.8%15.9K22.2M-611.7K0.153.768,5121,317336,507246,925
2011-09-02$6.32$7.0059.7%17.1%69.7%53.2%58.4%10.9%0.8%1.2K37.6M-545.3K0.614.206,8044,181340,760247,227
2011-09-06$6.27$8.0068.7%18.2%59.6%69.7%62.1%9.4%-2.2%34.3K36.2M-546.0K0.583.554,2912,500340,211247,621
2011-09-07$6.76$8.0057.4%16.0%63.7%49.1%56.2%7.1%-0.1%64.8K19.0M-589.0K0.683.694,0552,755341,305248,346
2011-09-08$6.81$8.0055.2%16.4%59.7%45.0%57.4%6.7%-0.8%108.4K14.2M-605.1K0.423.824,5301,923340,406249,266
2011-09-09$6.52$8.0060.1%17.4%59.8%53.9%62.4%9.0%2.8%77.5K27.4M-563.5K0.964.453,3823,245340,369249,142
2011-09-12$6.71$8.0064.3%17.7%60.5%61.7%64.5%8.1%2.5%108.1K20.2M-578.1K0.694.603,5332,425341,234250,227
2011-09-13$6.96$8.0055.5%17.1%60.6%45.4%63.1%10.0%-0.5%223.2K5.8M-613.0K0.573.788,0654,633342,001251,451
2011-09-14$7.21$8.0053.8%16.6%61.2%42.5%58.1%9.2%-0.4%198.8K-7.5M-637.6K0.403.8711,5324,666341,966250,836
2011-09-15$7.34$8.0054.9%15.7%59.6%44.4%52.6%9.3%1.6%71.5K-14.3M-625.5K0.613.638,9585,429342,044252,717
2011-09-16$7.20$8.0051.8%14.9%55.1%38.8%51.7%8.3%3.1%-12.0K-3.4M-601.1K0.273.146,9511,901341,631256,481
2011-09-19$6.92$8.0054.7%15.7%57.3%44.1%55.0%8.6%4.1%-163.3K18.7M-564.6K0.453.4518,0768,083319,235241,385
2011-09-20$6.74$8.0053.6%15.4%58.5%42.1%55.8%5.9%4.4%-130.1K28.6M-554.1K0.563.233,9732,205329,765244,136
2011-09-21$6.48$8.0060.8%17.4%54.9%55.3%58.7%6.3%1.8%-86.7K40.2M-512.5K0.374.1715,8315,850330,351244,713
2011-09-22$6.12$8.0064.2%18.4%58.0%61.5%63.7%8.4%3.0%-17.6K49.4M-481.7K0.825.4117,01213,877340,868247,876
2011-09-23$6.17$8.0063.6%18.2%58.0%60.4%63.6%7.7%3.3%-41.8K50.8M-484.0K0.653.544,2392,744346,991254,562
2011-09-26$6.40$8.0064.6%18.5%59.2%62.1%61.9%8.3%2.6%-28.0K38.7M-525.5K0.314.244,4481,364346,810255,433
2011-09-27$6.49$8.0061.9%17.8%56.3%57.3%56.2%9.0%3.6%-65.8K39.0M-519.5K1.044.727,2197,516347,828256,171
2011-09-28$6.15$8.0063.0%18.1%59.1%59.4%62.4%6.9%4.2%-2.9K49.6M-481.8K0.153.8814,3492,197349,087255,137
2011-09-29$5.31$8.0068.3%19.6%77.5%69.0%65.5%11.0%5.4%108.6K72.6M-339.3K0.462.8142,30719,384357,168253,532
2011-09-30$5.08$8.0066.6%19.1%78.3%65.9%67.6%10.8%5.6%211.8K72.9M-334.9K0.662.987,6905,049375,268263,407