AMD Options History — October 2011

In October 2011, AMD traded between $4.53 and $5.94. ATM implied volatility averaged 70.7%, placing in the 76.9% IV rank vs the trailing year. The 30-day expected move averaged 20.7%. IV traded below realized volatility by 8.6% (HV 20d: 79.3%). Max pain ranged from $4.00 to $8.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2011-10-05: Highest Volume — 53,661 contracts
  • 2011-10-28: Largest IV drop — 32.3% change
  • 2011-10-26: Highest IV Rank — 99.3%
  • 2011-10-26: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.95$4.53$5.94$4.53$5.83
Max Pain$4.76$4.00$8.00$8.00$4.00
ATM IV70.7%53.3%81.1%77.0%56.5%
Expected Move20.7%15.3%23.3%22.1%16.2%
HV 20d79.3%60.4%87.4%85.0%60.4%
HV 60d74.6%68.5%78.7%78.2%73.7%
IV Rank76.9%44.6%99.3%85.0%50.9%
IV Percentile95.1%76.2%99.6%98.8%80.2%
Term Structure-3.1%-9.6%6.6%-1.6%-0.5%
VWIV73.9%56.4%82.8%79.0%58.7%
Skew 25d6.8%1.2%10.9%5.3%2.6%
Skew 10d13.4%3.3%30.9%15.2%9.6%
Call IV 25d72.4%55.7%81.1%79.3%61.0%
Put IV 25d79.3%56.8%86.2%84.7%63.7%
Bid-Ask Spread %3.622.734.814.303.89
Gamma HHI0.170.150.220.200.19
Net GEX343.9K82.1K506.3K82.1K506.3K
Net DEX42.5M-26.9M77.0M77.0M-24.1M
Net VEX-309.8K-367.0K-262.7K-262.7K-367.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.232.070.230.31
Total Volume19,633.1434,32953,66130,4719,118
Total OI647,840.095502,009725,753641,053538,995

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$4.53$8.0077.0%22.1%85.0%85.0%79.0%5.3%-1.6%82.1K77.0M-262.7K0.234.3024,7555,716376,945264,108
2011-10-04$4.72$8.0070.5%20.2%87.4%73.0%73.2%4.0%3.7%174.0K73.0M-295.2K0.903.5412,20410,939387,813266,131
2011-10-05$4.83$8.0067.8%19.4%82.1%68.1%69.0%6.8%6.6%208.7K70.6M-309.7K0.372.9539,04014,621391,913268,022
2011-10-06$4.85$8.0068.8%19.7%82.0%69.9%68.9%4.6%4.2%348.7K59.6M-323.4K0.353.0810,0773,479424,443274,220
2011-10-07$4.73$4.0069.7%21.3%81.5%71.5%74.0%10.3%-3.1%220.3K63.8M-295.2K0.493.977,9033,853421,940275,020
2011-10-10$4.84$4.0066.6%21.0%81.1%66.0%75.0%10.3%-3.1%337.8K61.4M-316.3K0.233.953,509820424,405275,115
2011-10-11$4.86$4.0063.1%20.9%79.1%59.4%75.2%10.9%-3.5%358.0K60.5M-318.5K0.793.704,3763,472425,212273,910
2011-10-12$4.93$4.0058.2%20.4%77.5%50.4%71.5%7.2%-1.5%383.2K57.7M-321.3K0.333.2519,6606,408427,009273,906
2011-10-13$4.97$4.0073.9%21.2%77.0%85.1%74.3%9.8%-4.0%437.4K57.1M-329.9K0.273.2012,2863,351433,971276,604
2011-10-14$4.92$4.0072.3%20.7%77.1%81.9%74.3%10.4%-5.6%446.9K59.9M-310.1K0.683.725,5753,798438,083278,398
2011-10-17$4.67$4.0077.4%22.2%77.6%92.0%76.8%7.2%-7.5%343.6K64.1M-279.9K0.583.595,4663,170438,945279,820
2011-10-18$4.83$4.0072.6%20.8%79.8%82.5%78.2%8.3%-4.3%467.1K60.0M-299.5K0.513.857,6003,845440,882278,559
2011-10-19$4.73$4.0077.5%22.2%79.4%92.1%78.2%7.1%-6.8%427.0K60.9M-295.9K0.623.493,4532,135445,213278,616
2011-10-20$4.54$4.0076.4%21.9%78.5%90.0%76.7%7.0%-5.5%301.0K64.7M-267.1K2.073.016,73913,950446,357279,396
2011-10-21$4.72$4.0073.4%21.0%80.4%84.1%73.2%10.8%-4.9%307.2K62.2M-279.0K1.283.355,4396,976446,166277,703
2011-10-24$5.06$4.0073.3%21.0%83.9%83.8%76.2%8.0%-4.5%327.8K1.1M-299.9K0.733.4618,48513,459341,016160,993
2011-10-25$4.91$4.0076.7%22.0%83.6%90.5%78.6%3.0%-6.0%290.0K4.4M-301.3K0.852.734,3453,705341,873167,113
2011-10-26$5.09$4.0081.1%23.3%84.0%99.3%82.8%3.6%-8.6%348.1K-1.3M-324.8K0.544.3211,8266,365343,384168,039
2011-10-27$5.54$4.0078.7%22.6%73.3%94.6%82.5%5.1%-9.6%413.8K-12.9M-350.1K0.644.8125,12816,188350,099171,317
2011-10-28$5.94$4.0053.3%15.3%74.9%44.6%56.4%1.2%1.8%493.3K-26.9M-358.5K0.473.9133,48915,573354,010178,978
2011-10-31$5.83$4.0056.5%16.2%60.4%50.9%58.7%2.6%-0.5%506.3K-24.1M-367.0K0.313.896,9712,147357,000181,995