AMD Options History — November 2011

In November 2011, AMD traded between $4.99 and $5.95. ATM implied volatility averaged 58.7%, placing in the 55.2% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded below realized volatility by 13.4% (HV 20d: 72.1%). Max pain ranged from $4.00 to $5.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2011-11-11: Highest Volume — 19,290 contracts
  • 2011-11-09: Largest IV spike — 12.2% change
  • 2011-11-01: Highest IV Rank — 68.5%
  • 2011-11-01: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.51$4.99$5.95$5.30$5.69
Max Pain$5.29$4.00$5.50$4.00$5.50
ATM IV58.7%52.3%65.5%65.5%52.3%
Expected Move16.9%15.0%18.8%18.8%15.0%
HV 20d72.1%59.6%79.1%70.4%59.6%
HV 60d72.6%71.2%73.7%73.5%73.5%
IV Rank55.2%42.6%68.5%68.5%42.6%
IV Percentile79.6%65.1%89.3%89.3%65.1%
Term Structure1.3%-1.6%3.7%-1.6%1.7%
VWIV59.9%51.7%67.7%67.7%51.7%
Skew 25d7.1%4.4%9.0%6.5%6.9%
Skew 10d13.6%9.1%19.6%9.6%12.0%
Call IV 25d57.8%50.4%66.3%66.3%50.4%
Put IV 25d64.9%57.3%72.8%72.8%57.3%
Bid-Ask Spread %4.403.266.114.094.23
Gamma HHI0.170.130.240.130.13
Net GEX292.3K65.5K524.0K205.9K159.6K
Net DEX-658.0K-23.0M26.3M-1.3M12.8M
Net VEX-284.0K-337.6K-221.6K-306.5K-251.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.132.020.690.36
Total Volume10,025.6194,09119,29014,14210,807
Total OI514,822.19451,320550,266535,436460,564

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$5.30$4.0065.5%18.8%70.4%68.5%67.7%6.5%-1.6%205.9K-1.3M-306.5K0.694.098,3675,775352,306183,130
2011-11-02$5.46$4.0061.8%17.7%70.7%61.2%64.3%5.5%0.3%325.4K-7.8M-329.3K0.374.834,2281,580352,192182,762
2011-11-03$5.73$4.0058.8%16.9%72.3%55.4%59.2%4.4%0.8%405.5K-17.5M-337.6K0.213.266,7931,458353,748182,842
2011-11-04$5.67$5.5058.3%17.5%71.5%54.3%61.9%6.3%3.7%382.3K-14.5M-327.0K0.366.113,2171,146355,311182,882
2011-11-07$5.68$5.5059.2%17.0%71.4%56.1%58.7%7.9%1.9%359.3K-13.0M-308.5K1.365.535,3817,309356,381183,048
2011-11-08$5.75$5.5055.3%16.4%71.4%48.5%56.9%6.2%1.8%406.5K-15.7M-320.1K0.144.626,758970357,266185,459
2011-11-09$5.38$5.5062.1%17.9%76.1%61.8%64.4%7.8%0.4%320.7K-4.7M-303.0K0.755.274,9773,755358,225185,167
2011-11-10$5.66$5.5061.0%17.5%77.9%59.7%59.8%6.3%1.7%375.5K-10.9M-299.4K0.214.0710,8542,235357,374184,597
2011-11-11$5.95$5.5055.7%16.0%79.1%49.2%56.9%8.2%1.6%524.0K-23.0M-316.6K0.264.3015,3683,922361,870185,320
2011-11-14$5.79$5.5057.3%16.4%77.0%52.4%62.3%6.8%1.7%455.8K-15.1M-293.9K0.653.976,1443,988356,337186,669
2011-11-15$5.76$5.5056.5%16.2%76.7%50.8%62.7%7.0%0.9%444.3K-12.8M-292.2K1.314.043,9405,143356,218189,169
2011-11-16$5.68$5.5059.9%17.2%76.4%57.5%57.5%6.6%0.8%397.4K-10.7M-291.1K0.634.904,2372,662358,033191,418
2011-11-17$5.44$5.5061.5%17.6%76.6%60.6%61.7%8.3%0.9%157.4K-226.4K-262.2K0.575.295,5183,125357,850191,731
2011-11-18$5.47$5.5056.7%16.2%75.7%51.2%56.8%7.9%3.4%438.4K-1.4M-276.7K0.203.7114,8432,950357,823192,443
2011-11-21$5.42$5.5059.6%17.1%72.2%56.9%60.4%8.4%0.4%191.9K14.8M-263.4K0.344.227,0282,413304,579146,741
2011-11-22$5.30$5.5056.4%16.2%71.8%50.6%56.5%7.7%2.6%183.2K17.5M-251.2K2.023.793,3736,814308,016147,660
2011-11-23$5.05$5.5061.6%17.7%73.0%60.9%61.8%5.7%0.4%86.4K24.5M-229.7K0.235.1110,2292,371308,186152,130
2011-11-25$4.99$5.5061.9%17.7%65.8%61.4%60.6%7.9%-0.4%65.5K26.3M-221.6K0.633.582,5131,578309,376152,664
2011-11-28$5.30$5.5056.7%16.3%64.4%51.3%56.8%9.0%1.9%146.8K19.7M-242.5K0.134.269,7491,286309,912152,745
2011-11-29$5.32$5.5055.5%15.9%64.3%48.9%59.0%7.6%1.7%106.2K19.3M-241.5K0.623.313,5392,195307,795153,327
2011-11-30$5.69$5.5052.3%15.0%59.6%42.6%51.7%6.9%1.7%159.6K12.8M-251.2K0.364.237,9672,840306,684153,880