AMD Options History — December 2011

In December 2011, AMD traded between $4.86 and $5.76. ATM implied volatility averaged 50.4%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 3.7% (HV 20d: 54.0%). Max pain ranged from $5.50 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2011-12-22: Highest Volume — 20,889 contracts
  • 2011-12-12: Largest IV spike — 18.1% change
  • 2011-12-13: Highest IV Rank — 60.5%
  • 2011-12-13: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.36$4.86$5.76$5.70$5.40
Max Pain$6.52$5.50$7.50$5.50$6.00
ATM IV50.4%45.7%61.4%51.9%47.6%
Expected Move14.6%13.1%16.3%14.9%13.7%
HV 20d54.0%48.1%59.8%58.8%50.9%
HV 60d69.0%59.9%72.3%71.8%59.9%
IV Rank38.7%29.6%60.5%41.7%33.4%
IV Percentile60.2%48.0%82.5%64.7%52.8%
Term Structure6.8%3.0%10.3%3.0%9.3%
VWIV52.1%44.8%57.3%57.3%48.0%
Skew 25d5.8%4.1%13.5%13.5%4.3%
Skew 10d12.3%0.8%30.2%30.2%17.1%
Call IV 25d49.8%42.9%55.7%42.9%46.2%
Put IV 25d55.7%49.9%62.6%56.4%50.5%
Bid-Ask Spread %3.232.504.413.652.76
Gamma HHI0.170.120.230.140.23
Net GEX211.2K19.5K329.7K195.1K329.7K
Net DEX18.8M9.7M28.1M11.1M15.1M
Net VEX-209.3K-252.5K-178.4K-252.5K-194.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.031.300.310.10
Total Volume8,2402,81620,8897,4456,395
Total OI471,261.905454,421490,205465,167471,600

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$5.70$5.5051.9%14.9%58.8%41.7%57.3%13.5%3.0%195.1K11.1M-252.5K0.313.655,6661,779310,651154,516
2011-12-02$5.65$5.5048.4%13.9%56.3%35.0%44.8%9.1%4.5%220.2K11.5M-249.8K0.573.614,3712,474314,091154,493
2011-12-05$5.76$7.5045.9%14.4%56.6%30.0%53.2%4.2%7.1%299.6K9.7M-243.0K0.313.093,3041,030316,588155,599
2011-12-06$5.66$7.5050.1%15.2%57.0%38.3%56.2%4.8%5.5%293.4K12.1M-236.9K1.072.601,3621,454317,265155,742
2011-12-07$5.72$7.5051.3%15.4%57.0%40.5%55.6%4.9%5.7%304.3K11.7M-236.8K1.202.502,3622,846317,076156,135
2011-12-08$5.47$7.5053.7%15.9%54.0%45.2%56.9%5.4%4.6%219.2K17.3M-231.0K0.213.672,836596316,994157,272
2011-12-09$5.54$7.5047.3%15.3%51.0%32.7%57.3%6.0%6.0%217.4K18.4M-219.7K1.303.693,9885,199317,263157,479
2011-12-12$5.30$7.5055.9%15.6%49.4%49.6%56.2%8.6%5.7%161.0K23.3M-204.2K0.523.053,3821,749319,231156,613
2011-12-13$5.18$7.5061.4%16.3%49.2%60.5%54.9%7.6%4.3%78.4K26.5M-198.0K0.343.765,2651,776320,196156,826
2011-12-14$5.07$7.5054.3%16.0%49.5%46.4%56.7%4.6%4.9%19.5K28.1M-199.5K0.182.7517,0063,099322,740156,883
2011-12-15$5.04$6.0054.4%15.6%49.4%46.7%54.4%5.0%6.0%73.6K26.4M-196.9K0.293.092,644757333,928156,277
2011-12-16$5.13$6.0052.6%15.1%48.1%43.1%52.2%4.8%7.4%143.0K23.8M-196.9K0.512.592,6731,365333,695156,465
2011-12-19$4.86$6.0051.6%14.8%51.2%41.1%52.3%5.1%7.6%142.7K27.9M-178.4K0.664.415,2523,453311,287143,134
2011-12-20$5.19$6.0050.1%14.4%57.1%38.2%49.5%4.1%7.0%184.4K21.7M-190.1K0.583.788,5604,968313,225143,467
2011-12-21$5.08$6.0048.4%13.9%57.1%34.9%49.4%4.8%9.1%207.3K24.1M-190.4K1.163.372,7053,141317,369145,370
2011-12-22$5.45$6.0045.8%13.1%59.8%29.8%46.7%6.0%8.7%238.8K15.8M-201.8K0.542.7413,5847,305318,083147,095
2011-12-23$5.41$6.0045.7%13.1%59.7%29.6%47.1%4.8%9.2%269.8K17.4M-199.0K0.032.8415,667474320,285147,362
2011-12-27$5.38$6.0046.0%13.2%55.9%30.1%48.4%4.6%10.3%277.1K16.6M-193.3K0.363.372,300827320,349146,780
2011-12-28$5.28$6.0047.7%13.7%56.3%33.6%48.6%6.5%8.9%262.3K19.4M-191.7K0.163.0410,2411,620321,309147,332
2011-12-29$5.34$6.0047.5%13.6%50.6%33.1%47.9%4.3%8.2%298.6K17.0M-191.1K0.963.393,8533,712322,248146,187
2011-12-30$5.40$6.0047.6%13.7%50.9%33.4%48.0%4.3%9.3%329.7K15.1M-194.0K0.102.765,825570324,363147,237