AMD Options History — January 2012

In January 2012, AMD traded between $5.43 and $6.82. ATM implied volatility averaged 46.8%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 6.0% (HV 20d: 40.9%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.61.

Notable Days

  • 2012-01-24: Highest Volume — 62,325 contracts
  • 2012-01-12: Largest IV spike — 33.0% change
  • 2012-01-20: Highest IV Rank — 46.8%
  • 2012-01-09: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.08$5.43$6.82$5.48$6.71
Max Pain$5.65$5.00$6.00$6.00$6.00
ATM IV46.8%36.8%54.4%49.7%42.9%
Expected Move14.0%10.8%16.0%14.3%12.3%
HV 20d40.9%26.7%51.2%51.2%28.7%
HV 60d56.9%47.9%60.0%60.0%47.9%
IV Rank31.8%12.1%46.8%37.5%24.1%
IV Percentile46.8%14.3%68.3%58.7%36.1%
Term Structure-0.2%-5.9%9.9%9.0%-1.4%
VWIV50.8%39.8%61.8%50.3%44.5%
Skew 25d6.7%4.7%10.8%5.3%6.1%
Skew 10d13.9%5.3%21.1%17.8%10.3%
Call IV 25d48.2%38.9%57.3%48.5%44.3%
Put IV 25d54.9%45.1%68.0%53.8%50.4%
Bid-Ask Spread %3.502.355.792.452.35
Gamma HHI0.260.180.340.260.28
Net GEX458.1K273.3K570.9K393.7K392.0K
Net DEX-9.4M-28.8M12.0M12.0M-24.1M
Net VEX-206.9K-233.5K-188.2K-192.1K-228.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.181.490.300.61
Total Volume17,312.952,76962,32519,58732,044
Total OI393,090.7170,799528,417474,478209,406

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-01-03$5.48$6.0049.7%14.3%51.2%37.5%50.3%5.3%9.0%393.7K12.0M-192.1K0.302.4515,0814,506327,681146,797
2012-01-04$5.46$6.0048.0%13.8%50.6%34.2%48.1%5.2%9.9%440.8K10.2M-200.9K0.302.622,134635338,879148,085
2012-01-05$5.46$6.0047.3%13.6%50.3%32.8%48.2%4.8%9.5%471.7K9.9M-200.6K0.182.737,8771,428339,641148,127
2012-01-06$5.43$5.0044.8%16.0%50.1%27.7%54.8%8.1%-0.7%483.3K10.0M-201.5K0.584.131,9501,135343,128148,987
2012-01-09$5.59$5.0046.6%16.0%48.7%31.4%55.0%7.1%-1.7%540.2K4.1M-198.8K0.333.495,7181,891343,973149,276
2012-01-10$5.71$5.0044.8%15.6%49.0%27.9%52.6%7.3%-1.1%566.6K-459.1K-204.6K0.333.558,9232,911347,096149,855
2012-01-11$5.81$5.0036.8%14.1%46.2%12.1%52.9%6.2%-0.0%561.0K-4.1M-194.9K0.533.1210,4415,552345,823149,841
2012-01-12$5.82$5.5049.0%14.0%45.1%36.0%51.2%5.6%0.4%567.8K-3.9M-197.2K0.633.885,9013,716345,863152,479
2012-01-13$5.66$5.5053.2%15.3%45.6%44.4%58.0%8.4%-2.4%570.9K3.2M-189.6K1.154.115,2766,056346,483152,847
2012-01-17$5.73$5.5053.9%15.5%45.5%45.8%52.6%6.8%-3.2%551.7K277.1K-188.2K0.263.918,4572,187346,228156,665
2012-01-18$5.97$5.5052.0%14.9%47.0%42.0%53.8%6.2%-3.5%521.3K-9.2M-198.9K0.893.2713,56912,128349,517156,907
2012-01-19$6.22$5.5053.2%15.3%42.3%44.4%53.7%7.8%-5.0%273.3K-20.3M-201.7K0.634.0918,56611,784353,769162,867
2012-01-20$6.42$5.5054.4%15.6%38.2%46.8%54.2%7.3%-5.9%344.4K-27.5M-204.9K0.453.6516,8097,531356,801171,616
2012-01-23$6.52$6.0050.5%14.5%36.3%39.1%55.7%7.3%-5.7%355.8K-21.1M-208.2K0.854.7810,3918,786100,20370,596
2012-01-24$6.53$6.0053.9%15.4%29.3%45.6%61.8%10.8%-5.5%360.5K-21.0M-216.5K1.065.7930,27932,046104,31174,979
2012-01-25$6.73$6.0038.0%10.9%29.5%14.4%42.6%7.3%1.1%384.0K-24.3M-226.7K0.632.9616,05510,140113,21188,582
2012-01-26$6.77$6.0039.3%11.3%28.9%17.1%42.0%5.9%0.1%434.5K-26.5M-233.5K0.303.1411,9283,628116,83389,504
2012-01-27$6.82$6.0037.8%10.8%26.7%14.0%39.8%4.7%1.7%495.6K-28.8M-226.7K0.603.412,6201,565116,81790,143
2012-01-30$6.74$6.0040.3%11.6%28.1%19.0%43.3%4.9%0.4%453.9K-26.2M-223.8K1.492.591,8522,763117,11090,888
2012-01-31$6.71$6.0042.9%12.3%28.7%24.1%44.5%6.1%-1.4%392.0K-24.1M-228.0K0.612.3519,87312,171116,80792,599