AMD Options History — February 2012

In February 2012, AMD traded between $6.90 and $7.59. ATM implied volatility averaged 39.0%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 7.5% (HV 20d: 31.4%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.49.

Notable Days

  • 2012-02-21: Highest Volume — 24,620 contracts
  • 2012-02-28: Largest IV drop — 7.9% change
  • 2012-02-15: Highest IV Rank — 22.9%
  • 2012-02-15: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.25$6.90$7.59$6.90$7.35
Max Pain$6.90$6.00$7.00$6.00$7.00
ATM IV39.0%35.2%42.3%40.0%39.2%
Expected Move11.2%10.6%12.1%11.5%11.2%
HV 20d31.4%28.7%34.0%29.3%34.0%
HV 60d43.7%38.9%47.6%47.2%39.3%
IV Rank16.3%8.8%22.9%18.3%16.8%
IV Percentile22.1%6.3%33.7%23.0%25.4%
Term Structure4.0%0.9%6.3%0.9%5.3%
VWIV38.9%37.1%41.9%40.3%38.6%
Skew 25d4.7%0.5%7.0%5.8%0.5%
Skew 10d9.0%-0.4%16.3%8.6%-0.4%
Call IV 25d38.3%36.1%40.9%40.9%38.1%
Put IV 25d42.9%38.6%46.8%46.8%38.6%
Bid-Ask Spread %2.811.983.862.522.95
Gamma HHI0.350.230.490.400.28
Net GEX769.7K534.7K1.0M663.3K653.2K
Net DEX-37.9M-58.8M-20.7M-31.8M-29.3M
Net VEX-244.8K-273.3K-227.7K-234.2K-262.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.161.080.210.20
Total Volume12,402.94,58924,6207,7524,589
Total OI232,636.7194,537262,879223,243224,887

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$6.90$6.0040.0%11.5%29.3%18.3%40.3%5.8%0.9%663.3K-31.8M-234.2K0.212.526,3931,359125,87997,364
2012-02-02$6.93$6.0037.1%10.6%28.9%12.6%37.2%7.0%1.4%760.6K-33.3M-231.4K0.512.6713,4426,854126,93196,541
2012-02-03$7.08$7.0035.2%10.8%28.7%8.8%37.8%6.0%2.5%900.1K-38.4M-236.4K0.392.748,3613,225132,09099,041
2012-02-06$6.92$7.0036.2%10.7%30.8%10.8%37.8%5.4%3.2%909.2K-33.0M-227.7K0.161.985,998962132,26299,651
2012-02-07$7.13$7.0038.5%10.8%30.8%15.4%39.2%5.7%3.1%940.6K-40.8M-231.4K0.802.7610,0768,023134,27999,473
2012-02-08$7.25$7.0039.8%10.8%30.7%18.0%37.4%5.0%2.5%853.3K-44.3M-230.7K0.373.2610,6893,986135,090103,394
2012-02-09$7.24$7.0037.5%10.8%31.0%13.5%37.1%4.4%2.8%861.2K-43.0M-232.5K0.322.334,0121,278136,045104,772
2012-02-10$7.05$7.0039.1%11.2%33.6%16.6%39.4%5.9%3.1%873.4K-36.3M-233.0K1.082.627,1337,736137,296105,021
2012-02-13$7.29$7.0039.2%11.2%31.5%16.7%39.4%5.0%3.3%1.0M-47.6M-227.9K0.223.157,4971,637139,150103,448
2012-02-14$7.32$7.0041.3%11.8%31.7%21.0%39.8%5.3%4.4%1.0M-50.3M-234.3K0.873.8612,27110,708142,150103,818
2012-02-15$7.30$7.0042.3%12.1%30.2%22.9%41.9%5.1%4.9%967.5K-48.0M-247.5K0.223.187,6411,686147,414111,536
2012-02-16$7.59$7.0039.1%11.2%29.9%16.7%41.2%4.1%4.7%676.9K-58.8M-251.4K0.443.819,0634,026149,159111,833
2012-02-17$7.42$7.0040.1%11.5%30.9%18.6%39.3%3.5%5.5%592.1K-54.0M-246.2K0.332.797,7132,576149,768113,111
2012-02-21$7.28$7.0039.6%11.3%32.1%17.5%39.4%4.9%5.5%591.1K-24.7M-245.4K0.713.0014,38410,236113,36481,173
2012-02-22$7.14$7.0038.6%11.1%33.3%15.7%38.7%5.6%6.3%534.7K-20.7M-252.9K0.602.6711,4566,849119,06187,955
2012-02-23$7.29$7.0038.4%11.0%32.4%15.2%37.9%5.5%4.5%614.6K-25.7M-258.1K0.182.345,7771,026126,63691,266
2012-02-24$7.46$7.0039.9%11.4%33.1%18.1%38.3%3.8%5.1%641.6K-31.8M-268.6K0.393.0712,1564,716127,59891,800
2012-02-27$7.47$7.0040.8%11.7%33.2%20.0%38.9%2.9%5.2%664.1K-32.8M-270.5K1.002.133,3223,323131,19995,009
2012-02-28$7.52$7.0037.6%10.8%32.6%13.6%38.9%1.9%4.9%677.6K-34.0M-273.3K0.762.453,3452,534131,66894,602
2012-02-29$7.35$7.0039.2%11.2%34.0%16.8%38.6%0.5%5.3%653.2K-29.3M-262.1K0.202.953,832757131,14493,743