AMD Options History — March 2012

In March 2012, AMD traded between $6.90 and $8.25. ATM implied volatility averaged 41.5%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 0.5% (HV 20d: 40.9%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.60.

Notable Days

  • 2012-03-15: Highest Volume — 37,058 contracts
  • 2012-03-15: Largest IV spike — 32.4% change
  • 2012-03-08: Highest IV Rank — 30.9%
  • 2012-03-08: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.80$6.90$8.25$7.51$8.02
Max Pain$6.82$6.00$7.00$7.00$7.00
ATM IV41.5%33.6%46.4%38.4%43.9%
Expected Move12.4%11.0%13.5%11.0%12.6%
HV 20d40.9%33.4%46.0%33.4%41.0%
HV 60d37.9%34.4%41.3%39.4%34.8%
IV Rank21.3%5.7%30.9%15.2%26.1%
IV Percentile35.0%2.4%49.2%21.0%46.0%
Term Structure-0.6%-3.7%6.3%6.3%-2.5%
VWIV44.1%38.5%49.4%40.4%44.9%
Skew 25d4.3%2.6%6.4%2.9%4.0%
Skew 10d7.8%-7.7%13.4%-7.7%10.6%
Call IV 25d42.8%38.0%47.0%38.7%45.2%
Put IV 25d47.1%40.7%50.9%41.6%49.2%
Bid-Ask Spread %2.621.563.592.082.26
Gamma HHI0.290.240.370.290.27
Net GEX917.5K236.6K1.3M657.1K1.3M
Net DEX-41.9M-69.5M-8.7M-34.0M-48.1M
Net VEX-295.2K-335.4K-255.9K-265.1K-335.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.072.040.610.77
Total Volume14,228.9092,78237,05829,0803,653
Total OI255,125.273224,668283,229224,668274,193

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$7.51$7.0038.4%11.0%33.4%15.2%40.4%2.9%6.3%657.1K-34.0M-265.1K0.612.0818,10910,971130,65694,012
2012-03-02$7.46$7.0040.6%11.6%33.7%19.6%38.5%2.6%5.8%557.0K-29.8M-275.5K0.812.312,6072,115134,055101,649
2012-03-05$7.07$6.0043.8%13.1%38.6%25.9%45.9%2.6%-0.1%438.9K-15.2M-255.9K1.022.5211,39011,590135,161102,121
2012-03-06$6.90$6.0041.8%13.3%38.7%21.8%48.2%3.0%0.6%236.6K-8.7M-258.6K1.943.385,78711,237137,380107,158
2012-03-07$7.17$6.0041.3%12.9%39.7%20.8%44.6%4.2%0.7%283.3K-14.1M-260.4K0.252.5413,4373,425137,973111,977
2012-03-08$7.47$6.0046.4%13.5%41.9%30.9%46.5%4.3%-0.4%568.9K-30.8M-266.2K0.502.7915,0927,579139,240107,504
2012-03-09$7.58$7.0035.4%12.3%42.2%9.2%44.5%3.6%0.6%698.8K-36.3M-278.6K0.462.874,9012,266149,055110,750
2012-03-12$7.50$7.0038.2%13.1%41.1%14.8%45.2%3.4%-0.1%632.4K-32.9M-270.8K0.082.1013,4271,025149,918111,741
2012-03-13$7.76$7.0035.2%11.8%41.1%9.0%42.0%5.1%0.4%1.0M-46.0M-288.2K0.392.3614,5035,702160,387112,160
2012-03-14$7.76$7.0033.6%11.9%41.1%5.7%43.5%4.0%0.4%1.1M-46.4M-292.9K0.412.097,4593,032162,983113,411
2012-03-15$8.25$7.0044.5%12.8%46.0%27.2%44.3%4.0%-2.3%1.2M-69.5M-293.5K0.342.1727,6529,406161,107113,677
2012-03-16$8.20$7.0043.3%12.4%44.5%24.9%44.5%4.6%-1.5%1.1M-68.0M-313.9K0.072.2321,7541,468166,747116,482
2012-03-19$8.18$7.0042.2%12.1%43.4%22.6%42.7%5.1%-1.6%1.1M-50.5M-316.8K0.232.9912,9063,032151,05989,256
2012-03-20$8.06$7.0042.3%12.1%43.1%23.0%42.6%5.0%-1.8%1.1M-47.5M-312.5K0.242.3814,5933,532154,62390,578
2012-03-21$8.04$7.0041.2%11.8%42.3%20.7%42.6%3.8%-1.1%1.1M-47.4M-318.6K0.353.372,406842158,03992,110
2012-03-22$8.03$7.0042.2%12.1%42.0%22.8%42.9%3.6%-1.4%1.1M-46.5M-311.3K0.411.563,3911,402158,79192,190
2012-03-23$8.09$7.0042.0%12.1%41.4%22.4%43.6%5.3%-1.6%1.2M-48.5M-312.7K2.043.592,3064,696160,61292,602
2012-03-26$8.24$7.0042.9%12.3%41.7%24.0%44.3%6.4%-3.1%1.2M-53.3M-319.6K0.633.562,8061,778161,11795,616
2012-03-27$8.19$7.0043.5%12.5%41.9%25.3%44.1%6.1%-3.0%1.2M-51.2M-312.3K0.723.091,8191,304161,87595,770
2012-03-28$8.08$7.0044.5%12.8%41.2%27.3%45.6%5.6%-3.2%1.2M-47.5M-318.0K0.652.801,6871,095161,70796,191
2012-03-29$8.12$7.0045.1%12.9%40.7%28.5%49.4%5.7%-3.7%1.2M-49.1M-316.7K0.172.7220,3153,539162,37596,748
2012-03-30$8.02$7.0043.9%12.6%41.0%26.1%44.9%4.0%-2.5%1.3M-48.1M-335.4K0.772.262,0671,586175,36098,833