AMD Options History — May 2012

In May 2012, AMD traded between $6.01 and $7.63. ATM implied volatility averaged 44.9%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 9.9% (HV 20d: 34.9%). Max pain ranged from $6.00 to $8.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2012-05-18: Highest Volume — 8,900 contracts
  • 2012-05-16: Largest IV spike — 11.0% change
  • 2012-05-18: Highest IV Rank — 42.4%
  • 2012-05-18: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.63$6.01$7.63$7.59$6.08
Max Pain$7.14$6.00$8.00$8.00$7.00
ATM IV44.9%34.6%52.2%35.0%51.1%
Expected Move12.9%9.9%15.0%10.0%14.7%
HV 20d34.9%29.4%40.6%35.9%40.2%
HV 60d37.0%35.5%38.9%36.8%38.4%
IV Rank28.0%7.7%42.4%8.4%40.2%
IV Percentile41.1%4.0%61.5%5.2%59.1%
Term Structure2.6%1.2%5.8%1.5%3.4%
VWIV45.3%35.5%53.0%35.5%51.5%
Skew 25d4.3%-0.5%9.7%2.9%9.7%
Skew 10d6.8%-3.6%17.7%8.1%17.7%
Call IV 25d45.3%34.5%53.7%34.5%52.3%
Put IV 25d49.5%37.2%62.0%37.4%62.0%
Bid-Ask Spread %2.952.253.912.253.10
Gamma HHI0.270.190.340.330.19
Net GEX507.9K214.3K1.3M1.2M245.1K
Net DEX-3.5M-26.3M7.2M-23.4M2.3M
Net VEX-223.8K-300.8K-188.6K-296.0K-195.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.184.250.212.46
Total Volume5,472.4552,2448,9008,8384,619
Total OI246,759.5223,163262,631245,072244,199

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$7.59$8.0035.0%10.0%35.9%8.4%35.5%2.9%1.5%1.2M-23.4M-296.0K0.212.257,2801,558172,68672,386
2012-05-02$7.63$8.0034.6%9.9%35.0%7.7%35.6%2.6%1.8%1.3M-26.3M-300.8K0.313.031,831559177,70172,338
2012-05-03$7.41$8.0037.2%10.7%35.6%12.8%37.7%-0.5%1.2%1.1M-18.0M-283.8K0.182.464,058737178,41272,240
2012-05-04$7.18$7.0038.0%11.4%36.8%14.5%40.7%0.9%2.9%789.4K-11.3M-258.8K0.443.363,9971,774177,50172,470
2012-05-07$7.18$7.0038.1%11.6%36.6%14.5%40.1%3.9%2.4%756.4K-10.6M-254.9K1.123.511,0581,186178,24272,742
2012-05-08$7.03$8.0040.5%11.7%36.0%19.3%41.1%4.1%2.9%628.5K-7.4M-243.9K0.532.773,1141,660178,80473,070
2012-05-09$6.86$7.0041.4%11.9%36.1%21.2%42.0%3.6%2.1%497.7K-3.6M-231.1K0.823.912,1661,779179,87773,112
2012-05-10$6.78$7.0042.6%12.2%32.7%23.4%42.9%2.1%1.5%434.6K-2.0M-227.4K0.623.714,4852,798179,82473,490
2012-05-11$6.78$7.0042.9%12.3%32.2%24.0%43.1%3.8%2.2%445.3K-1.5M-225.7K0.822.541,5211,248182,37874,553
2012-05-14$6.75$7.0044.4%12.7%32.2%27.1%46.0%3.2%1.5%447.6K-2.2M-229.8K0.812.451,7661,425182,56774,681
2012-05-15$6.60$7.0045.3%13.0%29.4%28.8%45.7%3.2%2.2%383.7K613.6K-215.9K1.002.872,1132,123183,55175,007
2012-05-16$6.39$7.0050.3%14.4%30.1%38.6%49.2%2.4%1.2%301.3K3.8M-206.7K0.713.112,4061,701184,53875,653
2012-05-17$6.13$7.0051.0%14.6%31.6%40.0%51.0%5.3%1.7%239.1K6.9M-192.5K1.012.983,2203,258185,51076,018
2012-05-18$6.01$7.0052.2%15.0%31.3%42.4%52.3%6.0%2.6%560.7K7.2M-188.6K1.103.194,2404,660186,87075,761
2012-05-21$6.30$7.0049.3%14.1%35.0%36.7%47.3%7.8%2.3%257.9K1.2M-197.7K0.372.594,4591,659153,96369,200
2012-05-22$6.16$7.0048.7%14.0%35.3%35.4%48.2%5.3%3.3%227.4K2.1M-191.4K0.532.964,6122,423155,52969,504
2012-05-23$6.08$7.0049.2%14.1%34.6%36.4%51.0%7.2%3.4%214.3K3.0M-190.1K0.363.015,9842,179157,92070,361
2012-05-24$6.02$6.0048.9%14.0%34.0%36.0%49.0%6.2%4.4%214.7K2.7M-192.1K4.252.961,3625,785160,68971,077
2012-05-25$6.22$7.0046.8%13.4%37.2%31.7%45.4%7.9%5.8%267.9K413.9K-198.3K0.642.413,1481,999161,21773,828
2012-05-29$6.46$7.0049.6%14.2%40.5%37.3%47.5%3.4%2.6%304.1K-1.8M-204.2K0.902.723,5093,162162,86474,531
2012-05-30$6.15$7.0050.6%14.5%40.6%39.2%53.0%2.8%3.5%279.1K1.6M-199.3K0.633.013,5442,229164,81277,033
2012-05-31$6.08$7.0051.1%14.7%40.2%40.2%51.5%9.7%3.4%245.1K2.3M-195.0K2.463.101,3343,285166,68477,515