AMD Options History — July 2012

In July 2012, AMD traded between $4.01 and $6.03. ATM implied volatility averaged 51.3%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 12.5% (HV 20d: 63.7%). Max pain ranged from $4.50 to $6.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2012-07-20: Highest Volume — 36,395 contracts
  • 2012-07-09: Largest IV spike — 13.4% change
  • 2012-07-10: Highest IV Rank — 61.0%
  • 2012-07-05: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.80$4.01$6.03$5.75$4.06
Max Pain$5.43$4.50$6.00$6.00$4.50
ATM IV51.3%45.2%62.8%52.6%47.1%
Expected Move14.2%13.0%15.4%15.1%13.5%
HV 20d63.7%52.0%73.9%53.3%67.1%
HV 60d51.4%44.9%56.5%44.9%55.7%
IV Rank37.5%24.3%61.0%43.1%28.3%
IV Percentile51.1%27.0%85.3%60.7%34.5%
Term Structure-0.9%-7.2%4.3%-7.2%1.3%
VWIV50.4%45.1%55.6%52.2%47.2%
Skew 25d2.4%-5.9%10.1%-1.7%-1.8%
Skew 10d2.3%-9.6%12.2%-3.7%-8.6%
Call IV 25d51.1%45.0%62.0%56.9%49.6%
Put IV 25d53.5%47.7%63.3%55.3%47.7%
Bid-Ask Spread %7.793.0583.173.673.34
Gamma HHI0.170.130.230.170.15
Net GEX69.5K-63.4K343.1K207.4K9.5K
Net DEX11.8M192.7K21.2M5.7M12.0M
Net VEX-111.3K-158.2K-77.6K-142.8K-83.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.171.590.381.17
Total Volume10,080.6193,04236,3954,2463,269
Total OI256,314.238177,373307,756267,184189,517

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$5.75$6.0052.6%15.1%53.3%43.1%52.2%-1.7%-7.2%207.4K5.7M-142.8K0.383.673,0861,160187,68979,495
2012-07-03$6.03$6.0051.5%14.8%54.5%40.4%55.6%-3.7%-4.1%339.1K192.7K-156.2K0.173.4615,2572,641189,31679,726
2012-07-05$5.88$6.0053.6%15.4%54.1%44.4%54.7%-5.9%-4.6%343.1K1.4M-158.2K0.453.444,1301,876197,09580,974
2012-07-06$5.75$6.0054.8%13.8%52.3%46.8%51.7%2.5%-0.1%298.5K4.2M-146.6K0.384.649,9503,778198,82182,280
2012-07-09$5.62$6.0062.1%14.5%52.0%61.0%52.5%2.6%-1.2%279.3K3.6M-148.6K0.843.393,7193,122204,48484,086
2012-07-10$4.99$6.0062.8%15.2%65.5%61.0%54.3%4.3%-3.4%88.9K13.4M-121.0K0.604.9020,08311,967207,12885,976
2012-07-11$4.89$6.0059.1%14.9%63.5%53.2%53.1%10.1%-1.1%-17.2K16.8M-108.9K0.7083.175,7834,041204,82090,226
2012-07-12$4.88$6.0052.0%14.9%63.2%38.5%52.6%5.5%-1.8%-13.8K16.4M-113.9K0.644.863,2522,097206,62491,191
2012-07-13$4.90$5.5049.8%14.3%63.3%33.9%49.6%4.7%-0.7%5.3K16.1M-115.2K0.304.942,542759208,49691,656
2012-07-16$4.83$5.5051.4%14.7%62.5%37.2%52.6%4.3%-2.1%-16.0K17.0M-108.1K1.133.982,7713,133209,55491,872
2012-07-17$4.87$5.5050.0%14.3%62.4%34.3%50.0%4.8%-1.0%-21.7K15.8M-112.3K0.704.355,0543,530210,41692,769
2012-07-18$4.89$5.5049.8%14.3%62.5%33.8%50.4%0.4%-0.9%23.7K15.3M-111.3K0.545.174,7382,536212,55391,874
2012-07-19$4.86$5.5049.0%14.1%59.6%32.2%49.5%1.8%-1.2%8.5K15.7M-107.6K0.435.3614,6956,284211,10891,377
2012-07-20$4.22$5.0045.9%13.2%73.9%25.7%46.8%-0.3%4.3%-63.4K21.2M-77.6K1.593.9114,07022,325216,03791,719
2012-07-23$4.15$5.0049.6%14.2%73.6%33.5%49.2%3.6%0.4%-19.9K12.4M-89.2K0.363.496,5412,386108,09669,277
2012-07-24$4.06$5.0050.2%14.4%72.0%34.8%50.4%4.9%-0.9%-8.9K12.3M-88.2K0.413.322,161881112,50269,616
2012-07-25$4.01$5.0048.2%13.8%71.7%30.4%48.4%2.6%0.7%-6.0K12.0M-85.6K0.403.585,0412,015113,67768,666
2012-07-26$4.04$5.0045.6%13.1%71.5%25.0%45.9%2.4%1.6%5.9K12.0M-84.4K1.313.501,6782,192116,35969,390
2012-07-27$4.09$4.5045.2%13.0%72.2%24.3%45.1%4.3%1.4%6.5K11.9M-86.8K0.373.992,8771,069117,28169,897
2012-07-30$4.10$4.5046.2%13.2%67.4%26.3%46.2%5.1%1.1%10.8K11.4M-90.6K0.253.052,565639118,70670,253
2012-07-31$4.06$4.5047.1%13.5%67.1%28.3%47.2%-1.8%1.3%9.5K12.0M-83.3K1.173.341,5041,765119,61469,903