AMD Options History — August 2012

In August 2012, AMD traded between $3.70 and $4.40. ATM implied volatility averaged 45.1%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 7.9% (HV 20d: 53.0%). Max pain ranged from $4.00 to $4.50. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.83.

Notable Days

  • 2012-08-08: Highest Volume — 41,716 contracts
  • 2012-08-13: Largest IV spike — 24.8% change
  • 2012-08-13: Highest IV Rank — 53.0%
  • 2012-08-08: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.04$3.70$4.40$4.05$3.72
Max Pain$4.07$4.00$4.50$4.50$4.00
ATM IV45.1%38.8%58.8%47.3%46.2%
Expected Move12.6%11.8%13.5%13.5%13.3%
HV 20d53.0%40.7%65.2%62.9%40.8%
HV 60d57.1%54.0%59.8%55.7%54.0%
IV Rank24.1%11.0%53.0%28.5%26.6%
IV Percentile30.0%9.9%77.4%34.9%38.1%
Term Structure4.9%-0.4%7.3%-0.4%5.2%
VWIV44.5%41.9%48.4%44.6%44.3%
Skew 25d0.1%-5.7%4.8%-0.1%-0.2%
Skew 10d-0.4%-17.8%35.8%-7.2%-13.8%
Call IV 25d46.0%43.0%51.5%47.7%45.2%
Put IV 25d46.2%42.7%50.1%47.7%45.1%
Bid-Ask Spread %3.662.695.524.243.28
Gamma HHI0.180.100.380.120.17
Net GEX13.5K-86.7K57.6K6.4K25.1K
Net DEX10.7M5.5M13.2M11.7M11.9M
Net VEX-99.2K-118.9K-84.9K-88.5K-98.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.193.230.990.96
Total Volume8,643.7833,21741,7164,9697,880
Total OI219,662.87192,813241,076192,813241,076

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$4.05$4.5047.3%13.5%62.9%28.5%44.6%-0.1%-0.4%6.4K11.7M-88.5K0.994.242,4922,477121,36171,452
2012-08-02$3.97$4.5044.9%12.9%62.8%23.7%46.6%-2.2%2.7%11.0K12.0M-89.1K0.944.112,2762,133122,92372,329
2012-08-03$4.09$4.5043.8%12.6%65.2%21.3%43.3%4.8%1.9%12.6K11.5M-90.6K0.313.474,3681,356124,32473,735
2012-08-06$4.01$4.0044.8%13.1%65.2%23.4%46.9%3.3%3.6%10.4K11.4M-84.9K0.473.974,7362,245126,13872,436
2012-08-07$4.02$4.0044.7%13.0%53.1%23.2%45.3%2.5%3.9%18.7K10.9M-89.7K0.404.565,6392,283128,86974,021
2012-08-08$4.40$4.0055.1%13.5%63.9%45.2%48.4%1.2%3.2%57.6K5.5M-112.7K0.875.5222,30119,415132,36075,768
2012-08-09$4.37$4.0051.2%13.3%63.9%37.0%47.2%-0.4%2.7%-78.4K7.6M-118.9K0.313.408,4872,618141,13787,810
2012-08-10$4.34$4.0047.1%12.8%63.8%28.4%45.9%0.2%4.4%-86.7K8.2M-118.0K0.823.591,7661,451144,98188,693
2012-08-13$4.26$4.0058.8%12.5%63.9%53.0%45.0%1.7%5.4%-65.6K10.0M-110.5K0.553.785,7073,152145,56189,163
2012-08-14$4.12$4.0045.3%12.5%64.3%24.6%44.4%-0.9%5.7%25.0K12.5M-99.8K0.784.283,9183,062146,92389,712
2012-08-15$4.19$4.0038.8%12.8%64.8%11.0%45.6%1.3%5.3%7.9K11.4M-108.4K2.333.612,4845,790148,02591,407
2012-08-16$4.17$4.0043.9%12.6%64.8%21.7%44.3%2.2%5.7%34.4K11.5M-103.2K3.233.662,3157,473146,00490,421
2012-08-17$4.10$4.0041.6%11.9%41.8%16.9%42.6%0.0%6.8%56.3K10.6M-100.8K0.503.135,6272,796147,28088,569
2012-08-20$4.09$4.0042.2%12.1%41.4%18.0%43.2%0.8%6.2%37.4K9.8M-99.1K0.323.048,2892,640127,46677,694
2012-08-21$4.07$4.0042.2%12.1%40.7%18.0%43.0%0.4%5.3%53.2K9.7M-100.9K0.283.363,256912131,19079,082
2012-08-22$4.01$4.0041.3%11.8%40.8%16.3%41.9%-1.2%6.8%50.4K10.2M-98.7K0.433.683,3191,434133,17579,079
2012-08-23$3.90$4.0043.5%12.5%41.9%20.9%44.0%-0.9%5.1%39.8K10.9M-97.3K0.693.213,4732,385134,90480,103
2012-08-24$3.94$4.0042.1%12.1%41.8%17.9%42.3%-1.5%6.4%32.0K11.2M-96.9K0.192.692,899552137,02081,599
2012-08-27$3.85$4.0041.7%12.0%42.4%17.2%42.1%0.4%6.1%30.8K11.8M-92.3K0.594.122,9501,753138,56281,726
2012-08-28$3.79$4.0042.1%12.1%42.6%18.0%43.2%-0.7%6.8%21.7K12.1M-93.0K2.513.112,9267,335139,55782,009
2012-08-29$3.77$4.0044.0%12.6%42.6%21.9%44.2%-1.9%6.2%-18.6K13.2M-90.9K0.203.1112,1452,414141,19686,585
2012-08-30$3.70$4.0044.4%12.7%42.5%22.6%45.2%-5.7%7.3%30.1K11.5M-99.6K0.463.242,6501,228151,70087,121
2012-08-31$3.72$4.0046.2%13.3%40.8%26.6%44.3%-0.2%5.2%25.1K11.9M-98.7K0.963.284,0243,856153,31087,766