AMD Options History — September 2012

In September 2012, AMD traded between $3.28 and $4.01. ATM implied volatility averaged 53.9%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 2.5% (HV 20d: 51.4%). Max pain ranged from $4.00 to $4.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.62.

Notable Days

2012-09-18: Highest Volume — 31,052 contracts
2012-09-11: Largest IV spike — 14.3% change
2012-09-25: Highest IV Rank — 61.3%
2012-09-25: Largest Expected Move — 18.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.61	$3.28	$4.01	$3.64	$3.37
Max Pain	$4.11	$4.00	$4.50	$4.00	$4.00
ATM IV	53.9%	45.8%	62.7%	46.9%	60.5%
Expected Move	15.7%	13.3%	18.0%	13.4%	17.3%
HV 20d	51.4%	28.9%	65.0%	40.9%	65.0%
HV 60d	57.1%	53.6%	59.7%	53.7%	57.9%
IV Rank	42.7%	25.7%	61.3%	27.9%	56.6%
IV Percentile	68.0%	35.7%	90.5%	40.1%	86.9%
Term Structure	-2.2%	-8.1%	7.3%	7.3%	-4.9%
VWIV	56.1%	46.4%	64.0%	49.9%	61.1%
Skew 25d	0.4%	-11.8%	5.7%	-11.8%	-5.0%
Skew 10d	0.3%	-14.9%	9.1%	-11.4%	-5.9%
Call IV 25d	57.5%	46.4%	68.0%	53.4%	68.0%
Put IV 25d	57.9%	41.6%	65.6%	41.6%	63.1%
Bid-Ask Spread %	3.04	2.13	7.17	3.26	2.50
Gamma HHI	0.23	0.12	0.37	0.16	0.23
Net GEX	113.3K	8.3K	266.7K	19.0K	96.7K
Net DEX	9.2M	1.3M	13.7M	12.4M	9.3M
Net VEX	-106.9K	-126.8K	-87.5K	-100.3K	-123.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.16	1.95	0.28	0.16
Total Volume	14,338.579	5,379	31,052	7,477	9,132
Total OI	280,521.526	245,627	306,433	245,627	306,433

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-09-04	$3.64	$4.00	46.9%	13.4%	40.9%	27.9%	49.9%	-11.8%	7.3%	19.0K	12.4M	-100.3K	0.28	3.26	5,842	1,635	155,484	90,143
2012-09-05	$3.51	$4.00	48.8%	14.0%	42.3%	31.9%	53.0%	1.6%	6.3%	16.8K	13.7M	-87.5K	0.75	3.58	8,990	6,755	159,022	90,013
2012-09-06	$3.66	$4.00	46.5%	13.3%	28.9%	27.2%	46.4%	-2.5%	7.1%	17.3K	12.0M	-98.8K	0.24	3.24	4,328	1,051	162,778	93,192
2012-09-07	$3.45	$4.50	45.8%	15.5%	33.9%	25.7%	54.6%	4.0%	-2.3%	25.9K	13.4M	-92.4K	0.37	2.93	7,290	2,728	163,779	92,858
2012-09-10	$3.47	$4.50	48.2%	15.6%	34.4%	30.8%	55.0%	1.4%	-3.9%	40.6K	13.2M	-92.0K	0.33	2.67	9,507	3,138	168,095	94,570
2012-09-11	$3.75	$4.00	55.1%	16.0%	46.5%	45.3%	54.7%	3.4%	-3.4%	47.6K	8.9M	-104.0K	0.32	3.02	18,263	5,895	172,840	94,130
2012-09-12	$3.89	$4.00	53.3%	15.5%	47.7%	41.5%	55.6%	-0.4%	-2.6%	249.8K	2.5M	-121.4K	0.57	2.89	11,537	6,610	188,091	95,705
2012-09-13	$3.92	$4.50	52.2%	15.0%	47.3%	39.2%	54.2%	1.4%	-3.0%	240.8K	3.5M	-121.9K	0.16	2.87	7,532	1,200	189,691	98,235
2012-09-14	$3.90	$4.00	51.0%	14.6%	47.3%	36.6%	51.5%	0.4%	-1.9%	249.7K	3.9M	-117.8K	0.32	3.80	9,859	3,196	189,317	98,304
2012-09-17	$4.01	$4.50	53.6%	15.4%	48.3%	42.1%	53.7%	4.0%	-3.2%	266.7K	1.3M	-119.4K	0.45	2.62	10,729	4,789	188,182	99,080
2012-09-18	$3.62	$4.00	57.2%	16.4%	60.2%	49.6%	59.3%	0.2%	-6.0%	168.1K	10.2M	-102.2K	0.70	7.17	18,266	12,786	192,753	98,663
2012-09-19	$3.66	$4.00	56.8%	16.3%	60.5%	48.9%	56.5%	3.7%	-5.1%	187.3K	9.4M	-105.5K	0.96	2.55	5,651	5,427	199,797	102,492
2012-09-20	$3.59	$4.00	55.1%	15.8%	60.6%	45.3%	58.5%	0.3%	-3.8%	192.1K	9.2M	-102.6K	0.80	2.81	3,520	2,823	202,278	101,110
2012-09-21	$3.60	$4.00	53.0%	15.2%	60.1%	40.8%	55.4%	1.9%	-0.9%	125.7K	9.3M	-101.7K	1.95	2.44	4,450	8,667	202,759	100,452
2012-09-24	$3.46	$4.00	56.5%	16.2%	61.1%	48.3%	58.3%	5.7%	-1.7%	51.3K	10.8M	-98.0K	1.85	2.13	8,829	16,302	170,940	90,842
2012-09-25	$3.28	$4.00	62.7%	18.0%	63.1%	61.3%	63.2%	-2.2%	-8.1%	8.3K	13.2M	-98.5K	0.31	2.36	16,937	5,171	175,713	102,080
2012-09-26	$3.32	$4.00	61.3%	17.6%	63.5%	58.4%	64.0%	-0.3%	-5.8%	63.8K	10.7M	-116.7K	0.60	2.50	7,821	4,703	188,180	106,826
2012-09-27	$3.43	$4.00	59.3%	17.0%	65.0%	54.1%	61.9%	2.4%	-6.1%	86.0K	8.6M	-126.8K	0.58	2.40	6,995	4,079	194,279	110,803
2012-09-28	$3.37	$4.00	60.5%	17.3%	65.0%	56.6%	61.1%	-5.0%	-4.9%	96.7K	9.3M	-123.0K	0.16	2.50	7,905	1,227	196,592	109,841