AMD Options History — November 2012

In November 2012, AMD traded between $1.86 and $2.20. ATM implied volatility averaged 65.7%, placing in the 61.3% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded below realized volatility by 7.5% (HV 20d: 73.2%). Max pain ranged from $2.00 to $2.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2012-11-30: Highest Volume — 29,835 contracts
  • 2012-11-13: Largest IV spike — 58.1% change
  • 2012-11-13: Highest IV Rank — 100.0%
  • 2012-11-13: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.99$1.86$2.20$2.14$2.20
Max Pain$2.05$2.00$2.50$2.50$2.00
ATM IV65.7%59.2%105.6%59.5%65.7%
Expected Move18.2%17.0%22.7%17.0%18.8%
HV 20d73.2%48.1%92.2%92.2%59.4%
HV 60d68.8%66.0%73.9%69.2%73.9%
IV Rank61.3%37.0%100.0%74.3%44.6%
IV Percentile93.2%84.1%100.0%86.5%94.4%
Term Structure2.2%-18.9%5.9%2.1%5.6%
VWIV64.3%55.4%84.4%59.7%74.3%
Skew 25d-6.0%-31.7%7.7%-9.7%-6.8%
Skew 10d-8.2%-51.8%48.3%-18.4%48.3%
Call IV 25d71.8%63.4%90.9%69.7%79.8%
Put IV 25d65.7%40.7%81.1%60.1%73.0%
Bid-Ask Spread %10.573.0239.103.0223.51
Gamma HHI0.170.160.190.190.18
Net GEX67.6K29.2K147.5K94.3K147.5K
Net DEX11.6M1.9M16.9M11.9M1.9M
Net VEX-139.3K-178.2K-121.3K-153.4K-178.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.090.930.150.64
Total Volume10,715.6673,50129,8355,27729,835
Total OI514,321.286455,359553,025530,755506,527

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$2.14$2.5059.5%17.0%92.2%74.3%59.7%-9.7%2.1%94.3K11.9M-153.4K0.153.024,583694346,149184,606
2012-11-02$2.10$2.5059.2%17.0%91.7%73.4%59.6%-15.0%0.6%93.2K12.2M-150.8K0.433.692,5341,086347,992184,912
2012-11-05$2.11$2.0067.6%17.8%90.2%97.8%62.7%7.7%3.3%95.3K11.6M-151.4K0.866.842,7772,388349,702185,483
2012-11-06$2.07$2.0063.3%17.6%89.8%85.4%61.9%6.7%3.4%94.3K12.2M-147.4K0.576.7113,4227,605349,949185,390
2012-11-07$2.01$2.0061.7%17.6%89.7%80.6%67.0%3.8%4.2%66.4K14.7M-141.5K0.425.498,5493,614349,175192,209
2012-11-08$1.98$2.0065.9%17.2%88.4%92.8%60.6%3.1%1.5%58.8K15.4M-135.5K0.925.503,9833,682351,654190,851
2012-11-09$2.03$2.0059.8%17.1%90.1%75.3%59.8%3.3%5.3%71.9K14.8M-139.4K0.356.023,0941,070351,644192,812
2012-11-12$1.99$2.0066.8%17.4%89.0%95.3%60.5%4.5%3.6%32.1K16.9M-125.8K0.234.923,611817352,660192,034
2012-11-13$2.09$2.00105.6%22.7%77.9%100.0%84.4%-9.8%-18.9%84.9K10.0M-153.0K0.1639.1016,8382,647353,845191,944
2012-11-14$1.93$2.0068.1%19.3%81.0%47.9%67.5%-4.5%2.4%93.0K14.8M-133.5K0.614.446,7834,148359,566193,192
2012-11-15$1.87$2.0067.7%19.4%81.1%47.5%68.0%-5.7%1.5%29.6K15.8M-126.7K0.5510.834,3792,401360,285191,557
2012-11-16$1.86$2.0066.9%19.2%79.0%46.3%67.4%-5.0%1.3%29.2K15.8M-126.9K0.9310.824,3324,046361,610191,415
2012-11-19$1.92$2.0060.2%17.3%79.8%37.0%60.2%-2.7%4.9%33.5K10.1M-130.6K0.1511.216,414982297,640157,719
2012-11-20$1.88$2.0062.5%17.9%49.4%40.2%62.5%-0.4%3.7%37.6K10.2M-129.0K0.5910.295,4773,252301,582157,728
2012-11-21$1.87$2.0060.8%17.4%48.1%37.7%61.1%-7.3%5.9%34.5K10.7M-126.2K0.0911.063,217284305,215159,715
2012-11-23$1.95$2.0060.3%17.3%50.3%37.1%58.1%-1.0%3.2%44.4K10.3M-131.1K0.254.964,6031,151307,554159,821
2012-11-26$1.87$2.0064.0%18.3%51.4%42.2%55.4%-31.7%2.1%46.3K11.2M-121.3K0.5311.866,9043,637310,875160,895
2012-11-27$1.88$2.0062.3%17.8%50.8%39.8%65.8%-30.2%4.2%52.9K10.2M-129.2K0.2211.8312,9532,833315,009162,059
2012-11-28$1.96$2.0066.4%19.0%53.0%45.6%66.1%1.0%1.0%79.4K7.9M-141.9K0.6612.278,3885,494326,561163,518
2012-11-29$2.04$2.0066.2%19.0%55.0%45.4%66.9%-27.1%5.5%100.9K6.0M-151.8K0.3417.6415,2895,233329,211168,482
2012-11-30$2.20$2.0065.7%18.8%59.4%44.6%74.3%-6.8%5.6%147.5K1.9M-178.2K0.6423.5118,17511,660334,963171,564