AMD Options History — December 2012

In December 2012, AMD traded between $2.26 and $2.59. ATM implied volatility averaged 70.8%, placing in the 51.7% IV rank vs the trailing year. The 30-day expected move averaged 20.4%. IV traded above realized volatility by 12.2% (HV 20d: 58.6%). Max pain ranged from $2.00 to $3.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.34.

Notable Days

  • 2012-12-03: Highest Volume — 58,986 contracts
  • 2012-12-06: Largest IV drop — 9.1% change
  • 2012-12-05: Highest IV Rank — 66.2%
  • 2012-12-05: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.40$2.26$2.59$2.36$2.40
Max Pain$2.80$2.00$3.00$2.00$3.00
ATM IV70.8%63.7%81.3%77.3%68.5%
Expected Move20.4%18.3%23.3%22.2%19.6%
HV 20d58.6%49.1%66.0%63.7%57.7%
HV 60d72.0%69.3%75.4%75.4%72.7%
IV Rank51.7%41.9%66.2%60.8%48.5%
IV Percentile94.4%86.1%99.6%99.6%95.2%
Term Structure3.7%-3.2%11.2%0.0%4.6%
VWIV73.0%64.7%81.5%78.0%74.5%
Skew 25d-5.2%-14.6%4.0%-9.6%4.0%
Skew 10d-12.4%-33.4%11.3%-29.2%3.1%
Call IV 25d79.1%70.3%90.6%86.4%73.7%
Put IV 25d73.9%69.1%79.9%76.8%77.7%
Bid-Ask Spread %4.892.778.857.182.77
Gamma HHI0.180.170.210.200.18
Net GEX287.2K145.5K465.8K192.7K178.8K
Net DEX-5.9M-15.3M2.1M-2.5M-2.4M
Net VEX-212.6K-229.0K-183.4K-196.6K-193.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.081.480.090.82
Total Volume16,086.054,24858,98658,98610,279
Total OI595,480.15523,575623,104523,575590,310

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$2.36$2.0077.3%22.2%63.7%60.8%78.0%-9.6%0.0%192.7K-2.5M-196.6K0.097.1854,2314,755343,347180,228
2012-12-04$2.26$2.0080.0%22.9%66.0%64.5%80.1%-8.4%1.8%210.6K-3.4M-207.0K0.173.4139,4436,689367,605182,573
2012-12-05$2.29$2.0081.3%23.3%65.6%66.2%80.5%-12.1%-0.7%237.6K-4.4M-219.8K0.163.617,4521,212391,733186,229
2012-12-06$2.34$2.0073.8%21.2%64.5%55.9%74.3%-5.4%2.8%255.2K-5.0M-217.5K0.083.8146,8573,611390,460186,830
2012-12-07$2.36$3.0075.1%21.7%63.9%57.7%76.4%-11.0%-2.5%304.6K-7.4M-229.0K0.133.5212,1701,586418,639188,330
2012-12-10$2.32$3.0078.3%22.3%64.3%62.2%81.5%-14.6%-3.2%279.9K-5.9M-222.6K0.223.434,7141,042422,311189,388
2012-12-11$2.33$3.0072.7%21.2%63.5%54.3%78.3%-5.4%0.7%290.6K-4.8M-216.7K0.084.2210,161845418,035189,936
2012-12-12$2.37$3.0070.4%21.0%61.8%51.2%75.0%-7.3%0.8%330.3K-7.1M-224.5K0.204.935,1011,007423,169190,107
2012-12-13$2.41$3.0073.2%21.0%52.8%55.0%75.4%-3.8%1.6%356.8K-7.9M-225.7K0.455.503,7611,693422,762190,124
2012-12-14$2.39$3.0072.2%20.7%50.9%53.7%74.4%-3.6%2.3%342.4K-6.4M-217.3K0.144.664,297584423,375190,372
2012-12-17$2.46$3.0069.6%19.9%50.8%50.0%71.5%-4.0%3.4%396.7K-8.8M-219.6K0.224.745,5621,227423,496190,565
2012-12-18$2.52$3.0068.3%19.6%50.5%48.3%72.1%-2.5%4.8%448.1K-11.5M-226.7K0.536.7115,0177,918424,551191,111
2012-12-19$2.52$3.0066.0%18.9%49.1%45.0%69.4%-7.1%5.9%465.8K-11.4M-225.6K0.404.044,9001,948428,939194,165
2012-12-20$2.40$3.0065.3%18.7%53.7%44.1%65.4%-3.8%7.9%327.6K-5.3M-204.6K0.353.4810,1553,522424,533189,199
2012-12-21$2.59$3.0064.9%18.6%57.4%43.5%64.7%1.3%7.7%366.4K-15.3M-218.2K1.486.868,55412,661426,970190,581
2012-12-24$2.48$3.0066.0%18.9%57.6%45.0%71.5%-2.9%7.1%250.8K-6.1M-209.8K0.404.093,0381,210401,209181,505
2012-12-26$2.43$3.0064.5%18.5%58.8%42.9%67.1%-4.0%9.1%199.4K-3.6M-201.2K0.388.854,2641,616402,173181,903
2012-12-27$2.39$3.0063.7%18.3%58.7%41.9%65.3%-2.7%9.3%163.3K-1.4M-193.4K0.305.294,2911,267403,736182,528
2012-12-28$2.28$3.0065.3%18.7%60.9%44.1%65.0%-1.0%11.2%145.5K2.1M-183.4K0.296.6010,1272,954403,582182,994
2012-12-31$2.40$3.0068.5%19.6%57.7%48.5%74.5%4.0%4.6%178.8K-2.4M-193.2K0.822.775,6364,643407,355182,955