AMD Options History — September 2015

In September 2015, AMD traded between $1.67 and $2.00. ATM implied volatility averaged 98.7%, placing in the 85.8% IV rank vs the trailing year. The 30-day expected move averaged 29.5%. IV traded above realized volatility by 40.2% (HV 20d: 58.5%). Max pain ranged from $2.00 to $2.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 3.97.

Notable Days

  • 2015-09-24: Highest Volume — 234,361 contracts
  • 2015-09-03: Largest IV drop — 18.9% change
  • 2015-09-14: Highest IV Rank — 100.0%
  • 2015-09-28: Largest Expected Move — 34.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.80$1.67$2.00$1.73$1.72
Max Pain$2.43$2.00$2.50$2.00$2.00
ATM IV98.7%78.9%109.3%97.5%105.2%
Expected Move29.5%23.1%34.6%28.2%32.9%
HV 20d58.5%50.0%65.4%54.4%57.4%
HV 60d72.1%64.3%74.4%70.0%64.3%
IV Rank85.8%59.3%100.0%84.2%94.4%
IV Percentile97.3%90.5%100.0%98.8%98.0%
Term Structure-2.7%-19.1%8.4%-12.1%-19.1%
VWIV98.6%55.1%115.3%94.5%111.9%
Skew 25d17.7%-18.0%48.2%-18.0%12.7%
Skew 10d23.2%-5.1%65.9%-1.7%-0.6%
Call IV 25d94.3%79.5%113.1%89.6%93.4%
Put IV 25d112.0%71.6%131.6%71.6%106.1%
Bid-Ask Spread %10.015.9732.0911.497.03
Gamma HHI0.330.280.360.300.29
Net GEX-946.7K-1.1M-661.7K-883.4K-692.2K
Net DEX69.7M57.8M76.1M73.0M63.6M
Net VEX-330.7K-413.5K-231.9K-369.0K-245.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.970.1428.800.661.82
Total Volume27,795.0953,546234,3615,7147,549
Total OI1,354,136.3811,232,4761,398,3331,375,7781,246,997

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$1.73$2.0097.5%28.2%54.4%84.2%94.5%-18.0%-12.1%-883.4K73.0M-369.0K0.6611.493,4362,278375,3121,000,466
2015-09-02$1.77$2.0097.3%23.1%55.0%84.0%55.1%4.5%3.8%-1.0M76.1M-352.1K0.6010.133,3181,987375,4021,000,790
2015-09-03$1.81$2.5078.9%26.2%56.1%59.3%90.2%36.8%-7.8%-1.0M75.7M-355.9K0.5312.643,7521,991375,4941,000,794
2015-09-04$1.82$2.5084.7%26.5%56.3%67.1%86.6%48.2%2.2%-1.0M75.7M-351.2K0.4110.133,8621,571376,3791,000,861
2015-09-08$1.88$2.5087.1%26.8%50.0%70.3%91.8%39.2%5.6%-1.1M74.0M-354.7K0.3710.672,583963375,8001,000,031
2015-09-09$1.84$2.50101.6%27.0%50.3%89.8%91.1%15.0%-1.2%-1.0M72.1M-357.4K0.3010.846,8532,074377,2421,000,011
2015-09-10$1.84$2.5093.4%26.4%50.2%78.8%92.7%35.3%8.4%-1.0M69.0M-368.9K0.627.512,9671,851380,5771,000,027
2015-09-11$2.00$2.50102.0%29.4%54.8%90.3%105.6%24.2%8.1%-991.9K57.8M-413.5K0.2232.0919,7814,259381,014999,658
2015-09-14$1.82$2.50109.3%31.9%65.0%100.0%110.6%10.2%-16.2%-928.2K69.5M-351.5K0.337.516,9582,326390,879999,735
2015-09-15$1.86$2.50104.6%29.8%65.2%93.6%103.1%19.1%-3.8%-998.8K68.5M-360.9K0.667.7814,5579,607390,946999,102
2015-09-16$1.89$2.5099.8%28.6%65.3%87.2%115.3%27.4%-1.0%-1.0M68.4M-350.0K0.498.002,8981,419395,601990,304
2015-09-17$1.88$2.5097.1%27.8%65.4%83.5%104.5%10.2%1.3%-1.0M66.8M-354.9K0.9315.036,1615,702395,852989,705
2015-09-18$1.87$2.5097.5%28.5%61.6%84.2%99.7%24.8%-7.6%-1.0M70.1M-346.9K0.148.0040,6015,525399,776991,280
2015-09-21$1.82$2.5094.2%28.3%61.1%79.7%98.2%20.0%-1.6%-1.0M70.1M-339.8K0.597.218,8525,214417,449980,884
2015-09-22$1.73$2.50108.6%33.8%63.8%99.0%111.4%0.5%-0.1%-1.0M74.5M-310.7K28.808.722,33167,133391,237980,975
2015-09-23$1.71$2.50106.3%33.4%61.0%96.0%103.4%11.6%-6.6%-972.6K72.2M-313.6K9.306.912,92427,186391,922984,424
2015-09-24$1.72$2.5098.9%32.8%59.7%86.0%89.9%7.6%2.9%-1.0M75.7M-305.1K25.727.868,771225,590392,300984,654
2015-09-25$1.73$2.50101.3%30.5%58.8%89.3%94.0%11.4%-8.2%-709.2K63.1M-255.8K2.635.976,03415,863393,033844,999
2015-09-28$1.67$2.50108.0%34.6%58.5%98.3%106.7%14.9%-4.9%-661.7K61.6M-255.0K7.148.512,18815,627391,319841,157
2015-09-29$1.67$2.50100.1%32.3%58.4%87.6%114.6%16.1%1.2%-716.1K65.0M-231.9K1.086.1013,99015,165391,222841,254
2015-09-30$1.72$2.00105.2%32.9%57.4%94.4%111.9%12.7%-19.1%-692.2K63.6M-245.5K1.827.032,6774,872399,640847,357