AMD Options History — November 2015

In November 2015, AMD traded between $1.99 and $2.38. ATM implied volatility averaged 61.1%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 18.3% (HV 20d: 42.9%). Max pain ranged from $2.00 to $2.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.77.

Notable Days

  • 2015-11-20: Highest Volume — 84,428 contracts
  • 2015-11-04: Largest IV spike — 27.8% change
  • 2015-11-25: Highest IV Rank — 48.1%
  • 2015-11-20: Largest Expected Move — 21.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.16$1.99$2.38$2.18$2.36
Max Pain$2.00$2.00$2.00$2.00$2.00
ATM IV61.1%47.2%70.7%57.1%70.6%
Expected Move17.6%14.2%21.8%15.5%21.3%
HV 20d42.9%37.0%47.4%37.0%47.4%
HV 60d49.6%48.4%52.4%52.4%48.5%
IV Rank35.3%16.6%48.1%29.8%48.0%
IV Percentile56.4%32.1%70.6%49.6%70.2%
Term Structure-1.0%-32.1%11.3%-5.1%0.2%
VWIV61.5%43.5%83.8%54.8%83.8%
Skew 25d8.6%-7.3%38.0%19.4%2.0%
Skew 10d29.1%-12.5%73.5%73.5%45.9%
Call IV 25d66.2%50.7%85.6%50.9%76.5%
Put IV 25d74.8%53.9%110.8%70.3%78.5%
Bid-Ask Spread %10.587.5715.1711.7310.52
Gamma HHI0.320.210.400.350.24
Net GEX-133.5K-259.7K119.9K-232.9K100.0K
Net DEX34.1M17.2M46.1M37.7M17.2M
Net VEX-217.0K-272.4K-168.9K-209.3K-263.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.044.382.020.64
Total Volume14,233.551,42284,4289,4656,559
Total OI831,330.25803,406895,914803,406895,914

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$2.18$2.0057.1%15.5%37.0%29.8%54.8%19.4%-5.1%-232.9K37.7M-209.3K2.0211.733,1296,336374,910428,496
2015-11-03$2.28$2.0047.2%14.2%38.9%16.6%43.5%0.1%6.7%-229.1K33.1M-232.1K2.119.213,4207,220375,772428,861
2015-11-04$2.19$2.0060.4%16.3%42.9%34.2%51.8%7.5%0.3%-214.6K36.8M-216.8K3.0110.571,8645,609378,457428,105
2015-11-05$2.20$2.0059.6%17.2%40.9%33.2%57.5%8.3%2.8%-212.9K35.7M-225.7K2.718.902,0295,501378,396428,588
2015-11-06$2.15$2.0057.2%15.7%42.2%29.9%55.6%7.2%-0.9%-217.8K37.9M-209.7K0.077.571,733130379,206428,656
2015-11-09$2.11$2.0061.5%17.1%39.6%35.7%57.7%12.1%2.4%-205.0K39.5M-200.0K1.7615.177181,266379,358427,537
2015-11-10$2.02$2.0063.3%16.6%42.8%38.1%58.2%24.3%-5.4%-177.0K42.0M-184.8K3.969.272,4999,884379,263427,969
2015-11-11$2.03$2.0059.2%16.7%42.3%32.7%58.4%11.9%-0.1%-191.6K41.2M-196.5K4.388.452,2579,886378,942432,769
2015-11-12$2.00$2.0056.9%16.6%42.7%29.6%59.1%38.0%0.9%-168.0K40.2M-194.9K4.189.072,40110,048378,928433,049
2015-11-13$1.99$2.0058.9%16.9%42.5%32.3%58.8%15.5%-0.1%-179.6K41.5M-197.0K1.309.555,0866,605379,953433,113
2015-11-16$1.99$2.0057.2%16.4%40.6%29.9%54.0%-7.3%2.5%-218.9K46.1M-168.9K0.1812.331,200222378,534434,220
2015-11-17$1.99$2.0053.2%15.1%40.5%24.6%53.1%8.8%2.7%-207.6K43.2M-173.7K1.869.984,3828,138379,085434,065
2015-11-18$2.13$2.0055.6%15.9%44.0%27.8%55.6%10.7%4.7%-259.7K40.6M-190.4K0.4310.5014,7356,326381,385437,995
2015-11-19$2.13$2.0058.0%16.0%43.2%31.1%47.5%21.6%11.3%-226.3K39.8M-185.0K0.8213.507,3956,081390,308438,225
2015-11-20$2.22$2.0067.9%21.8%44.7%44.4%82.4%-5.1%-32.1%-153.9K29.4M-225.3K0.0414.4881,5662,862389,808438,329
2015-11-23$2.22$2.0070.6%20.3%43.4%47.9%75.7%-2.8%-6.7%42.2K23.7M-264.1K0.078.558,102566456,744433,718
2015-11-24$2.34$2.0070.0%21.1%47.0%47.2%75.4%-0.5%-3.2%87.0K19.3M-262.8K0.3912.3918,0807,084444,662434,064
2015-11-25$2.38$2.0070.7%20.4%47.2%48.1%78.4%-4.3%-0.2%76.5K18.1M-266.0K2.039.474,2078,523448,269436,524
2015-11-27$2.33$2.0067.5%20.0%47.4%43.9%69.5%4.8%-1.5%119.9K18.0M-272.4K3.4510.382,4798,543457,731436,697
2015-11-30$2.36$2.0070.6%21.3%47.4%48.0%83.8%2.0%0.2%100.0K17.2M-263.9K0.6410.523,9982,561459,704436,210