AMD Options History — December 2015

In December 2015, AMD traded between $2.24 and $3.00. ATM implied volatility averaged 75.5%, placing in the 54.5% IV rank vs the trailing year. The 30-day expected move averaged 22.4%. IV traded above realized volatility by 27.2% (HV 20d: 48.2%). Max pain ranged from $2.00 to $3.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.61.

Notable Days

  • 2015-12-22: Highest Volume — 105,604 contracts
  • 2015-12-03: Largest IV spike — 17.4% change
  • 2015-12-14: Highest IV Rank — 67.0%
  • 2015-12-14: Largest Expected Move — 24.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.56$2.24$3.00$2.34$2.90
Max Pain$2.91$2.00$3.00$2.00$3.00
ATM IV75.5%64.0%84.8%65.8%74.4%
Expected Move22.4%19.0%24.9%23.1%19.0%
HV 20d48.2%40.1%57.0%46.8%54.3%
HV 60d45.4%41.5%48.7%48.5%46.7%
IV Rank54.5%39.1%67.0%41.5%53.1%
IV Percentile74.7%62.7%88.5%65.5%68.3%
Term Structure1.1%-12.5%11.0%3.6%-2.8%
VWIV78.2%64.3%89.2%89.2%64.3%
Skew 25d6.9%-5.4%17.8%-0.1%16.3%
Skew 10d22.5%-6.0%55.1%20.1%11.9%
Call IV 25d78.9%68.6%100.4%76.8%68.6%
Put IV 25d85.7%71.9%108.7%76.7%84.9%
Bid-Ask Spread %10.587.0414.148.8912.18
Gamma HHI0.350.260.480.260.48
Net GEX191.4K-72.7K546.9K111.2K520.5K
Net DEX7.0M-31.6M26.8M18.6M-22.6M
Net VEX-281.7K-336.5K-240.0K-262.4K-308.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.610.377.830.810.82
Total Volume40,491.9557,139105,60429,71520,077
Total OI961,005.545898,8141,028,401898,8141,028,401

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$2.34$2.0065.8%23.1%46.8%41.5%89.2%-0.1%3.6%111.2K18.6M-262.4K0.818.8916,38213,333460,613438,201
2015-12-02$2.27$2.0064.0%24.0%45.6%39.1%80.8%3.0%6.9%-72.3K25.0M-254.9K0.688.4020,16113,798474,802449,402
2015-12-03$2.24$3.0075.1%24.1%43.4%54.0%73.1%3.6%6.9%-71.8K26.6M-242.5K2.4011.546,09114,630477,758446,998
2015-12-04$2.29$3.0067.8%22.5%44.1%44.2%75.1%-3.9%1.9%-72.7K24.4M-249.2K4.4710.673,60916,142477,532447,881
2015-12-07$2.36$3.0078.5%23.1%44.1%58.5%69.3%-5.4%4.6%-62.4K25.6M-240.0K2.9713.291,7985,341452,493449,825
2015-12-08$2.39$3.0075.9%24.1%43.3%55.1%85.4%6.2%9.2%-65.3K21.6M-255.2K1.3013.7114,42318,764453,249452,817
2015-12-09$2.35$3.0077.3%23.5%40.1%57.0%75.9%-1.5%5.7%10.2K20.9M-261.3K7.839.885,37642,082462,725454,792
2015-12-10$2.46$3.0074.6%24.0%42.3%53.3%85.0%6.4%11.0%77.1K16.5M-282.5K3.7812.169,51735,975464,982466,369
2015-12-11$2.37$3.0078.4%23.4%44.7%58.5%82.8%7.6%8.0%1.8K23.2M-274.1K1.569.8024,80338,623468,720478,028
2015-12-14$2.35$3.0084.8%24.9%44.9%67.0%82.5%6.5%-4.4%73.4K25.5M-272.2K5.3510.587,45339,891481,003480,252
2015-12-15$2.37$3.0082.0%23.9%44.8%63.3%84.3%4.0%-2.9%106.4K26.8M-263.9K5.7111.536,72238,382482,321480,222
2015-12-16$2.54$3.0075.6%21.7%49.5%54.7%77.1%12.7%4.5%378.1K15.0M-274.0K0.3712.1814,8265,434483,168479,973
2015-12-17$2.55$3.0076.5%21.9%44.9%55.9%80.4%12.9%0.6%535.6K10.5M-288.8K2.348.5812,23028,625489,526479,984
2015-12-18$2.44$3.0076.6%21.7%48.7%56.0%75.9%4.0%3.0%12.5K22.1M-284.3K1.127.2524,95427,947494,420491,790
2015-12-21$2.51$3.0078.2%20.3%47.6%58.2%71.5%17.8%-7.9%160.5K18.9M-278.5K3.937.354,58517,998481,786481,352
2015-12-22$2.76$3.0072.9%19.7%57.0%51.0%69.7%8.3%-12.5%212.4K-4.6M-296.4K0.4414.1173,24232,362483,967481,340
2015-12-23$2.83$3.0073.5%22.4%55.1%51.8%79.9%10.8%-0.2%263.4K-17.3M-323.3K0.3814.1451,09819,644512,183487,187
2015-12-24$2.92$3.0076.2%21.7%55.6%55.5%79.4%11.9%1.2%463.7K-29.6M-336.5K0.789.7923,95218,665532,884487,872
2015-12-28$3.00$3.0076.4%22.1%54.6%55.8%78.4%12.1%-4.2%537.6K-30.9M-320.7K0.9610.2819,85519,119519,927487,807
2015-12-29$3.00$3.0079.5%21.4%54.8%60.0%85.6%10.1%-6.4%544.9K-31.6M-319.5K5.497.047,07538,853521,438491,498
2015-12-30$2.97$3.0076.1%21.2%54.9%55.4%75.3%7.3%-1.9%546.9K-30.1M-309.7K4.039.347,35529,631521,186503,448
2015-12-31$2.90$3.0074.4%19.0%54.3%53.1%64.3%16.3%-2.8%520.5K-22.6M-308.1K0.8212.1811,0609,017524,868503,533