AMD Options History — January 2016

In January 2016, AMD traded between $1.81 and $2.78. ATM implied volatility averaged 82.2%, placing in the 63.5% IV rank vs the trailing year. The 30-day expected move averaged 23.2%. IV traded below realized volatility by 5.3% (HV 20d: 87.5%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.92.

Notable Days

  • 2016-01-15: Highest Volume — 74,663 contracts
  • 2016-01-08: Largest IV spike — 14.1% change
  • 2016-01-08: Highest IV Rank — 83.1%
  • 2016-01-14: Largest Expected Move — 26.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.22$1.81$2.78$2.78$2.15
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV82.2%72.6%96.7%81.9%72.6%
Expected Move23.2%21.4%26.7%21.6%22.2%
HV 20d87.5%57.0%106.9%57.0%101.8%
HV 60d63.2%47.4%73.3%47.8%73.3%
IV Rank63.5%50.7%83.1%63.2%50.7%
IV Percentile79.6%59.5%92.9%85.7%59.5%
Term Structure-0.9%-7.0%31.0%-3.5%-2.2%
VWIV81.8%75.1%90.5%75.1%77.5%
Skew 25d10.7%-1.6%23.1%-0.4%23.1%
Skew 10d20.2%3.8%73.2%4.1%73.2%
Call IV 25d81.8%68.0%96.2%84.5%72.8%
Put IV 25d92.5%73.2%108.2%84.1%95.9%
Bid-Ask Spread %10.546.8415.9910.136.84
Gamma HHI0.280.180.440.440.37
Net GEX-22.6K-157.8K359.0K359.0K30.7K
Net DEX25.1M-5.3M57.1M-5.3M11.3M
Net VEX-233.9K-292.2K-191.3K-292.2K-244.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.299.362.721.18
Total Volume31,499.31610,08374,66330,44610,083
Total OI739,493386,3641,053,3081,023,472437,046

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$2.78$2.5081.9%21.6%57.0%63.2%75.1%-0.4%-3.5%359.0K-5.3M-292.2K2.7210.138,17522,271521,474501,998
2016-01-05$2.75$2.5079.8%21.4%57.3%60.4%75.1%1.7%-0.3%123.3K-1.4M-275.5K0.6011.6919,57111,837523,705496,333
2016-01-06$2.51$2.5084.0%22.2%66.9%66.0%83.1%1.6%-1.4%85.5K21.6M-271.0K0.349.2923,3558,039527,166503,147
2016-01-07$2.27$2.5084.8%21.8%76.1%67.0%83.8%10.2%-7.0%-149.3K40.4M-239.3K1.5515.9912,85119,885527,826505,366
2016-01-08$2.12$2.5096.7%24.9%79.5%83.1%79.8%9.6%-5.6%-145.7K48.5M-221.2K1.1112.2116,03617,783532,786511,242
2016-01-11$2.34$2.5088.3%23.8%86.0%71.8%85.2%2.5%-3.0%-122.1K39.0M-240.0K0.8415.1230,41925,599502,875517,358
2016-01-12$2.38$2.5088.3%24.6%85.2%71.7%90.5%6.1%-1.5%-64.5K37.5M-249.5K7.7512.234,13132,033519,515520,355
2016-01-13$2.26$2.5080.2%23.0%87.2%60.9%88.8%18.1%-1.2%-9.5K57.1M-223.7K1.7614.2114,75825,928520,729526,110
2016-01-14$2.23$2.5085.4%26.7%87.2%67.9%84.4%16.4%31.0%-17.5K56.4M-221.6K0.5612.2523,83713,443523,890527,742
2016-01-15$2.03$2.5091.0%25.7%88.5%75.3%88.0%22.6%2.6%-35.2K55.7M-199.1K9.369.277,21067,453524,545528,763
2016-01-19$1.94$2.5088.6%25.2%89.1%72.2%86.0%19.2%-5.1%-75.6K16.4M-203.7K3.608.4211,74942,306147,303239,061
2016-01-20$1.81$2.5082.9%23.8%90.7%64.5%88.9%10.2%-6.9%-64.5K18.0M-191.3K1.5412.505,4838,468154,657244,233
2016-01-21$2.10$2.5075.6%21.7%106.9%54.7%75.6%11.9%-5.4%-157.8K15.3M-218.7K0.718.5515,75811,145156,479244,532
2016-01-22$2.02$2.5075.7%22.0%100.0%54.8%76.7%16.4%-3.5%-56.3K14.2M-217.9K0.687.138,3575,676164,240248,471
2016-01-25$2.13$2.5074.0%22.4%101.9%52.6%78.1%14.3%-2.9%-70.4K13.5M-229.9K0.728.138,2555,912159,515237,990
2016-01-26$2.08$2.5078.3%22.7%100.5%58.4%79.2%15.8%-3.4%-54.0K14.1M-227.7K0.298.3119,0315,540164,685238,563
2016-01-27$2.14$2.5078.4%22.4%100.6%58.5%78.0%5.7%-4.5%-19.5K12.2M-240.0K0.318.6218,0905,616179,999238,779
2016-01-28$2.09$2.5074.6%22.8%100.5%53.3%79.6%-1.6%6.3%14.4K12.0M-237.9K0.769.347,0515,353192,843239,046
2016-01-29$2.15$2.5072.6%22.2%101.8%50.7%77.5%23.1%-2.2%30.7K11.3M-244.2K1.186.844,6345,449197,927239,119