AMD Options History — March 2016

In March 2016, AMD traded between $2.19 and $2.92. ATM implied volatility averaged 67.2%, placing in the 43.4% IV rank vs the trailing year. The 30-day expected move averaged 19.9%. IV traded above realized volatility by 1.0% (HV 20d: 66.2%). Max pain ranged from $2.00 to $2.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2016-03-16: Highest Volume — 35,872 contracts
  • 2016-03-09: Largest IV spike — 19.8% change
  • 2016-03-09: Highest IV Rank — 53.8%
  • 2016-03-31: Largest Expected Move — 21.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.59$2.19$2.92$2.19$2.86
Max Pain$2.45$2.00$2.50$2.00$2.50
ATM IV67.2%59.0%74.9%68.8%70.7%
Expected Move19.9%18.4%21.9%19.4%21.9%
HV 20d66.2%47.6%78.6%51.0%76.4%
HV 60d79.1%73.8%82.3%73.8%80.2%
IV Rank43.4%32.4%53.8%45.5%48.1%
IV Percentile45.3%36.1%59.9%47.6%49.2%
Term Structure0.4%-4.8%7.4%-2.1%-2.9%
VWIV70.3%61.7%85.0%66.5%81.3%
Skew 25d7.4%1.9%26.4%6.9%7.0%
Skew 10d23.8%-4.9%70.3%13.3%34.4%
Call IV 25d65.9%43.4%73.3%60.4%70.0%
Put IV 25d73.3%67.3%80.0%67.3%77.0%
Bid-Ask Spread %8.915.0120.955.0110.07
Gamma HHI0.440.270.790.590.30
Net GEX184.3K72.6K518.3K150.6K152.7K
Net DEX-2.7M-16.0M10.8M10.8M-10.8M
Net VEX-271.3K-312.4K-218.7K-218.7K-303.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.232.551.011.25
Total Volume17,461.6829,36835,87210,2349,936
Total OI447,068.136426,403473,823434,693473,823

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$2.19$2.0068.8%19.4%51.0%45.5%66.5%6.9%-2.1%150.6K10.8M-218.7K1.015.015,0805,154207,249227,444
2016-03-02$2.33$2.0059.0%19.9%47.6%32.4%61.7%14.1%-2.2%149.3K6.4M-235.0K0.506.4910,1065,056209,099227,667
2016-03-03$2.48$2.5061.7%19.6%50.7%36.0%68.3%26.4%1.0%518.3K-421.8K-255.4K0.477.8915,5297,324215,410227,795
2016-03-04$2.37$2.5060.3%18.9%54.1%34.1%67.6%17.3%-1.4%171.6K5.1M-243.8K0.539.8014,2197,527213,545230,934
2016-03-07$2.46$2.5062.6%18.8%50.3%37.3%66.5%4.7%2.8%216.8K3.6M-246.1K0.466.8312,6655,829195,878230,525
2016-03-08$2.32$2.5062.5%18.9%54.2%37.1%70.9%4.7%4.0%163.3K6.7M-236.5K1.028.225,7225,852196,522230,807
2016-03-09$2.25$2.5074.9%21.6%55.6%53.8%70.8%7.2%-0.1%130.0K8.6M-226.1K1.068.175,6836,043198,735231,663
2016-03-10$2.26$2.5065.4%19.8%53.0%41.0%70.3%11.1%7.4%107.6K9.5M-228.6K0.969.646,0735,854200,198232,412
2016-03-11$2.50$2.5060.7%18.4%62.0%34.6%64.6%10.3%6.1%275.5K1.1M-258.4K0.446.4313,9116,167201,427232,814
2016-03-14$2.68$2.5067.3%19.6%64.1%43.5%68.4%4.7%5.2%194.2K-4.9M-271.6K0.328.0820,0086,318197,535232,569
2016-03-15$2.49$2.5070.0%20.3%71.6%47.2%72.7%8.4%-2.4%211.3K1.0M-258.1K0.387.3617,7306,684202,622235,263
2016-03-16$2.63$2.5071.7%20.6%72.6%49.5%71.7%4.6%-1.4%72.6K-4.3M-270.9K0.2320.9529,2686,604204,975236,178
2016-03-17$2.76$2.5068.7%19.7%73.3%45.4%70.3%3.2%-1.0%111.7K-10.2M-295.3K0.8610.557,2106,183222,493237,055
2016-03-18$2.92$2.5070.1%19.5%74.2%47.3%68.5%1.9%5.7%136.8K-16.0M-312.4K0.357.3118,7276,509226,732238,003
2016-03-21$2.78$2.5066.7%20.2%77.3%42.7%72.0%5.4%-1.2%177.9K-8.4M-298.5K1.188.614,8105,672218,293234,763
2016-03-22$2.78$2.5067.8%19.5%76.4%44.2%68.4%3.1%-2.2%157.2K-9.3M-303.8K1.268.904,1375,231220,595236,494
2016-03-23$2.69$2.5073.0%19.7%78.3%51.3%67.6%6.2%2.5%147.6K-5.5M-295.1K2.267.654,1069,262221,609236,908
2016-03-24$2.78$2.5067.0%19.4%78.4%43.1%66.1%3.2%-2.0%159.2K-8.8M-303.7K0.928.648,1017,469222,640239,615
2016-03-28$2.78$2.5069.5%20.7%78.6%46.4%74.4%5.2%-2.0%190.8K-9.2M-298.7K0.608.659,0395,441222,426237,532
2016-03-29$2.86$2.5070.2%20.1%78.3%47.4%72.5%3.4%-1.2%231.8K-11.8M-305.4K0.5611.6411,4556,428225,114237,429
2016-03-30$2.87$2.5069.4%21.1%78.3%46.4%85.0%4.9%-4.8%228.4K-13.4M-302.7K2.559.096,76917,266226,242238,467
2016-03-31$2.86$2.5070.7%21.9%76.4%48.1%81.3%7.0%-2.9%152.7K-10.8M-303.6K1.2510.074,4115,525224,708249,115