AMD Options History — September 2016

In September 2016, AMD traded between $5.72 and $7.51. ATM implied volatility averaged 66.2%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 19.9%. IV traded above realized volatility by 7.4% (HV 20d: 58.9%). Max pain ranged from $5.00 to $7.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2016-09-08: Highest Volume — 156,759 contracts
  • 2016-09-08: Largest IV spike — 9.3% change
  • 2016-09-30: Highest IV Rank — 40.0%
  • 2016-09-08: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.46$5.72$7.51$7.35$6.94
Max Pain$5.19$5.00$7.00$7.00$5.00
ATM IV66.2%58.7%71.1%58.9%67.0%
Expected Move19.9%15.5%22.7%16.3%18.9%
HV 20d58.9%43.9%68.0%43.9%63.2%
HV 60d65.2%60.9%71.8%65.8%62.3%
IV Rank31.4%18.4%40.0%18.8%40.0%
IV Percentile41.3%20.2%54.0%21.8%46.0%
Term Structure2.7%-2.5%12.1%0.4%-1.9%
VWIV70.2%55.8%78.9%57.8%67.0%
Skew 25d3.3%-0.5%9.7%3.2%0.4%
Skew 10d6.8%-22.7%25.8%9.7%6.1%
Call IV 25d66.4%57.9%75.0%60.7%67.4%
Put IV 25d69.7%62.1%79.2%63.9%67.7%
Bid-Ask Spread %4.472.4911.364.033.00
Gamma HHI0.200.150.370.280.23
Net GEX1.5M545.8K2.9M1.2M1.8M
Net DEX-136.9M-196.9M-47.6M-178.9M-196.9M
Net VEX-762.1K-808.3K-698.7K-750.7K-808.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.091.701.700.70
Total Volume57,114.8118,536156,75954,16073,278
Total OI882,219.524783,538989,578783,538898,646

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$7.35$7.0058.9%16.3%43.9%18.8%57.8%3.2%0.4%1.2M-178.9M-750.7K1.704.0320,05534,105445,550337,988
2016-09-02$7.51$7.0058.7%15.5%44.0%18.4%55.8%4.2%-0.3%1.3M-194.2M-733.8K0.534.0231,37716,695448,974337,673
2016-09-06$7.34$5.0060.1%21.5%45.1%20.7%77.8%2.8%12.1%1.4M-182.4M-741.2K0.6111.3625,80415,689454,921332,431
2016-09-07$6.84$5.0063.0%22.1%52.1%25.4%78.6%2.6%3.8%1.1M-141.7M-734.2K1.625.9950,10781,402466,190337,322
2016-09-08$6.17$5.0068.8%22.7%63.9%34.8%78.5%3.3%4.4%545.8K-83.4M-700.3K0.964.9979,94076,819480,097373,472
2016-09-09$5.89$5.0069.3%21.9%65.4%35.6%77.2%6.3%3.3%999.7K-47.6M-698.7K0.975.2863,81661,724522,536411,809
2016-09-12$5.95$5.0071.1%22.5%65.0%38.5%78.9%4.5%7.1%1.4M-96.6M-725.7K0.575.2048,05227,279543,689350,922
2016-09-13$5.72$5.0071.1%22.0%64.3%38.5%76.0%0.8%5.3%1.3M-77.7M-724.7K0.303.7226,6728,021569,887370,196
2016-09-14$6.05$5.0070.8%22.1%68.0%38.4%77.7%9.7%6.3%2.1M-106.6M-774.9K0.146.0136,2645,080582,347372,408
2016-09-15$6.02$5.0069.6%21.5%68.0%36.5%74.9%2.4%6.2%2.9M-109.9M-783.2K0.213.4233,2946,858602,905371,995
2016-09-16$6.06$5.0068.6%20.9%64.7%34.8%72.1%4.0%7.5%1.4M-126.8M-793.9K0.093.71132,73212,484619,522370,056
2016-09-19$6.15$5.0067.7%19.9%56.5%33.4%70.1%3.0%0.5%1.4M-126.0M-759.1K0.814.9316,95513,724510,686349,699
2016-09-20$6.18$5.0067.7%19.6%56.8%33.4%68.2%4.0%1.8%1.4M-128.1M-759.8K0.865.0810,4678,976516,571358,017
2016-09-21$6.30$5.0066.8%19.1%57.2%31.8%68.5%3.8%0.7%1.6M-137.0M-772.4K0.515.6512,2916,245517,164359,717
2016-09-22$6.37$5.0064.6%18.3%57.0%28.6%65.8%3.6%3.4%1.8M-143.1M-777.0K0.353.1620,2477,164519,872360,699
2016-09-23$6.60$5.0063.4%18.0%59.0%26.6%63.9%2.5%2.6%1.6M-167.6M-793.4K0.283.0933,7089,283527,208362,551
2016-09-26$6.32$5.0066.7%18.6%58.8%32.0%67.8%2.4%-1.8%1.5M-136.1M-769.6K0.532.8613,1416,909512,724355,839
2016-09-27$6.53$5.0064.7%18.4%60.7%28.7%65.3%-0.5%-0.7%1.8M-157.8M-792.6K0.323.2518,6005,979527,310358,504
2016-09-28$6.58$5.0065.4%18.6%60.9%31.4%65.2%4.0%-1.0%2.0M-164.3M-804.6K0.402.6617,4096,881535,417359,456
2016-09-29$6.69$5.0066.6%19.0%61.4%33.5%66.1%2.6%-2.5%2.0M-172.2M-806.0K0.662.4914,4129,473533,005360,635
2016-09-30$6.94$5.0067.0%18.9%63.2%40.0%67.0%0.4%-1.9%1.8M-196.9M-808.3K0.703.0042,99330,285535,778362,868