AMD Options History — November 2016

In November 2016, AMD traded between $6.32 and $8.97. ATM implied volatility averaged 60.0%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded below realized volatility by 7.3% (HV 20d: 67.3%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2016-11-17: Highest Volume — 242,318 contracts
  • 2016-11-10: Largest IV spike — 10.5% change
  • 2016-11-10: Highest IV Rank — 32.2%
  • 2016-11-10: Largest Expected Move — 19.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.69$6.32$8.97$7.13$8.97
Max Pain$7.26$7.00$8.00$7.00$8.00
ATM IV60.0%55.5%65.1%55.6%56.5%
Expected Move17.4%16.3%19.3%16.5%16.4%
HV 20d67.3%56.3%82.2%56.3%71.1%
HV 60d59.4%54.2%63.6%54.2%63.1%
IV Rank21.7%11.5%32.2%17.0%13.6%
IV Percentile23.0%7.9%36.9%9.1%12.7%
Term Structure-0.1%-1.9%2.8%0.2%-0.9%
VWIV61.6%57.3%66.9%58.2%57.8%
Skew 25d2.0%-1.6%5.2%3.3%1.8%
Skew 10d6.5%-9.7%24.9%-9.7%5.2%
Call IV 25d61.1%54.7%67.5%54.7%56.4%
Put IV 25d63.1%57.2%68.5%58.0%58.2%
Bid-Ask Spread %4.843.266.896.153.33
Gamma HHI0.190.150.260.180.17
Net GEX2.3M1.1M3.1M2.2M3.1M
Net DEX-206.6M-328.1M-93.6M-155.1M-303.9M
Net VEX-857.8K-1.0M-727.8K-788.3K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.242.020.720.62
Total Volume66,158.28626,072242,31833,01045,457
Total OI885,660.476815,060982,392836,653982,392

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$7.13$7.0055.6%16.5%56.3%17.0%58.2%3.3%0.2%2.2M-155.1M-788.3K0.726.1519,16213,848492,510344,143
2016-11-02$6.80$7.0055.5%17.5%57.9%16.7%61.5%2.2%0.6%1.3M-122.1M-767.6K0.535.4320,71310,934493,630352,551
2016-11-03$6.70$7.0059.8%16.7%57.0%20.8%61.1%3.4%0.7%1.3M-113.0M-789.1K2.024.8616,79333,922498,669352,887
2016-11-04$6.55$7.0061.3%17.6%56.4%24.0%61.7%3.4%0.4%1.4M-105.9M-776.9K1.495.5825,52637,998499,133341,724
2016-11-07$6.94$7.0060.0%17.2%60.1%21.2%60.3%3.0%0.8%2.1M-143.2M-781.1K0.986.8920,67820,204489,002326,058
2016-11-08$7.02$7.0060.3%17.4%57.4%21.8%61.9%5.2%0.3%2.3M-152.5M-785.7K0.576.6617,2589,792498,524325,861
2016-11-09$6.93$7.0058.9%17.5%57.3%18.9%63.0%3.2%2.5%2.5M-145.6M-778.6K0.755.9320,51715,459500,148327,061
2016-11-10$6.32$7.0065.1%19.3%65.8%32.2%66.9%1.0%2.8%1.1M-93.6M-727.8K0.375.2542,28415,844499,842333,501
2016-11-11$6.65$7.0064.3%18.6%66.5%30.4%66.4%4.0%0.6%1.4M-125.2M-785.9K0.764.2218,78114,260517,473337,701
2016-11-14$6.77$7.0062.7%18.1%66.6%27.0%65.0%2.5%-1.1%1.5M-130.8M-779.0K0.624.4719,47112,135494,131334,493
2016-11-15$7.00$7.0062.1%17.8%67.6%25.6%63.6%4.1%-1.9%1.8M-150.2M-782.4K0.293.3728,6948,359500,484342,301
2016-11-16$7.64$7.0062.3%17.9%74.1%26.1%63.5%1.8%-1.8%2.9M-219.8M-830.9K0.414.62103,35142,326516,604344,099
2016-11-17$8.50$7.0064.8%18.6%82.2%31.6%65.2%1.1%0.3%2.8M-305.2M-866.7K0.375.87177,42464,894533,178354,564
2016-11-18$8.76$7.0063.0%18.2%78.0%27.7%64.1%0.4%-0.7%2.6M-328.1M-918.0K0.674.7264,87043,419579,017392,063
2016-11-21$8.92$7.0060.3%17.6%75.3%21.8%62.5%1.4%0.1%3.0M-311.6M-937.4K0.634.2062,21239,400540,284378,689
2016-11-22$8.65$7.5059.0%16.6%73.9%19.0%58.3%1.5%-1.3%2.6M-282.3M-962.7K0.244.1196,55723,337554,056398,950
2016-11-23$8.79$8.0058.3%16.3%73.3%17.6%57.6%1.3%-0.9%2.9M-283.9M-964.1K0.453.2626,67811,915550,504406,978
2016-11-25$8.77$8.0057.7%16.7%71.9%16.2%58.8%-0.3%-0.9%2.8M-290.0M-988.0K0.845.7814,18911,883568,692410,633
2016-11-28$8.82$8.0055.5%16.3%71.9%11.5%57.3%-1.6%-1.3%2.9M-283.4M-981.2K0.563.5725,59014,264547,737389,524
2016-11-29$8.90$8.0057.0%16.9%71.8%14.8%59.4%-0.3%-0.9%3.1M-293.0M-994.6K0.393.4856,89922,027554,588394,491
2016-11-30$8.97$8.0056.5%16.4%71.1%13.6%57.8%1.8%-0.9%3.1M-303.9M-1.0M0.623.3328,10817,349576,736405,656