ACMR Options History — January 2007

In January 2007, ACMR traded between $6.66 and $7.26. ATM implied volatility averaged 35.1%. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 6.2% (HV 20d: 28.9%). Max pain ranged from $5.83 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 3.23.

Notable Days

  • 2007-01-08: Highest Volume — 1,944 contracts
  • 2007-01-05: Largest IV spike — 16.7% change
  • 2007-01-10: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.88$6.66$7.26$7.26$6.74
Max Pain$6.17$5.83$7.50$5.83$5.83
ATM IV35.1%28.9%37.9%29.0%34.1%
Expected Move10.2%8.3%11.0%8.3%9.8%
HV 20d28.9%27.5%30.3%30.3%27.5%
Term Structure1.7%-0.0%6.1%6.1%0.6%
VWIV35.7%21.4%47.2%21.4%34.4%
Skew 25d2.8%-1.2%7.5%6.3%-0.1%
Skew 10d5.6%-3.2%12.3%9.6%8.3%
Call IV 25d31.5%24.1%36.1%27.4%33.7%
Put IV 25d34.3%22.9%38.1%33.7%33.6%
Bid-Ask Spread %21.0011.7032.4925.8514.54
Gamma HHI0.400.300.460.400.45
Net GEX24.6K16.4K39.6K38.9K18.7K
Net DEX-883.8K-1.5M-438.4K-1.5M-465.7K
Net VEX-5.1K-6.1K-4.4K-5.3K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.230.0040.000.000.00
Total Volume259.801,94430150
Total OI5,600.254,3446,8885,0675,010

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$7.26$5.8329.0%8.3%0.0%0.0%0.0%6.3%6.1%38.9K-1.5M-5.3K0.0025.85N/AN/A3003,9301,137
2007-01-04$7.12$5.8328.9%8.3%0.0%0.0%0.0%3.5%5.2%38.9K-1.4M-5.3K0.0032.49N/AN/A9303,9361,137
2007-01-05$6.79$7.5033.8%10.7%0.0%0.0%0.0%5.0%1.2%39.6K-1.1M-4.8K0.0022.32N/AN/A3303,9361,137
2007-01-08$6.73$7.5036.4%11.0%0.0%0.0%21.4%4.6%2.2%39.0K-999.5K-4.7K13.4019.79N/AN/A1351,8093,9151,137
2007-01-09$6.66$7.5035.9%10.7%0.0%0.0%0.0%2.0%3.4%18.7K-604.4K-6.0K0.9129.14N/AN/A33303,9842,736
2007-01-10$6.72$7.5035.2%11.0%0.0%0.0%47.2%4.5%1.2%20.1K-708.0K-5.9K0.0024.00N/AN/A22203,9812,691
2007-01-11$6.87$5.8337.9%10.9%0.0%0.0%40.7%7.5%1.4%23.4K-1.1M-6.1K0.0032.19N/AN/A18604,1972,691
2007-01-12$6.99$5.8337.8%10.8%0.0%0.0%0.0%-1.2%1.4%22.5K-1.2M-6.0K0.0017.49N/AN/A004,1732,676
2007-01-16$6.87$5.8336.7%10.5%0.0%0.0%0.0%1.4%0.6%24.7K-1.1M-5.7K40.0019.29N/AN/A187204,1732,676
2007-01-17$6.86$5.8336.9%10.6%0.0%0.0%0.0%2.6%-0.0%30.9K-1.2M-5.1K0.0024.99N/AN/A1204,1582,199
2007-01-18$6.94$5.8336.7%10.5%0.0%0.0%0.0%3.0%0.7%22.8K-1.3M-5.0K0.0020.69N/AN/A36004,1582,199
2007-01-19$6.99$5.8337.1%10.6%0.0%0.0%0.0%3.3%1.5%21.6K-1.3M-5.0K0.0019.86N/AN/A1804,1582,199
2007-01-22$7.06$5.8336.4%10.4%0.0%0.0%34.9%4.2%1.3%18.8K-635.7K-4.5K0.0018.90N/AN/A12302,6341,710
2007-01-23$6.97$5.8335.9%10.3%0.0%0.0%0.0%3.3%0.8%17.9K-549.5K-4.4K0.5023.81N/AN/A4232102,6911,710
2007-01-24$6.95$5.8335.6%10.2%0.0%0.0%0.0%3.2%1.1%21.5K-600.8K-4.8K0.0021.63N/AN/A18003,0001,815
2007-01-25$6.74$5.8334.4%9.9%30.3%0.0%0.0%1.7%2.4%16.4K-438.4K-4.9K0.0012.47N/AN/A3603,1801,815
2007-01-26$6.74$5.8334.4%9.9%29.4%0.0%34.4%-0.4%2.4%17.0K-457.0K-4.9K0.0811.70N/AN/A195153,2071,815
2007-01-29$6.81$5.8334.9%10.0%29.1%0.0%0.0%0.5%0.3%19.6K-532.5K-4.9K0.0014.06N/AN/A01653,2641,830
2007-01-30$6.80$5.8334.8%10.0%28.2%0.0%0.0%0.6%0.7%20.5K-523.2K-4.7K0.0014.90N/AN/A003,2641,746
2007-01-31$6.74$5.8334.1%9.8%27.5%0.0%0.0%-0.1%0.6%18.7K-465.7K-4.5K0.0014.54N/AN/A15003,2641,746