ACMR Options History — February 2007

In February 2007, ACMR traded between $6.44 and $7.01. ATM implied volatility averaged 33.7%. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 9.2% (HV 20d: 24.6%). Max pain ranged from $5.83 to $6.67. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 3.95.

Notable Days

  • 2007-02-23: Highest Volume — 2,775 contracts
  • 2007-02-23: Largest IV drop — 23.4% change
  • 2007-02-22: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.74$6.44$7.01$6.96$6.53
Max Pain$6.62$5.83$6.67$5.83$6.67
ATM IV33.7%27.0%42.0%32.9%27.0%
Expected Move9.8%7.8%12.0%9.4%7.8%
HV 20d24.6%20.5%30.4%29.6%30.4%
Term Structure0.8%-4.7%5.7%2.9%5.7%
VWIV38.4%29.2%49.9%49.9%29.2%
Skew 25d0.7%-7.4%10.6%1.7%-2.5%
Skew 10d3.9%-11.6%22.1%2.2%-2.8%
Call IV 25d34.0%26.1%39.8%33.4%26.1%
Put IV 25d34.7%23.6%50.4%35.0%23.6%
Bid-Ask Spread %23.9611.9350.4220.4112.95
Gamma HHI0.420.330.500.490.38
Net GEX9.1K-27.2K27.6K25.8K-27.2K
Net DEX-272.2K-707.7K335.9K-652.6K305.6K
Net VEX-4.1K-4.7K-3.5K-4.7K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.950.0014.000.0012.50
Total Volume266.36802,775081
Total OI5,231.3684,7106,4084,9806,408

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-02-01$6.96$5.8332.9%9.4%29.6%0.0%0.0%1.7%2.9%25.8K-652.6K-4.7K0.0020.41N/AN/A003,2341,746
2007-02-02$7.01$6.6732.1%10.1%29.1%0.0%0.0%-2.2%-0.1%27.6K-707.7K-4.7K0.0022.08N/AN/A003,2341,746
2007-02-05$6.96$6.6731.8%10.2%23.4%0.0%0.0%-4.0%-0.6%25.1K-556.9K-4.6K0.0011.93N/AN/A003,2341,746
2007-02-06$6.87$6.6733.4%10.1%23.7%0.0%49.9%-7.4%0.2%21.6K-464.3K-4.5K0.0014.40N/AN/A303,2341,746
2007-02-07$6.83$6.6732.0%10.0%23.4%0.0%33.7%-6.2%0.9%19.4K-424.7K-4.3K0.0014.96N/AN/A4503,2341,746
2007-02-08$6.78$6.6734.3%9.8%23.3%0.0%0.0%2.3%1.1%19.1K-470.3K-4.2K0.0025.95N/AN/A003,2491,731
2007-02-09$6.73$6.6734.4%9.9%22.1%0.0%0.0%1.4%1.0%17.0K-426.7K-4.1K0.0024.19N/AN/A003,2491,731
2007-02-12$6.78$6.6734.9%10.0%21.2%0.0%34.5%4.2%0.6%17.9K-443.6K-4.0K0.0027.51N/AN/A15003,2491,731
2007-02-13$6.72$6.6734.5%9.9%20.5%0.0%0.0%1.8%0.9%15.9K-401.4K-3.9K0.0027.21N/AN/A003,2491,731
2007-02-14$6.58$6.6733.9%9.7%21.7%0.0%0.0%0.6%0.9%9.8K-265.2K-3.6K0.0028.97N/AN/A003,2491,731
2007-02-15$6.58$6.6734.4%9.9%21.1%0.0%0.0%0.6%0.6%9.3K-263.8K-3.6K0.0028.92N/AN/A003,2491,731
2007-02-16$6.67$6.6737.2%10.7%21.6%0.0%37.5%-0.5%-1.9%13.9K-355.4K-3.7K2.0021.39N/AN/A30603,2491,731
2007-02-20$6.79$6.6736.8%10.5%22.4%0.0%37.7%9.0%-0.3%13.9K-246.7K-3.5K7.1930.53N/AN/A483452,9341,776
2007-02-21$6.86$6.6738.5%11.0%22.4%0.0%44.3%4.7%-1.7%13.5K-302.6K-4.0K1.2025.36N/AN/A1381652,9492,031
2007-02-22$6.81$6.6742.0%12.0%22.6%0.0%44.1%10.6%-4.7%12.6K-282.5K-4.2K14.0019.06N/AN/A608403,0542,136
2007-02-23$6.44$6.6732.2%9.2%27.8%0.0%34.7%-0.6%2.5%-21.2K329.2K-3.7K2.2836.73N/AN/A8461,9293,0542,673
2007-02-26$6.63$6.6728.9%8.3%29.9%0.0%29.2%1.7%4.2%-17.2K121.0K-3.9K0.3412.18N/AN/A240813,3782,835
2007-02-27$6.50$6.6729.9%8.6%30.3%0.0%0.0%-1.9%3.7%-23.0K335.9K-4.0K0.0050.42N/AN/A003,4982,910
2007-02-28$6.53$6.6727.0%7.8%30.4%0.0%0.0%-2.5%5.7%-27.2K305.6K-3.8K12.5012.95N/AN/A6753,4982,910