ACMR Options History — March 2007

In March 2007, ACMR traded between $6.50 and $7.43. ATM implied volatility averaged 26.7%. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 5.0% (HV 20d: 31.6%). Max pain ranged from $5.83 to $6.67. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 15.31.

Notable Days

  • 2007-03-05: Highest Volume — 660 contracts
  • 2007-03-15: Largest IV spike — 100.9% change
  • 2007-03-15: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.93$6.50$7.43$6.57$7.11
Max Pain$6.40$5.83$6.67$6.67$6.67
ATM IV26.7%16.5%33.1%27.9%30.9%
Expected Move8.9%7.3%9.5%8.0%8.9%
HV 20d31.6%27.7%37.4%30.4%32.3%
HV 60d29.5%27.2%30.3%27.2%30.0%
Term Structure3.2%1.3%7.5%5.0%1.9%
VWIV29.3%25.5%32.5%27.8%31.7%
Skew 25d1.2%-2.0%2.2%-1.2%1.7%
Skew 10d2.6%-3.1%4.3%-1.1%4.0%
Call IV 25d30.7%22.3%34.5%26.3%33.9%
Put IV 25d31.9%23.4%35.9%25.2%35.5%
Bid-Ask Spread %29.4913.6539.1913.6531.46
Gamma HHI0.550.390.700.390.60
Net GEX9.5K-30.3K33.0K-26.6K32.4K
Net DEX-427.7K-910.9K284.0K157.0K-548.9K
Net VEX-3.3K-3.8K-2.9K-3.8K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.310.00191.002.000.17
Total Volume137.72706602730
Total OI4,590.5452,2836,4866,3032,631

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$6.57$6.6727.9%8.0%30.4%0.0%27.8%-1.2%5.0%-26.6K157.0K-3.8K2.0013.65N/AN/A9183,5042,799
2007-03-02$6.51$6.6725.6%7.3%27.9%0.0%25.5%-2.0%7.5%-30.3K284.0K-3.8K0.0017.60N/AN/A01503,5132,817
2007-03-05$6.50$5.8321.4%9.5%27.7%0.0%0.0%2.0%1.5%-30.3K279.5K-3.3K2.6736.26N/AN/A1804803,5132,817
2007-03-06$6.56$5.8322.9%9.5%27.9%0.0%0.0%-0.1%1.6%-11.7K71.2K-3.4K0.0037.29N/AN/A003,6632,637
2007-03-07$6.64$5.8321.6%9.5%28.2%0.0%0.0%1.3%1.9%-15.0K-59.2K-3.4K0.0032.99N/AN/A003,6632,637
2007-03-08$6.63$5.8321.7%9.3%28.1%0.0%0.0%1.4%1.6%-16.5K-32.9K-3.3K0.0039.19N/AN/A003,6632,637
2007-03-09$6.69$5.8319.9%9.4%28.3%0.0%0.0%1.7%1.4%-21.0K-191.3K-3.4K0.0038.75N/AN/A0213,6632,637
2007-03-12$6.88$5.8318.7%9.3%30.0%0.0%0.0%2.2%1.6%1.6K-732.7K-2.9K0.0024.42N/AN/A10503,6632,637
2007-03-13$7.08$5.8325.4%9.4%31.5%0.0%32.5%1.4%1.3%16.6K-901.9K-2.9K0.6720.74N/AN/A3602403,6932,634
2007-03-14$6.81$6.6716.5%9.3%34.8%0.0%0.0%1.5%2.5%-445-702.4K-3.0K1.4325.17N/AN/A63903,9032,583
2007-03-15$6.95$6.6733.1%9.5%34.5%0.0%0.0%1.4%1.7%21.4K-910.9K-3.1K191.0023.89N/AN/A35733,9422,541
2007-03-16$6.83$6.6732.7%9.4%35.2%0.0%0.0%2.0%2.3%20.3K-836.0K-3.0K0.0025.18N/AN/A7803,9452,268
2007-03-19$6.89$6.6732.2%9.2%35.0%0.0%0.0%2.1%4.2%22.3K-380.3K-2.9K0.0030.06N/AN/A15001,842441
2007-03-20$7.00$6.6732.9%9.4%34.9%0.0%30.6%1.6%3.0%25.5K-468.1K-3.1K0.0025.13N/AN/A6901,917441
2007-03-21$7.28$6.6727.6%7.9%37.4%0.0%27.6%1.2%6.0%29.8K-636.9K-3.3K0.9126.30N/AN/A69631,947441
2007-03-22$7.38$6.6728.9%8.3%37.3%0.0%0.0%1.1%4.3%31.5K-706.9K-3.5K0.0031.19N/AN/A7802,013504
2007-03-23$7.43$6.6728.6%8.2%30.0%0.0%0.0%1.0%4.6%32.4K-742.0K-3.5K0.2031.19N/AN/A4592,031504
2007-03-26$7.27$6.6727.9%8.0%30.5%0.0%0.0%1.3%5.3%32.9K-641.9K-3.4K0.0034.71N/AN/A002,073504
2007-03-27$7.26$6.6728.9%8.3%29.2%0.0%0.0%1.4%4.6%33.0K-636.6K-3.4K0.0038.70N/AN/A002,073504
2007-03-28$7.03$6.6730.4%8.7%32.1%0.0%0.0%1.7%5.9%29.8K-490.2K-3.2K0.0036.79N/AN/A002,073504
2007-03-29$7.16$6.6731.4%9.0%32.5%0.0%31.7%1.6%2.0%31.3K-581.0K-3.3K0.1728.19N/AN/A126212,073504
2007-03-30$7.11$6.6730.9%8.9%32.3%0.0%0.0%1.7%1.9%32.4K-548.9K-3.3K0.0031.46N/AN/A0302,121510