ACMR Options History — May 2007

In May 2007, ACMR traded between $6.65 and $7.64. ATM implied volatility averaged 35.2%. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 7.3% (HV 20d: 42.6%). Max pain ranged from $6.67 to $7.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.77.

Notable Days

  • 2007-05-07: Highest Volume — 2,553 contracts
  • 2007-05-08: Largest IV drop — 42.0% change
  • 2007-05-03: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.31$6.65$7.64$6.89$7.58
Max Pain$6.86$6.67$7.50$7.50$7.50
ATM IV35.2%28.8%49.7%45.5%31.0%
Expected Move10.1%8.4%13.5%13.0%8.9%
HV 20d42.6%22.7%49.2%24.1%44.0%
HV 60d34.7%28.3%37.7%28.3%35.3%
Term Structure-0.8%-7.7%3.3%-5.9%1.1%
VWIV34.9%28.8%48.0%48.0%30.8%
Skew 25d1.3%-0.4%2.7%1.8%1.9%
Skew 10d2.7%-4.2%5.0%2.8%4.8%
Call IV 25d32.1%31.1%32.9%32.1%32.5%
Put IV 25d33.4%31.9%34.5%33.9%34.5%
Bid-Ask Spread %27.0711.6049.7027.3818.73
Gamma HHI0.640.480.810.640.76
Net GEX30.4K-29.9K61.2K14.7K61.2K
Net DEX-536.3K-1.6M1.1M737.1K-1.3M
Net VEX-7.2K-9.8K-4.7K-5.6K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.003.003.001.67
Total Volume315.27302,5530120
Total OI7,255.0915,0139,3186,7895,784

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$6.89$7.5045.5%13.0%24.1%0.0%0.0%1.8%-5.9%14.7K737.1K-5.6K0.0027.38N/AN/A003,8312,958
2007-05-02$6.65$7.5045.0%12.9%25.5%0.0%0.0%1.8%-6.7%12.5K1.1M-4.7K3.0011.60N/AN/A393,8312,958
2007-05-03$6.69$7.5047.0%13.5%25.1%0.0%48.0%2.7%-6.9%12.9K1.0M-4.7K0.0822.16N/AN/A477363,8282,958
2007-05-04$6.66$6.6746.4%11.7%23.7%0.0%41.8%2.2%-5.9%18.9K994.6K-4.8K1.3322.75N/AN/A18244,1942,994
2007-05-07$6.69$6.6749.7%13.1%22.7%0.0%44.7%2.0%-7.7%19.1K963.7K-4.8K0.4724.15N/AN/A1,7348194,2092,994
2007-05-08$7.51$6.6728.8%9.7%48.8%0.0%35.6%0.4%0.7%33.8K-1.4M-9.8K0.1824.11N/AN/A1,3082375,5143,804
2007-05-09$7.58$6.6729.3%9.6%48.4%0.0%32.9%-0.1%1.5%30.6K-1.6M-9.4K0.1732.90N/AN/A360605,2743,918
2007-05-10$7.48$6.6733.6%9.6%48.6%0.0%0.0%0.2%0.8%21.9K-1.1M-9.2K0.9539.84N/AN/A63605,1093,918
2007-05-11$7.49$6.6732.3%9.3%48.6%0.0%0.0%0.3%1.5%25.1K-1.1M-9.0K0.0037.85N/AN/A0605,0943,858
2007-05-14$7.39$6.6732.8%9.4%48.8%0.0%0.0%-0.4%1.2%23.0K-672.5K-8.5K0.0049.70N/AN/A4505,1003,831
2007-05-15$7.33$6.6734.5%9.9%48.8%0.0%0.0%0.8%-1.2%24.9K-314.3K-8.3K0.0041.43N/AN/A0605,1453,831
2007-05-16$7.33$6.6735.0%10.0%48.7%0.0%35.0%1.2%-0.7%23.4K-250.6K-8.1K0.0839.09N/AN/A3635,1453,861
2007-05-17$7.34$6.6734.2%9.8%48.7%0.0%34.5%1.3%-0.3%22.1K-148.9K-7.7K2.0035.48N/AN/A15305,1153,864
2007-05-18$7.46$6.6734.1%9.8%49.1%0.0%34.1%0.9%0.3%-29.9K-313.3K-7.5K0.6343.14N/AN/A105665,1153,864
2007-05-21$7.52$6.6733.3%9.5%49.2%0.0%33.3%0.7%-1.6%41.0K-1.1M-7.0K0.1132.24N/AN/A270303,2401,773
2007-05-22$7.52$6.6731.2%9.0%49.1%0.0%31.2%2.1%1.5%44.5K-1.1M-7.0K0.6013.34N/AN/A3001803,2851,788
2007-05-23$7.49$6.6729.3%8.4%49.0%0.0%0.0%1.6%3.3%52.1K-1.1M-7.2K0.0012.83N/AN/A3003,5641,926
2007-05-24$7.52$6.6730.3%8.7%48.0%0.0%31.0%1.4%2.0%52.8K-1.2M-7.2K1.7815.57N/AN/A27483,5941,926
2007-05-25$7.60$6.6732.0%9.2%45.7%0.0%32.0%2.0%-0.6%52.0K-1.3M-7.2K0.0013.73N/AN/A0303,5821,938
2007-05-29$7.64$6.6730.1%8.6%45.2%0.0%30.1%1.4%2.7%56.9K-1.4M-6.9K0.0017.62N/AN/A0633,5821,938
2007-05-30$7.47$7.5029.6%8.5%46.4%0.0%28.8%1.8%3.1%56.4K-1.1M-7.0K0.0019.91N/AN/A21003,5821,995
2007-05-31$7.58$7.5031.0%8.9%44.0%0.0%30.8%1.9%1.1%61.2K-1.3M-7.1K1.6718.73N/AN/A45753,7891,995