ACMR Options History — June 2007

In June 2007, ACMR traded between $6.54 and $7.78. ATM implied volatility averaged 29.7%. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 0.0% (HV 20d: 29.7%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2007-06-04: Highest Volume — 531 contracts
  • 2007-06-14: Largest IV spike — 51.3% change
  • 2007-06-28: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.15$6.54$7.78$7.63$6.54
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV29.7%18.7%34.8%27.6%34.0%
Expected Move9.2%7.9%10.0%7.9%9.7%
HV 20d29.7%20.9%46.3%44.0%28.7%
HV 60d34.9%34.3%36.1%35.2%34.4%
Term Structure3.1%1.0%4.4%4.0%2.0%
VWIV29.4%27.6%31.1%27.6%31.1%
Skew 25d2.8%0.9%4.5%1.7%3.9%
Skew 10d5.0%2.7%7.1%3.6%6.3%
Call IV 25d32.6%32.0%34.0%32.2%32.9%
Put IV 25d35.4%33.9%36.8%33.9%36.8%
Bid-Ask Spread %30.1315.7045.5925.6518.36
Gamma HHI0.550.320.870.800.32
Net GEX45.4K13.0K103.9K62.3K13.0K
Net DEX-737.4K-1.8M-178.1K-1.4M-178.1K
Net VEX-6.9K-7.7K-6.0K-6.9K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.002.200.000.00
Total Volume138.85705312550
Total OI5,423.1433,9966,8795,8744,224

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$7.63$7.5027.6%7.9%44.0%0.0%27.6%1.7%4.0%62.3K-1.4M-6.9K0.0025.65N/AN/A25503,8042,070
2007-06-04$7.78$7.5029.3%9.5%44.0%0.0%0.0%0.9%1.4%65.4K-1.8M-6.7K0.1339.87N/AN/A471604,0592,070
2007-06-05$7.53$7.5029.3%9.5%46.3%0.0%0.0%2.1%2.0%79.2K-1.3M-7.3K0.0035.85N/AN/A49204,0892,130
2007-06-06$7.52$7.5029.4%9.1%20.9%0.0%0.0%1.5%4.4%86.1K-1.3M-7.6K0.0037.79N/AN/A13504,3772,130
2007-06-07$7.29$7.5026.5%9.1%23.2%0.0%0.0%2.2%4.4%80.5K-873.3K-7.7K1.3040.71N/AN/A69904,5122,130
2007-06-08$7.36$7.5025.6%9.1%23.2%0.0%0.0%2.7%4.3%103.9K-1.1M-7.7K0.0045.59N/AN/A30004,5392,070
2007-06-11$7.21$7.5018.7%9.1%24.2%0.0%0.0%3.0%3.4%52.8K-667.6K-7.2K0.3921.99N/AN/A3451354,8092,070
2007-06-12$7.06$7.5025.4%9.5%24.9%0.0%0.0%2.9%4.2%15.5K-473.3K-6.8K0.0026.40N/AN/A004,6712,115
2007-06-13$7.28$7.5020.3%9.0%27.3%0.0%0.0%2.0%3.4%80.8K-739.9K-7.0K0.0028.56N/AN/A004,6562,070
2007-06-14$7.27$7.5030.7%8.8%27.3%0.0%0.0%2.1%4.4%66.8K-691.7K-6.9K0.0029.11N/AN/A004,6562,070
2007-06-15$7.34$7.5031.7%9.1%27.6%0.0%0.0%2.3%3.2%89.3K-739.5K-6.8K2.2026.17N/AN/A30664,6562,070
2007-06-18$7.33$7.5031.1%8.9%26.8%0.0%31.1%1.7%1.7%17.9K-722.3K-6.7K0.4841.82N/AN/A63302,4841,512
2007-06-19$7.20$7.5029.9%8.6%27.3%0.0%0.0%2.9%4.1%18.5K-646.0K-6.7K0.0029.81N/AN/A18002,5471,542
2007-06-20$6.98$7.5032.0%9.2%29.2%0.0%0.0%3.1%3.1%19.0K-514.2K-6.8K0.0027.97N/AN/A3002,7271,542
2007-06-21$7.05$7.5032.9%9.4%29.6%0.0%0.0%3.4%3.0%20.5K-560.8K-6.8K0.0033.98N/AN/A002,7361,542
2007-06-22$6.86$7.5033.3%9.5%30.7%0.0%0.0%3.2%2.4%18.1K-443.3K-6.6K0.0033.28N/AN/A0302,7361,542
2007-06-25$6.86$7.5033.7%9.7%30.3%0.0%0.0%3.7%3.0%17.5K-402.5K-6.5K0.1339.87N/AN/A93122,7361,521
2007-06-26$6.74$7.5034.2%9.8%30.4%0.0%0.0%4.1%2.2%15.7K-322.0K-6.4K0.0018.43N/AN/A002,7091,515
2007-06-27$6.69$7.5033.4%9.6%29.7%0.0%0.0%4.5%2.7%14.8K-281.9K-6.3K0.0015.70N/AN/A3002,7091,515
2007-06-28$6.67$7.5034.8%10.0%28.7%0.0%0.0%4.4%1.0%14.9K-272.0K-6.2K0.0015.81N/AN/A002,7091,515
2007-06-29$6.54$7.5034.0%9.7%28.7%0.0%0.0%3.9%2.0%13.0K-178.1K-6.0K0.0018.36N/AN/A002,7091,515