ACMR Options History — August 2007

In August 2007, ACMR traded between $5.37 and $6.55. ATM implied volatility averaged 43.4%, placing in the 52.4% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 22.6% (HV 20d: 66.1%). Max pain ranged from $6.67 to $6.67. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.38.

Notable Days

  • 2007-08-07: Highest Volume — 630 contracts
  • 2007-08-16: Largest IV spike — 76.3% change
  • 2007-08-01: Highest IV Rank — 100.0%
  • 2007-08-03: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.08$5.37$6.55$5.77$6.23
Max Pain$6.67$6.67$6.67$6.67$6.67
ATM IV43.4%25.0%70.2%57.4%41.0%
Expected Move13.1%10.8%19.4%16.5%11.7%
HV 20d66.1%33.5%74.4%34.2%72.6%
HV 60d45.3%29.3%50.2%38.3%50.1%
IV Rank52.4%15.8%100.0%100.0%45.6%
IV Percentile71.9%5.9%100.0%100.0%76.6%
Term Structure-1.7%-21.9%5.7%-11.7%5.7%
VWIV43.6%23.5%66.2%43.0%44.4%
Skew 25d1.6%-17.6%15.4%2.0%-0.7%
Skew 10d2.2%-29.1%33.5%3.1%-0.3%
Call IV 25d40.9%31.5%56.3%39.2%40.7%
Put IV 25d42.5%33.0%66.0%41.2%40.0%
Bid-Ask Spread %40.1722.6779.0331.2724.65
Gamma HHI0.320.230.420.290.42
Net GEX10.9K-89919.5K3.5K14.2K
Net DEX124.1K-260.1K557.9K403.7K101.9K
Net VEX-5.7K-6.5K-3.9K-4.5K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.002.200.000.11
Total Volume106.5650630618
Total OI5,557.3045,1546,2375,2505,319

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$5.77$6.6757.4%16.5%34.2%100.0%0.0%2.0%-11.7%3.5K403.7K-4.5K0.0031.27N/AN/A603,3331,917
2007-08-02$5.79$6.6755.7%16.0%33.5%95.8%43.0%-17.6%-13.3%4.6K368.6K-4.7K1.2131.05N/AN/A2102553,3391,917
2007-08-03$5.56$6.6767.7%19.4%35.6%100.0%66.2%15.4%-21.9%1.1K484.6K-4.4K2.2049.80N/AN/A30663,4982,004
2007-08-06$5.37$6.6770.2%13.5%35.3%100.0%37.0%9.0%-7.8%-899557.9K-3.9K0.0267.69N/AN/A32763,4982,034
2007-08-07$6.31$6.6748.1%10.8%70.6%59.0%39.2%3.4%1.0%16.7K-35.9K-6.4K0.1154.46N/AN/A567633,7351,995
2007-08-08$6.06$6.6725.9%11.3%71.5%17.6%0.0%-0.1%0.4%8.4K170.7K-5.8K0.0455.09N/AN/A14763,7982,010
2007-08-09$5.87$6.6738.2%11.4%72.0%40.5%0.0%2.8%0.1%5.3K323.5K-5.4K0.0047.45N/AN/A603,8642,010
2007-08-10$6.02$6.6725.0%11.5%72.9%15.8%0.0%-4.4%-1.0%6.6K241.9K-5.5K0.0046.52N/AN/A1203,8701,965
2007-08-13$6.09$6.6728.7%13.6%72.8%22.7%53.5%-12.4%-1.8%9.4K35.8K-6.1K0.0859.08N/AN/A393333,8581,965
2007-08-14$6.03$6.6729.3%13.6%72.7%23.9%0.0%4.9%-3.2%13.2K65.7K-6.1K0.0051.88N/AN/A004,2151,986
2007-08-15$5.99$6.6729.6%13.2%72.6%24.5%45.1%3.1%-1.0%13.2K111.2K-5.9K0.1838.25N/AN/A66124,2151,986
2007-08-16$6.14$6.6752.2%15.0%73.4%66.6%0.0%-1.6%-8.0%12.8K7.8K-6.2K0.0079.03N/AN/A064,2451,992
2007-08-17$6.26$6.6742.7%12.2%73.6%48.8%0.0%4.3%1.3%14.7K-34.2K-6.2K0.0043.55N/AN/A004,2451,986
2007-08-20$6.29$6.6742.8%12.3%73.7%49.0%42.4%4.3%0.3%15.3K-54.8K-6.2K0.0024.35N/AN/A033,3121,842
2007-08-21$6.32$6.6744.7%12.8%73.3%52.5%0.0%6.0%0.4%15.5K-86.5K-6.2K1.0023.26N/AN/A663,3121,845
2007-08-22$6.55$6.6743.6%12.5%74.2%50.5%23.5%13.3%2.1%19.5K-260.1K-6.5K0.0046.42N/AN/A2703,3181,839
2007-08-23$6.39$6.6741.9%12.0%70.9%47.4%42.1%11.2%2.7%17.5K-131.5K-6.3K0.1122.67N/AN/A5463,3421,839
2007-08-24$6.35$6.6740.5%11.6%70.7%44.8%0.0%9.7%3.4%17.7K-88.9K-6.2K0.0025.28N/AN/A003,3961,845
2007-08-27$6.11$6.6744.6%12.8%71.9%52.3%0.0%-4.1%1.9%11.9K144.2K-5.6K0.0024.41N/AN/A003,3961,845
2007-08-28$5.91$6.6744.3%12.7%73.0%51.8%44.4%-9.8%3.0%5.7K294.5K-5.0K0.0025.89N/AN/A01203,3961,845
2007-08-29$6.25$6.6742.1%12.1%73.9%47.6%0.0%0.8%4.3%14.8K62.0K-5.8K0.0024.87N/AN/A003,3961,932
2007-08-30$6.12$6.6743.1%12.3%74.4%49.5%0.0%-2.7%2.9%10.6K172.4K-5.5K0.0027.01N/AN/A003,3961,923
2007-08-31$6.23$6.6741.0%11.7%72.6%45.6%0.0%-0.7%5.7%14.2K101.9K-5.7K0.0024.65N/AN/A0183,3961,923