ACMR Options History — September 2007

In September 2007, ACMR traded between $5.25 and $6.22. ATM implied volatility averaged 49.3%, placing in the 61.2% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 3.7% (HV 20d: 45.6%). Max pain ranged from $5.00 to $6.67. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.35.

Notable Days

  • 2007-09-11: Highest Volume — 360 contracts
  • 2007-09-13: Largest IV spike — 27.8% change
  • 2007-09-26: Highest IV Rank — 71.0%
  • 2007-09-26: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.76$5.25$6.22$6.08$5.25
Max Pain$5.83$5.00$6.67$6.67$5.00
ATM IV49.3%41.0%54.6%45.9%52.1%
Expected Move14.5%12.3%15.7%13.2%14.9%
HV 20d45.6%40.4%72.0%72.0%41.2%
HV 60d51.6%50.1%53.3%50.2%52.4%
IV Rank61.2%45.6%71.0%54.8%66.3%
IV Percentile90.7%74.1%96.2%89.9%92.5%
Term Structure-2.6%-5.7%3.6%1.8%-0.8%
VWIV52.2%51.0%53.3%52.5%52.0%
Skew 25d1.7%-2.9%6.1%-2.4%2.9%
Skew 10d2.0%-11.4%20.9%-11.4%20.9%
Call IV 25d41.6%32.4%47.0%44.6%46.1%
Put IV 25d43.3%34.2%50.1%42.2%49.1%
Bid-Ask Spread %28.1420.9536.8629.8628.39
Gamma HHI0.240.170.430.340.18
Net GEX415-4.0K13.9K8.1K-2.4K
Net DEX309.2K146.5K420.9K240.0K307.2K
Net VEX-4.6K-5.4K-3.8K-5.2K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.001.000.000.00
Total Volume56.84203600180
Total OI4,837.4212,8895,6525,3283,030

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$6.08$6.6745.9%13.2%72.0%54.8%0.0%-2.4%1.8%8.1K240.0K-5.2K0.0029.86N/AN/A003,3961,932
2007-09-05$6.10$6.6743.5%12.5%42.4%50.3%0.0%-2.5%3.5%8.3K244.9K-5.2K0.0028.80N/AN/A003,3961,932
2007-09-06$6.22$6.6743.0%12.3%40.4%49.4%0.0%-0.7%3.6%13.9K146.5K-5.4K0.0028.87N/AN/A003,3961,932
2007-09-07$5.85$0.0045.7%13.4%44.9%54.4%0.0%-1.6%-1.9%-357379.9K-4.7K0.0028.97N/AN/A6003,3961,932
2007-09-10$5.84$0.0049.3%14.3%43.8%61.0%0.0%-2.9%-4.7%-706382.8K-4.7K0.0025.25N/AN/A003,4561,932
2007-09-11$5.83$0.0041.1%15.4%43.6%45.8%0.0%0.1%-5.6%-4.0K384.0K-4.6K0.7121.10N/AN/A2101503,4561,932
2007-09-12$5.85$0.0041.0%15.1%43.5%45.6%52.5%2.7%-4.9%-65338.7K-4.9K0.0027.89N/AN/A033,6511,992
2007-09-13$5.81$5.8352.4%15.0%43.5%66.9%0.0%1.3%-4.1%-749354.4K-4.9K0.0026.19N/AN/A003,6511,995
2007-09-14$5.84$5.8353.0%15.2%42.4%68.1%0.0%2.7%-4.7%-1.1K326.1K-4.9K0.0024.44N/AN/A033,6511,944
2007-09-17$5.73$5.8353.3%15.3%42.1%68.5%0.0%2.4%-5.4%-1.2K373.8K-4.7K0.0025.12N/AN/A003,6511,941
2007-09-18$5.90$5.8351.5%14.8%43.7%65.2%0.0%3.8%-4.1%-832305.0K-4.8K0.0036.77N/AN/A6003,6511,941
2007-09-19$6.11$5.8351.5%14.8%45.7%65.3%0.0%3.5%-4.9%-1.4K173.8K-5.1K0.8036.86N/AN/A75603,7111,941
2007-09-20$5.80$5.8351.3%14.7%46.9%64.9%0.0%3.5%-5.7%-1343.1K-4.7K0.0031.47N/AN/A0303,7111,911
2007-09-21$5.73$5.8349.7%14.2%46.4%61.8%0.0%2.2%-4.5%-25420.9K-4.6K0.0035.08N/AN/A0303,7111,899
2007-09-24$5.46$5.8351.5%14.8%48.9%65.3%53.3%2.0%-1.7%-2.4K272.0K-4.1K0.4225.31N/AN/A78331,4341,455
2007-09-25$5.35$5.8353.9%15.4%47.8%69.7%51.0%4.0%-1.8%-2.5K303.4K-3.9K0.2020.95N/AN/A1531,4881,482
2007-09-26$5.39$5.0054.6%15.7%46.9%71.0%0.0%6.1%-2.2%-2.3K288.9K-4.0K1.0027.91N/AN/A30301,5031,479
2007-09-27$5.38$5.0053.2%15.2%41.0%68.3%0.0%4.4%-2.1%-2.5K288.7K-4.0K0.0025.46N/AN/A3001,5031,497
2007-09-28$5.25$5.0052.1%14.9%41.2%66.3%52.0%2.9%-0.8%-2.4K307.2K-3.8K0.0028.39N/AN/A18001,5331,497