ACMR Options History — October 2007

In October 2007, ACMR traded between $5.13 and $5.68. ATM implied volatility averaged 52.7%, placing in the 67.4% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 12.0% (HV 20d: 40.6%). Max pain ranged from $5.00 to $6.67. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.86.

Notable Days

  • 2007-10-15: Highest Volume — 726 contracts
  • 2007-10-25: Largest IV spike — 42.4% change
  • 2007-10-25: Highest IV Rank — 85.8%
  • 2007-10-25: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.38$5.13$5.68$5.49$5.57
Max Pain$5.51$5.00$6.67$5.00$5.83
ATM IV52.7%43.9%62.6%51.6%55.2%
Expected Move15.2%12.6%17.9%14.8%15.8%
HV 20d40.6%34.4%44.9%44.2%42.9%
HV 60d53.2%43.1%54.5%53.3%43.1%
IV Rank67.4%51.1%85.8%65.5%72.2%
IV Percentile90.5%73.0%99.0%92.0%94.3%
Term Structure-1.4%-5.6%11.2%-2.1%-5.1%
VWIV49.5%43.1%56.8%48.7%44.5%
Skew 25d6.4%2.0%16.0%5.2%6.1%
Skew 10d16.3%4.3%30.6%7.1%19.4%
Call IV 25d46.2%39.0%52.6%44.5%48.4%
Put IV 25d52.6%49.4%56.5%49.7%54.5%
Bid-Ask Spread %41.5119.9295.4730.2395.47
Gamma HHI0.200.160.470.210.20
Net GEX-672-7.2K1.8K-312799
Net DEX199.3K105.3K305.4K186.9K144.0K
Net VEX-3.9K-4.3K-3.4K-4.2K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.004.000.000.89
Total Volume97.174072630255
Total OI3,432.7833,1924,1043,1923,471

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$5.49$5.0051.6%14.8%44.2%65.5%0.0%5.2%-2.1%-312186.9K-4.2K0.0030.23N/AN/A3001,7131,479
2007-10-02$5.31$5.0053.6%15.4%44.9%69.2%0.0%4.3%-1.4%101213.0K-4.0K0.0030.79N/AN/A001,7431,479
2007-10-03$5.32$5.0054.6%15.6%44.9%71.0%0.0%2.0%-1.9%97216.0K-4.0K1.0035.58N/AN/A30301,7431,479
2007-10-04$5.33$5.0051.2%14.7%43.9%64.6%0.0%5.2%2.4%47210.7K-4.1K0.0037.26N/AN/A001,7731,509
2007-10-05$5.49$6.6748.0%14.5%40.8%58.7%0.0%8.4%-3.9%-307178.1K-4.3K1.0027.94N/AN/A30301,7731,509
2007-10-08$5.55$6.6751.3%14.4%41.1%64.9%0.0%5.9%-4.1%-749170.6K-4.2K0.0029.51N/AN/A001,7431,503
2007-10-09$5.57$6.6747.1%13.9%41.2%57.0%48.7%5.3%-2.6%-713173.1K-4.2K0.0029.37N/AN/A3001,7431,503
2007-10-10$5.53$5.8346.8%13.9%41.1%56.4%0.0%5.1%-0.8%-253166.0K-4.2K0.0034.82N/AN/A001,7731,503
2007-10-11$5.38$5.8356.9%16.3%42.1%75.3%0.0%7.1%-3.4%232184.3K-4.1K0.1039.68N/AN/A6061,7731,503
2007-10-12$5.27$5.8352.1%14.9%42.4%66.3%0.0%5.7%-0.7%975227.7K-3.9K0.0020.37N/AN/A6001,8331,503
2007-10-15$5.18$5.8355.3%15.9%42.2%72.4%0.0%3.1%-2.0%1.8K243.7K-3.8K1.9519.92N/AN/A2464801,8931,503
2007-10-16$5.32$5.8354.3%15.6%41.9%70.3%0.0%6.2%-1.5%-2.3K105.3K-4.0K0.1223.36N/AN/A102122,0671,983
2007-10-17$5.29$5.8354.9%15.7%39.1%71.5%54.9%5.7%-1.2%-2.1K116.6K-3.9K0.8322.82N/AN/A18152,1001,971
2007-10-18$5.29$5.0053.9%15.5%35.4%69.7%0.0%7.9%-1.2%-1.3K108.2K-3.8K0.0023.92N/AN/A002,1181,986
2007-10-19$5.13$5.0057.0%16.4%36.5%75.5%56.8%10.2%-2.3%-7.2K181.1K-3.5K0.0052.42N/AN/A0302,1181,986
2007-10-22$5.27$5.0054.0%15.5%34.4%69.8%47.6%16.0%1.1%-1.5K305.4K-3.6K0.0035.84N/AN/A061,8091,518
2007-10-23$5.44$5.0044.2%12.7%35.7%51.7%43.1%8.6%2.4%-1.3K252.5K-4.0K2.0036.73N/AN/A24481,8091,524
2007-10-24$5.41$5.0043.9%12.6%35.7%51.1%43.6%9.3%11.2%-1.1K254.1K-3.9K0.0060.74N/AN/A11101,8031,482
2007-10-25$5.15$5.0062.6%17.9%39.9%85.8%0.0%3.8%-5.6%-408289.7K-3.5K0.0060.37N/AN/A0211,8241,473
2007-10-26$5.39$5.0056.5%16.2%42.6%74.5%56.5%2.8%-4.4%-475260.2K-3.6K4.0071.85N/AN/A361441,8241,473
2007-10-29$5.39$5.0055.1%15.8%39.6%71.9%44.5%5.9%-4.3%-799275.9K-3.4K0.1246.86N/AN/A300361,7881,410
2007-10-30$5.68$5.8351.1%14.6%42.1%64.4%0.0%6.8%-1.0%1.4K119.9K-4.2K0.0088.94N/AN/A0452,0131,428
2007-10-31$5.57$5.8355.2%15.8%42.9%72.2%0.0%6.1%-5.1%799144.0K-4.2K0.8995.47N/AN/A1351202,0131,458