ACMR Options History — November 2007

In November 2007, ACMR traded between $5.14 and $5.65. ATM implied volatility averaged 51.3%, placing in the 64.9% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded below realized volatility by 4.2% (HV 20d: 55.5%). Max pain ranged from $5.83 to $6.67. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2007-11-02: Highest Volume — 3,630 contracts
  • 2007-11-20: Largest IV spike — 50.0% change
  • 2007-11-05: Highest IV Rank — 97.9%
  • 2007-11-01: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.36$5.14$5.65$5.30$5.29
Max Pain$6.03$5.83$6.67$5.83$5.83
ATM IV51.3%33.5%69.0%65.0%49.4%
Expected Move14.3%9.6%18.6%18.6%14.2%
HV 20d55.5%45.5%62.5%46.8%58.4%
HV 60d46.7%42.8%49.8%43.5%49.6%
IV Rank64.9%31.8%97.9%90.3%61.3%
IV Percentile78.0%32.0%99.5%99.0%78.3%
Term Structure-1.0%-9.0%16.2%-9.0%-6.8%
VWIV51.4%37.6%65.6%65.6%37.6%
Skew 25d4.4%-8.6%11.0%9.6%9.3%
Skew 10d10.1%-7.4%21.8%20.0%9.0%
Call IV 25d44.6%31.7%52.8%45.2%40.7%
Put IV 25d49.0%29.0%57.0%54.8%50.0%
Bid-Ask Spread %81.3739.42106.0978.7686.35
Gamma HHI0.210.150.350.180.17
Net GEX1.2K-5885.5K-345-160
Net DEX-850-317.5K308.5K259.3K36.2K
Net VEX-11.0K-12.3K-4.0K-4.3K-11.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.001.501.350.67
Total Volume274.42903,63014175
Total OI6,478.1433,6217,0503,6666,825

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$5.30$5.8365.0%18.6%46.8%90.3%65.6%9.6%-9.0%-345259.3K-4.3K1.3578.76N/AN/A60812,0881,578
2007-11-02$5.20$5.8363.5%18.2%45.8%87.7%63.6%7.4%-7.8%-588308.5K-4.0K0.8662.68N/AN/A1,9501,6802,0731,548
2007-11-05$5.15$6.6769.0%16.2%45.5%97.9%0.0%3.7%-4.4%376193.9K-11.4K0.2946.89N/AN/A105303,7923,186
2007-11-06$5.45$6.6767.9%14.5%50.2%95.8%50.5%8.5%-2.1%59454.8K-12.2K1.1339.42N/AN/A45513,7923,186
2007-11-07$5.21$6.6766.9%16.1%52.6%93.9%0.0%4.5%-6.5%692185.1K-11.4K0.0079.65N/AN/A003,8223,168
2007-11-08$5.32$6.6747.5%15.6%52.3%57.8%0.0%10.9%-6.9%387114.7K-11.7K0.0086.97N/AN/A6003,8223,168
2007-11-09$5.27$6.6749.0%16.4%51.9%60.6%0.0%11.0%-7.3%54486.2K-11.8K0.0088.30N/AN/A0603,8823,168
2007-11-12$5.43$5.8351.6%14.4%52.6%65.3%0.0%9.6%-3.3%2.5K-139.6K-11.9K0.3384.42N/AN/A90303,8822,913
2007-11-13$5.65$5.8353.4%14.8%53.6%68.8%0.0%4.7%-2.6%5.5K-317.5K-12.3K0.0080.38N/AN/A3003,8522,763
2007-11-14$5.60$5.8353.9%15.0%53.7%69.7%0.0%-8.6%-4.1%5.5K-238.6K-12.3K1.5074.63N/AN/A60903,8552,763
2007-11-15$5.25$5.8355.1%15.8%58.8%71.8%0.0%3.3%-6.3%2.0K81.2K-11.2K0.0073.28N/AN/A0603,8252,823
2007-11-16$5.48$5.8340.2%11.5%59.6%44.2%0.0%2.0%6.7%909-179.0K-11.9K0.0086.61N/AN/A16503,8252,877
2007-11-19$5.44$5.8337.9%10.9%59.2%39.8%0.0%2.5%9.6%834-48.5K-11.9K0.2589.94N/AN/A120303,7592,847
2007-11-20$5.29$5.8356.8%16.3%58.8%75.0%0.0%8.3%-1.2%1.3K-35.5K-11.6K0.8884.91N/AN/A1201053,7742,817
2007-11-21$5.60$5.8342.9%12.3%62.5%49.2%39.6%-4.5%5.2%2.8K-141.1K-12.2K1.0093.48N/AN/A15153,8342,862
2007-11-23$5.45$5.8337.6%10.8%60.5%39.4%37.6%-8.3%9.4%1.5K-164.2K-11.9K0.6096.64N/AN/A60363,8342,850
2007-11-26$5.21$5.8349.1%14.1%60.4%60.7%0.0%-0.7%-1.3%523-23.8K-11.2K0.0084.89N/AN/A01203,8492,817
2007-11-27$5.14$5.8347.5%13.6%60.5%57.9%0.0%7.0%-2.3%325-6.0K-11.3K1.0094.82N/AN/A30303,8492,907
2007-11-28$5.44$5.8333.5%9.6%60.7%31.8%0.0%2.7%16.2%-173-22.6K-11.5K1.50106.09N/AN/A1201803,8342,937
2007-11-29$5.29$5.8340.5%11.6%61.1%44.6%0.0%8.9%3.9%20-21.1K-11.7K1.0089.70N/AN/A30303,7982,997
2007-11-30$5.29$5.8349.4%14.2%58.4%61.3%0.0%9.3%-6.8%-16036.2K-11.3K0.6786.35N/AN/A45303,8282,997