ACMR Options History — December 2007

In December 2007, ACMR traded between $3.96 and $5.28. ATM implied volatility averaged 48.0%, placing in the 58.6% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 15.6% (HV 20d: 63.6%). Max pain ranged from $5.83 to $6.67. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.60.

Notable Days

  • 2007-12-20: Highest Volume — 570 contracts
  • 2007-12-31: Largest IV spike — 55.0% change
  • 2007-12-20: Highest IV Rank — 90.5%
  • 2007-12-20: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.53$3.96$5.28$5.01$4.58
Max Pain$5.87$5.83$6.67$5.83$5.83
ATM IV48.0%36.3%65.1%45.7%56.3%
Expected Move13.5%10.4%18.7%13.1%16.1%
HV 20d63.6%57.6%70.5%61.3%70.5%
HV 60d53.9%49.2%58.6%49.2%58.6%
IV Rank58.6%37.0%90.5%54.4%74.2%
IV Percentile73.6%41.4%98.0%71.0%92.8%
Term Structure2.5%-11.1%18.7%-0.9%18.7%
VWIV47.7%38.1%63.2%45.5%63.2%
Skew 25d1.8%-17.1%14.5%0.4%14.3%
Skew 10d4.4%-18.9%21.4%0.5%13.4%
Call IV 25d43.0%29.7%65.4%45.3%48.9%
Put IV 25d44.8%35.7%63.1%45.7%63.1%
Bid-Ask Spread %80.9644.66109.4586.0447.74
Gamma HHI0.220.180.290.190.20
Net GEX632-1.2K4.8K2134.8K
Net DEX241.9K-21.2K500.1K156.4K-21.2K
Net VEX-9.6K-11.6K-7.7K-11.0K-10.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.002.501.122.11
Total Volume148.950570273420
Total OI7,014.156,7867,4286,8287,299

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$5.01$5.8345.7%13.1%61.3%54.4%45.5%0.4%-0.9%213156.4K-11.0K1.1286.04N/AN/A1291443,8432,985
2007-12-04$5.06$5.8343.2%12.4%61.4%49.8%0.0%2.2%-0.3%-561168.6K-10.5K0.0081.72N/AN/A7503,9303,030
2007-12-05$5.06$5.8342.9%12.3%57.6%49.3%0.0%4.2%1.6%-322145.8K-10.7K1.0083.51N/AN/A30303,9303,030
2007-12-06$5.28$5.8337.1%10.6%57.8%38.5%0.0%7.4%11.9%37130.4K-11.6K0.0088.39N/AN/A0303,9603,060
2007-12-07$4.98$6.6747.1%12.4%61.1%57.1%0.0%-13.9%-0.3%-103253.8K-10.9K0.0091.52N/AN/A3003,9603,090
2007-12-10$5.21$5.8341.0%13.0%63.5%45.6%0.0%-4.7%-1.0%30865.7K-11.3K0.0090.18N/AN/A603,9903,015
2007-12-11$4.91$5.8342.2%11.4%65.6%47.9%38.1%0.7%5.8%-424237.6K-10.8K2.50109.45N/AN/A30753,9843,015
2007-12-12$4.64$5.8359.3%12.9%65.8%79.8%42.7%0.2%-0.6%-197324.0K-9.7K0.0098.01N/AN/A0753,9542,988
2007-12-13$4.41$5.8344.8%12.8%67.5%52.8%0.0%-4.1%0.5%-683395.5K-9.0K0.0094.52N/AN/A003,9542,919
2007-12-14$4.20$5.8343.2%12.4%66.0%49.7%41.5%5.5%3.4%-870500.1K-7.8K0.0098.36N/AN/A0153,9542,919
2007-12-17$4.19$5.8344.9%12.9%63.0%53.0%0.0%5.5%3.1%-1.2K403.8K-8.3K0.0097.82N/AN/A0303,9542,844
2007-12-18$4.00$5.8346.8%13.4%64.2%56.4%0.0%4.9%-0.1%-1.0K429.9K-7.7K0.2096.13N/AN/A3063,9542,832
2007-12-19$4.04$5.8357.7%16.5%64.7%76.8%57.7%0.1%-7.1%-376372.8K-7.8K0.08100.70N/AN/A360303,9842,805
2007-12-20$4.07$5.8365.1%18.7%59.5%90.5%0.0%-17.1%-11.1%951371.6K-8.1K0.4663.47N/AN/A3901804,2542,835
2007-12-21$3.96$5.8348.6%13.9%59.6%59.9%48.4%-7.6%7.6%1.6K321.9K-8.5K0.9372.88N/AN/A2402224,5392,889
2007-12-24$4.26$5.8351.1%14.7%66.5%64.5%0.0%14.5%3.7%2.2K103.5K-9.9K0.0066.67N/AN/A3004,1162,940
2007-12-26$4.26$5.8349.8%14.3%66.5%62.1%0.0%10.0%3.4%2.2K215.8K-9.5K0.2260.32N/AN/A135304,1462,913
2007-12-27$4.11$5.8356.0%16.0%62.5%73.6%45.5%4.4%-1.7%2.5K235.4K-9.1K0.1347.13N/AN/A120154,2812,931
2007-12-28$4.35$5.8336.3%10.4%66.9%37.0%46.4%9.3%13.8%3.2K127.4K-9.8K0.2044.66N/AN/A60124,3412,916
2007-12-31$4.58$5.8356.3%16.1%70.5%74.2%63.2%14.3%18.7%4.8K-21.2K-10.5K2.1147.74N/AN/A1352854,3712,928