ACMR Options History — January 2008

In January 2008, ACMR traded between $3.34 and $4.21. ATM implied volatility averaged 61.2%, placing in the 74.8% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded below realized volatility by 25.3% (HV 20d: 86.5%). Max pain ranged from $4.17 to $5.83. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.31.

Notable Days

  • 2008-01-03: Highest Volume — 108 contracts
  • 2008-01-15: Largest IV spike — 38.6% change
  • 2008-01-09: Highest IV Rank — 100.0%
  • 2008-01-15: Largest Expected Move — 22.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.70$3.34$4.21$4.21$3.99
Max Pain$4.33$4.17$5.83$5.83$4.17
ATM IV61.2%46.6%79.6%51.8%51.2%
Expected Move18.2%14.7%22.8%14.8%14.7%
HV 20d86.5%74.0%92.6%74.0%83.6%
HV 60d69.6%60.6%72.7%60.6%72.4%
IV Rank74.8%55.1%100.0%65.7%55.1%
IV Percentile90.5%69.4%100.0%82.9%72.6%
Term Structure0.3%-13.5%17.9%17.9%4.1%
VWIV63.1%49.2%72.1%51.8%65.2%
Skew 25d5.1%-19.0%22.5%2.9%8.8%
Skew 10d10.7%-17.6%32.8%3.7%14.9%
Call IV 25d54.4%44.4%64.4%47.0%59.0%
Put IV 25d59.6%38.4%78.3%49.9%67.8%
Bid-Ask Spread %96.8849.92120.7955.61112.83
Gamma HHI0.250.180.480.180.21
Net GEX398-3.8K3.0K2.3K3.0K
Net DEX423.3K157.2K702.9K157.2K191.8K
Net VEX-6.8K-9.7K-4.0K-9.7K-8.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.004.003.801.67
Total Volume45.8570108720
Total OI7,306.5716,9337,5907,4647,071

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$4.21$5.8351.8%14.8%74.0%65.7%51.8%2.9%17.9%2.3K157.2K-9.7K3.8055.61N/AN/A15574,3113,153
2008-01-03$3.86$5.8352.2%15.0%78.4%66.5%49.2%-19.0%8.2%852427.3K-7.9K0.8049.92N/AN/A60484,2963,198
2008-01-04$3.90$4.1751.6%20.0%78.7%65.5%71.6%-4.2%-9.9%902331.3K-8.6K4.0073.76N/AN/A15604,3413,246
2008-01-07$4.12$4.1746.6%18.1%80.0%56.2%0.0%-10.6%0.9%2.0K184.6K-9.3K0.0094.30N/AN/A604,3563,231
2008-01-08$3.67$4.1762.5%20.1%86.3%85.8%0.0%5.9%3.9%1.1K483.8K-7.2K0.8779.05N/AN/A45394,3593,231
2008-01-09$3.59$4.1773.9%22.4%83.1%100.0%0.0%22.5%-6.9%30493.5K-6.7K0.0079.32N/AN/A0364,3593,168
2008-01-10$3.76$4.1770.1%20.1%84.6%93.5%64.4%-4.8%-13.5%1.3K472.1K-6.9K0.0085.81N/AN/A0814,3593,171
2008-01-11$3.46$4.1771.3%20.4%86.8%95.5%72.1%12.9%-4.6%-1.5K702.9K-4.6K0.0083.10N/AN/A0754,3593,192
2008-01-14$3.61$4.1757.4%16.5%87.7%71.3%0.0%7.5%2.4%-935509.1K-6.6K0.00105.08N/AN/A604,3593,153
2008-01-15$3.34$4.1779.6%22.8%90.1%100.0%0.0%5.6%-8.4%-1.4K641.9K-4.8K0.0095.77N/AN/A0454,3653,153
2008-01-16$3.41$4.1769.8%20.0%90.8%84.5%0.0%5.2%-4.6%-2.5K701.7K-4.0K0.00104.37N/AN/A004,3653,054
2008-01-17$3.36$4.1767.5%19.4%89.8%80.9%67.6%16.4%-0.7%-2.0K495.4K-5.9K2.00106.05N/AN/A30604,3653,051
2008-01-18$3.37$4.1765.2%18.7%89.5%77.2%65.2%8.4%-2.6%-3.8K594.2K-4.6K0.00104.04N/AN/A0484,3953,024
2008-01-22$3.45$4.1757.9%16.6%90.1%65.6%0.0%15.7%9.1%-354513.4K-5.5K0.00118.62N/AN/A004,0892,904
2008-01-23$3.63$4.1764.9%18.6%92.2%76.8%0.0%4.9%8.8%359456.7K-6.1K0.00118.64N/AN/A004,0892,844
2008-01-24$3.81$4.1756.5%16.2%89.8%63.5%0.0%18.9%-2.8%2.1K370.3K-7.2K0.00117.73N/AN/A0604,0892,844
2008-01-25$3.65$4.1751.7%14.8%90.8%55.8%0.0%6.4%14.4%226257.7K-7.5K0.00120.79N/AN/A3004,0892,844
2008-01-28$3.84$4.1757.1%16.4%92.6%64.5%0.0%9.4%-0.5%1.9K458.1K-6.5K0.00116.03N/AN/A0214,1192,844
2008-01-29$3.87$4.1762.3%17.9%90.0%72.7%0.0%-3.3%-6.5%2.3K216.4K-8.2K0.00120.06N/AN/A3004,1192,865
2008-01-30$3.86$4.1763.2%18.1%87.3%74.1%0.0%-1.6%-1.7%2.6K229.8K-7.8K1.6793.60N/AN/A36604,1492,865
2008-01-31$3.99$4.1751.2%14.7%83.6%55.1%0.0%8.8%4.1%3.0K191.8K-8.2K0.00112.83N/AN/A004,1762,895