ACMR Options History — March 2008

In March 2008, ACMR traded between $1.85 and $2.76. ATM implied volatility averaged 73.3%, placing in the 71.9% IV rank vs the trailing year. The 30-day expected move averaged 21.7%. IV traded below realized volatility by 24.3% (HV 20d: 97.6%). Max pain ranged from $1.67 to $4.17. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.35.

Notable Days

  • 2008-03-14: Highest Volume — 312 contracts
  • 2008-03-13: Largest IV spike — 75.2% change
  • 2008-03-10: Highest IV Rank — 100.0%
  • 2008-03-19: Largest Expected Move — 29.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.29$1.85$2.76$2.76$2.27
Max Pain$2.62$1.67$4.17$4.17$2.50
ATM IV73.3%51.8%101.7%64.7%71.7%
Expected Move21.7%15.0%29.2%18.5%20.6%
HV 20d97.6%60.1%111.4%99.8%111.4%
HV 60d89.4%84.6%98.4%85.9%98.0%
IV Rank71.9%40.5%100.0%72.5%63.8%
IV Percentile90.9%65.5%100.0%90.9%94.4%
Term Structure-2.1%-21.8%18.6%16.3%-7.1%
VWIV89.9%55.4%123.4%88.5%55.4%
Skew 25d8.1%-30.5%42.2%29.2%13.4%
Skew 10d10.4%-35.7%52.4%28.3%24.6%
Call IV 25d68.0%48.8%100.8%48.8%66.4%
Put IV 25d76.1%58.8%100.6%78.0%79.7%
Bid-Ask Spread %90.6832.38124.4140.5095.27
Gamma HHI0.140.120.170.170.14
Net GEX384-25649221217
Net DEX381.9K122.6K538.6K538.6K358.3K
Net VEX-3.1K-4.2K-2.0K-3.4K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.044.201.400.50
Total Volume89.40312360
Total OI7,514.17,1138,0017,5097,356

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$2.76$4.1764.7%18.5%99.8%72.5%88.5%29.2%16.3%221538.6K-3.4K1.4040.50N/AN/A15214,5962,913
2008-03-04$2.70$4.1768.6%19.7%99.8%78.4%106.1%22.7%10.2%474466.9K-3.8K0.1052.00N/AN/A3034,6112,928
2008-03-05$2.65$4.1754.6%15.7%99.7%57.3%0.0%9.2%16.9%444454.3K-3.7K1.1034.30N/AN/A30334,6412,838
2008-03-06$2.42$4.1771.3%20.4%102.8%82.5%111.4%0.9%5.2%404408.4K-3.4K0.0032.38N/AN/A01084,6712,868
2008-03-07$2.39$2.5072.4%23.3%97.7%84.1%0.0%9.2%-11.8%398466.7K-2.7K0.00104.24N/AN/A004,6712,790
2008-03-10$2.37$2.5096.8%26.5%97.9%100.0%0.0%-17.3%-17.7%479443.0K-2.8K0.2997.99N/AN/A105304,6712,790
2008-03-11$2.47$2.5060.0%22.5%99.4%54.2%0.0%9.3%-11.9%461521.5K-2.2K3.00103.50N/AN/A30904,6772,805
2008-03-12$2.36$2.5051.8%21.0%98.1%44.0%0.0%7.5%-3.5%573440.9K-3.0K0.00106.69N/AN/A004,6772,838
2008-03-13$2.30$2.5090.7%26.0%97.7%92.5%0.0%-30.5%-18.7%404466.1K-2.4K0.0498.97N/AN/A7534,6772,838
2008-03-14$2.14$2.5069.4%19.9%98.7%65.0%0.0%5.7%-18.5%534122.6K-4.2K4.20124.41N/AN/A602524,6623,069
2008-03-17$1.97$2.5067.2%19.3%99.6%62.1%68.3%-4.6%13.5%366309.4K-3.1K2.13114.35N/AN/A45964,7042,991
2008-03-18$2.03$2.5087.9%25.2%101.4%88.7%0.0%42.2%-1.4%108426.0K-2.0K1.64111.30N/AN/A751234,7493,078
2008-03-19$1.93$2.50101.7%29.2%60.4%100.0%100.8%39.2%-21.8%409295.8K-3.2K0.33104.75N/AN/A90304,8243,108
2008-03-20$1.85$1.67100.2%28.7%60.1%98.1%123.4%30.4%-14.2%566261.6K-2.9K1.90105.13N/AN/A30574,9143,087
2008-03-24$2.32$1.6784.0%24.1%106.3%78.7%84.0%-25.4%-8.5%649311.4K-3.5K0.00107.75N/AN/A01414,2092,904
2008-03-25$2.34$1.6777.0%22.1%106.1%70.2%0.0%6.4%0.2%514246.3K-4.0K0.00105.57N/AN/A0484,2093,015
2008-03-26$2.31$1.6763.0%18.0%104.2%53.3%71.1%8.0%-0.7%338344.2K-3.5K0.9575.15N/AN/A63604,2093,015
2008-03-27$2.17$1.6761.5%17.6%105.5%51.6%55.4%6.5%18.6%-25391.7K-2.7K0.5098.25N/AN/A30154,2423,075
2008-03-28$2.09$2.5052.3%15.0%105.5%40.5%0.0%-0.4%12.4%138364.8K-2.8K0.00101.08N/AN/A004,2723,090
2008-03-31$2.27$2.5071.7%20.6%111.4%63.8%0.0%13.4%-7.1%217358.3K-3.1K0.0095.27N/AN/A004,2723,084