ACMR Options History — April 2008

In April 2008, ACMR traded between $2.01 and $2.31. ATM implied volatility averaged 66.3%, placing in the 57.3% IV rank vs the trailing year. The 30-day expected move averaged 19.1%. IV traded below realized volatility by 31.5% (HV 20d: 97.8%). Max pain ranged from $1.67 to $2.50. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.13.

Notable Days

  • 2008-04-14: Highest Volume — 540 contracts
  • 2008-04-11: Largest IV spike — 53.2% change
  • 2008-04-30: Highest IV Rank — 78.6%
  • 2008-04-30: Largest Expected Move — 24.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.21$2.01$2.31$2.31$2.20
Max Pain$1.78$1.67$2.50$2.50$1.67
ATM IV66.3%50.1%83.9%71.0%83.9%
Expected Move19.1%14.4%24.1%20.4%24.1%
HV 20d97.8%68.4%115.4%111.5%68.6%
HV 60d94.8%92.3%96.9%96.9%94.1%
IV Rank57.3%37.9%78.6%63.0%78.6%
IV Percentile83.0%49.6%97.6%93.3%97.6%
Term Structure0.5%-24.2%25.5%-8.6%-24.2%
VWIV65.6%65.6%65.6%65.6%65.6%
Skew 25d8.9%-7.9%31.9%16.2%6.3%
Skew 10d9.6%-21.0%31.3%28.4%2.9%
Call IV 25d62.5%55.0%71.5%65.7%67.0%
Put IV 25d71.4%53.8%92.6%81.9%73.3%
Bid-Ask Spread %104.9447.16131.8590.16131.07
Gamma HHI0.170.130.220.170.19
Net GEX169-307723-81189
Net DEX392.6K290.3K480.8K440.6K375.5K
Net VEX-2.4K-3.3K-1.6K-2.4K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.003.800.000.00
Total Volume80.864054000
Total OI7,397.8647,2847,7677,3567,284

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$2.31$2.5071.0%20.4%111.5%63.0%0.0%16.2%-8.6%-81440.6K-2.4K0.0090.16N/AN/A004,2723,084
2008-04-02$2.30$2.5073.2%21.0%111.4%65.7%0.0%16.8%-10.8%-104443.6K-2.4K0.0089.68N/AN/A0604,2723,084
2008-04-03$2.21$2.5064.6%18.5%111.9%55.3%0.0%11.0%-15.5%-33424.7K-2.3K0.0092.90N/AN/A0304,2723,084
2008-04-04$2.22$1.6763.7%17.3%107.5%54.2%0.0%31.9%7.4%-307418.2K-2.5K0.00116.43N/AN/A6004,2723,090
2008-04-07$2.29$1.6766.7%19.1%108.2%57.9%0.0%-7.9%0.5%-126450.6K-2.2K0.00101.06N/AN/A004,3023,090
2008-04-08$2.27$1.6762.3%19.6%108.2%52.5%0.0%3.8%2.5%-144438.3K-2.3K0.00105.95N/AN/A0304,3023,090
2008-04-09$2.18$1.6762.2%19.5%107.8%52.5%0.0%8.4%0.6%127374.6K-2.8K0.0088.63N/AN/A0304,3023,060
2008-04-10$2.26$1.6750.1%14.4%107.9%37.9%0.0%16.7%20.2%267372.5K-2.7K0.00113.88N/AN/A1504,3023,060
2008-04-11$2.01$1.6776.8%22.0%115.4%70.0%0.0%-2.0%2.9%379332.4K-2.8K3.00112.29N/AN/A752254,3173,060
2008-04-14$2.12$1.6762.7%18.0%114.5%53.0%0.0%16.9%1.0%541314.1K-3.0K1.25106.24N/AN/A2403004,3623,030
2008-04-15$2.06$1.6779.6%22.8%110.9%73.4%0.0%9.1%-20.6%65424.0K-1.8K0.67103.41N/AN/A90604,4463,165
2008-04-16$2.25$1.6766.9%19.2%114.4%58.1%0.0%17.3%6.8%500388.4K-2.9K3.80104.42N/AN/A451714,4763,150
2008-04-17$2.15$1.6763.1%18.1%114.0%53.5%0.0%10.4%16.7%490334.0K-3.3K1.33113.60N/AN/A45604,5063,246
2008-04-18$2.20$1.6765.1%18.7%112.6%56.0%0.0%13.8%0.9%-169480.8K-1.7K0.14104.35N/AN/A105154,4613,306
2008-04-21$2.25$1.6756.5%16.2%78.9%45.5%0.0%-4.1%19.7%723329.4K-3.0K0.00107.11N/AN/A004,3892,904
2008-04-22$2.23$1.6762.0%17.8%78.8%52.1%65.6%11.0%4.8%605290.3K-3.3K0.0047.16N/AN/A6304,3892,904
2008-04-23$2.17$1.6750.5%14.5%79.3%38.4%0.0%11.9%25.5%-29412.4K-1.6K0.00111.26N/AN/A0304,4102,874
2008-04-24$2.24$1.6755.9%16.0%76.9%44.8%0.0%-2.0%9.5%424374.2K-2.3K0.00103.26N/AN/A004,4102,874
2008-04-25$2.24$1.6765.7%18.8%75.3%56.6%0.0%-1.5%7.7%97417.5K-1.7K0.00102.52N/AN/A0304,4102,874
2008-04-28$2.23$1.6777.7%22.3%68.8%71.1%0.0%6.6%-17.3%141401.5K-1.8K0.00131.33N/AN/A004,4102,874
2008-04-29$2.24$1.6777.9%22.3%68.4%71.3%0.0%4.5%-18.6%161399.4K-1.9K0.00131.85N/AN/A004,4102,874
2008-04-30$2.20$1.6783.9%24.1%68.6%78.6%0.0%6.3%-24.2%189375.5K-2.3K0.00131.07N/AN/A004,4102,874