ACMR Options History — June 2008

In June 2008, ACMR traded between $2.35 and $2.84. ATM implied volatility averaged 68.6%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded below realized volatility by 5.0% (HV 20d: 73.5%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.31.

Notable Days

  • 2008-06-03: Highest Volume — 165 contracts
  • 2008-06-12: Largest IV drop — 29.0% change
  • 2008-06-11: Highest IV Rank — 51.2%
  • 2008-06-05: Largest Expected Move — 23.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.59$2.35$2.84$2.35$2.35
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV68.6%51.3%85.5%74.7%70.8%
Expected Move18.5%14.7%23.1%21.4%20.3%
HV 20d73.5%47.8%81.5%47.8%81.5%
HV 60d74.3%64.7%83.0%77.1%65.9%
IV Rank36.7%21.4%51.2%43.5%37.4%
IV Percentile75.6%36.1%94.8%89.7%82.1%
Term Structure-5.3%-24.6%6.7%-18.2%-14.3%
VWIV70.9%70.9%70.9%70.9%70.9%
Skew 25d14.7%-5.4%24.5%18.8%9.6%
Skew 10d22.4%8.2%45.1%25.1%8.2%
Call IV 25d60.5%43.7%99.4%88.2%54.9%
Put IV 25d75.2%62.5%120.7%107.0%64.5%
Bid-Ask Spread %136.50124.18146.96126.77143.01
Gamma HHI0.370.320.460.460.38
Net GEX-1.3K-2.2K-252-2.2K-1.4K
Net DEX41.3K-61.9K130.5K130.5K91.0K
Net VEX-2.9K-3.5K-2.0K-2.0K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.001.201.200.33
Total Volume25.571016500
Total OI6,512.2865,8146,8046,5555,994

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$2.35$2.5074.7%21.4%47.8%43.5%0.0%18.8%-18.2%-2.2K130.5K-2.0K0.00126.77N/AN/A004,4402,115
2008-06-03$2.62$2.5073.0%20.9%60.9%42.2%70.9%13.8%-17.3%-315-9.5K-3.3K1.20128.26N/AN/A75904,4402,115
2008-06-04$2.66$2.5075.8%21.7%61.0%44.3%0.0%7.6%-19.3%-607-21.9K-3.4K0.00126.72N/AN/A0604,4702,205
2008-06-05$2.84$2.5080.6%23.1%62.7%48.1%0.0%8.3%-24.6%-252-61.9K-3.5K0.00124.18N/AN/A004,4702,265
2008-06-06$2.57$0.0077.3%17.6%74.3%45.5%0.0%16.1%1.4%-92547.0K-3.1K0.00135.85N/AN/A0604,4702,265
2008-06-09$2.50$0.0083.3%18.2%73.9%50.1%0.0%21.3%-1.4%-1.0K31.7K-3.2K0.00136.32N/AN/A004,4702,325
2008-06-10$2.67$0.0084.2%16.1%71.6%50.9%0.0%-5.4%2.5%-1.0K-12.5K-3.4K0.00135.34N/AN/A004,4702,325
2008-06-11$2.53$0.0085.5%17.7%74.7%51.2%0.0%15.9%0.4%-1.1K43.1K-3.2K0.00138.98N/AN/A004,4702,325
2008-06-12$2.47$0.0060.7%17.4%73.7%31.7%0.0%14.3%0.7%-1.1K43.4K-3.2K0.00141.12N/AN/A004,4702,325
2008-06-13$2.66$0.0057.5%16.5%77.5%26.5%0.0%17.3%6.7%-9659.7K-3.4K0.00136.43N/AN/A004,4702,325
2008-06-16$2.57$0.0059.0%16.9%78.7%27.8%0.0%17.1%3.0%-1.1K22.6K-3.2K0.00140.62N/AN/A004,4702,325
2008-06-17$2.64$0.0060.0%17.2%77.9%28.6%0.0%16.8%1.8%-1.7K57.7K-2.9K0.00137.42N/AN/A004,4702,325
2008-06-18$2.66$0.0060.5%17.3%76.9%29.0%0.0%17.8%-0.6%-1.8K52.7K-2.8K0.00136.13N/AN/A004,4702,325
2008-06-19$2.77$0.0061.4%17.6%77.2%29.7%0.0%18.8%-1.7%-1.7K22.5K-2.8K0.00133.21N/AN/A904,4702,325
2008-06-20$2.66$0.0062.4%17.9%78.4%30.5%0.0%17.9%-1.4%-1.8K45.7K-2.7K0.00136.28N/AN/A304,4792,325
2008-06-23$2.65$0.0063.0%18.1%78.5%31.1%0.0%16.5%-4.7%-2.1K86.2K-2.6K0.00137.85N/AN/A003,6272,187
2008-06-24$2.66$0.0051.3%14.7%78.3%21.4%0.0%24.5%-8.8%-1.5K61.4K-2.7K0.00137.85N/AN/A12003,6272,187
2008-06-25$2.64$0.0064.4%18.5%77.7%32.2%0.0%17.4%-2.9%-1.8K81.1K-2.6K0.33140.94N/AN/A90303,7472,187
2008-06-26$2.49$0.0067.0%19.2%79.9%34.3%0.0%12.2%-4.4%-1.5K67.5K-2.7K0.00146.27N/AN/A003,8372,157
2008-06-27$2.42$0.0067.5%19.3%80.8%34.7%0.0%12.5%-9.1%-1.4K78.2K-2.6K0.00146.96N/AN/A003,8372,157
2008-06-30$2.35$0.0070.8%20.3%81.5%37.4%0.0%9.6%-14.3%-1.4K91.0K-2.5K0.00143.01N/AN/A003,8372,157