ACMR Options History — July 2008

In July 2008, ACMR traded between $1.97 and $2.61. ATM implied volatility averaged 79.9%, placing in the 44.9% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded above realized volatility by 8.7% (HV 20d: 71.2%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2008-07-21: Highest Volume — 228 contracts
  • 2008-07-10: Largest IV drop — 45.2% change
  • 2008-07-09: Highest IV Rank — 92.5%
  • 2008-07-03: Largest Expected Move — 31.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.24$1.97$2.61$2.34$2.61
ATM IV79.9%62.5%138.3%72.7%71.6%
Expected Move21.3%17.9%31.3%20.8%20.5%
HV 20d71.2%56.6%84.6%70.6%75.9%
HV 60d66.7%61.5%72.0%65.6%72.0%
IV Rank44.9%30.7%92.5%38.9%38.0%
IV Percentile82.7%59.9%99.6%84.9%78.6%
Term Structure-12.7%-32.3%0.4%-14.6%-10.7%
Skew 25d7.7%1.4%13.1%8.4%12.3%
Skew 10d7.8%-2.3%24.4%6.2%24.4%
Call IV 25d59.3%55.7%65.5%56.1%57.8%
Put IV 25d67.0%61.4%71.9%64.6%70.1%
Bid-Ask Spread %136.52121.45150.15141.03145.09
Gamma HHI0.420.340.760.370.39
Net GEX-1.3K-3.0K-360-1.3K-1.3K
Net DEX16.6K-194.9K241.7K93.8K-194.9K
Net VEX-2.7K-3.5K-1.2K-2.5K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume18.54502281890
Total OI5,835.2732,9676,0185,9945,910

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$2.34$0.0072.7%20.8%70.6%38.9%0.0%8.4%-14.6%-1.3K93.8K-2.5K0.00141.03N/AN/A0183,8372,157
2008-07-02$2.12$0.0085.5%24.5%76.8%49.4%0.0%6.8%-24.5%-1.2K132.6K-2.2K0.00133.44N/AN/A003,8372,175
2008-07-03$2.04$0.00109.3%31.3%72.1%68.8%0.0%5.9%-32.3%-2.1K194.3K-1.9K0.00133.24N/AN/A003,8372,166
2008-07-07$2.11$0.00105.5%18.4%66.8%65.7%0.0%6.0%-8.4%-1.5K147.7K-2.1K0.00131.46N/AN/A003,8372,166
2008-07-08$2.17$0.0098.0%20.5%68.0%59.6%0.0%7.6%-20.5%-1.4K127.7K-2.2K0.00128.36N/AN/A3003,8372,166
2008-07-09$2.04$0.00138.3%22.6%65.3%92.5%0.0%3.4%-13.6%-2.1K193.3K-1.8K0.00126.90N/AN/A003,8522,166
2008-07-10$1.97$0.0075.8%21.7%63.9%41.5%0.0%1.4%-10.2%-1.8K197.8K-1.7K0.00132.48N/AN/A1203,8522,166
2008-07-11$1.99$0.0077.8%22.3%64.3%43.1%0.0%3.7%-13.8%-1.9K211.4K-1.7K0.00132.07N/AN/A003,8522,166
2008-07-14$2.00$0.0082.6%23.7%57.0%47.0%0.0%1.6%-16.4%-2.3K199.8K-1.2K0.00131.91N/AN/A001,2121,755
2008-07-15$1.99$0.0082.5%23.6%56.6%46.9%0.0%5.4%-16.6%-3.0K241.7K-1.3K0.00132.57N/AN/A003,8522,166
2008-07-16$2.18$0.0066.9%19.2%66.8%34.2%0.0%5.7%-12.6%-734-73.5K-3.1K0.00133.48N/AN/A003,8522,166
2008-07-17$2.33$0.0062.5%17.9%72.1%30.7%0.0%9.4%-2.0%-974-94.7K-3.4K0.00137.85N/AN/A003,8522,166
2008-07-18$2.26$0.0066.5%19.1%70.4%33.9%0.0%10.4%-13.3%-739-59.3K-3.2K0.00135.20N/AN/A003,8522,166
2008-07-21$2.24$0.0068.5%19.6%69.7%35.5%0.0%8.2%-12.7%-1.1K-54.0K-3.2K0.00135.47N/AN/A02283,8522,166
2008-07-22$2.40$0.0078.7%22.6%74.7%43.8%0.0%10.1%-20.4%-635-116.2K-3.4K0.00121.45N/AN/A0303,8522,028
2008-07-23$2.45$0.0066.0%18.9%75.2%33.4%0.0%12.8%-4.2%-663-117.9K-3.4K0.00149.84N/AN/A003,8522,058
2008-07-24$2.32$0.0067.8%19.4%77.3%34.9%0.0%7.7%0.4%-360-95.4K-3.2K0.00139.71N/AN/A003,8522,058
2008-07-25$2.41$0.0067.5%19.3%76.5%34.7%0.0%12.4%-6.3%-728-95.1K-3.3K0.00144.75N/AN/A003,8522,058
2008-07-28$2.27$0.0074.2%21.3%78.7%40.2%0.0%6.4%-7.2%-692-113.9K-3.1K0.00137.20N/AN/A003,8522,058
2008-07-29$2.46$0.0070.3%20.1%83.5%36.9%0.0%10.8%-10.3%-1.1K-169.0K-3.5K0.00149.84N/AN/A003,8522,058
2008-07-30$2.57$0.0070.6%20.3%84.6%37.3%0.0%13.1%-7.8%-1.3K-190.5K-3.5K0.00150.15N/AN/A003,8522,058
2008-07-31$2.61$0.0071.6%20.5%75.9%38.0%0.0%12.3%-10.7%-1.3K-194.9K-3.5K0.00145.09N/AN/A9003,8522,058