ACMR Options History — August 2008

In August 2008, ACMR traded between $2.35 and $2.87. ATM implied volatility averaged 82.4%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 17.6% (HV 20d: 64.8%). 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 17 of 21 days. Put/call ratio averaged 4.75.

Notable Days

  • 2008-08-05: Highest Volume — 183 contracts
  • 2008-08-19: Largest IV spike — 55.4% change
  • 2008-08-13: Highest IV Rank — 89.1%
  • 2008-08-19: Largest Expected Move — 25.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.59$2.35$2.87$2.69$2.51
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV82.4%57.6%134.7%73.4%82.0%
Expected Move18.8%15.2%25.8%21.0%23.5%
HV 20d64.8%51.1%73.9%73.5%52.3%
HV 60d71.2%68.5%72.9%72.0%68.5%
IV Rank44.2%21.1%89.1%39.5%42.5%
IV Percentile78.6%44.8%99.2%82.1%85.3%
Term Structure9.0%-18.5%39.0%-18.5%-0.9%
VWIV100.3%100.3%100.3%100.3%100.3%
Skew 25d19.1%2.0%54.7%7.2%34.6%
Skew 10d29.4%20.6%42.7%25.0%39.9%
Call IV 25d61.5%49.7%79.2%52.7%76.3%
Put IV 25d80.6%54.0%111.1%60.0%110.8%
Bid-Ask Spread %130.86124.64141.30141.30135.69
Gamma HHI0.390.330.450.390.38
Net GEX-1.5K-2.7K-332-1.5K-1.4K
Net DEX-130.8K-240.7K63.4K-219.7K-67.9K
Net VEX-3.1K-3.6K-2.2K-3.6K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.750.0014.250.000.00
Total Volume23.4290183900
Total OI5,956.2865,8296,0396,0006,009

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$2.69$0.0073.4%21.0%73.5%39.5%0.0%7.2%-18.5%-1.5K-219.7K-3.6K0.00141.30N/AN/A9003,9422,058
2008-08-04$2.80$2.5079.0%15.2%73.8%44.1%0.0%5.7%16.9%-1.6K-218.0K-3.3K0.00125.74N/AN/A003,8522,058
2008-08-05$2.87$2.5090.5%15.8%73.6%53.5%0.0%2.8%11.4%-332-240.7K-3.5K14.25125.11N/AN/A121713,8522,058
2008-08-06$2.73$2.5085.4%16.0%71.5%49.3%0.0%4.9%12.6%-1.3K-202.3K-3.3K0.00125.88N/AN/A003,8521,977
2008-08-07$2.67$2.5087.9%15.9%70.6%51.3%0.0%8.9%12.4%-1.8K-196.1K-3.4K0.00127.03N/AN/A9003,8522,007
2008-08-08$2.75$2.5094.4%15.9%70.7%56.7%0.0%2.0%10.6%-1.2K-236.4K-3.4K0.00126.20N/AN/A003,9422,007
2008-08-11$2.63$2.50109.6%16.8%73.9%69.0%0.0%6.3%7.4%-1.3K-192.2K-3.4K0.00127.71N/AN/A003,9422,007
2008-08-12$2.63$2.50118.3%16.4%73.7%75.4%0.0%6.7%11.9%-1.9K-209.1K-3.4K0.00127.62N/AN/A003,9422,007
2008-08-13$2.65$2.50134.7%16.4%67.5%89.1%0.0%7.3%13.3%-1.9K-203.4K-3.3K0.00127.62N/AN/A003,9422,007
2008-08-14$2.72$2.5064.4%18.5%64.2%29.5%0.0%19.0%10.3%-902-214.8K-3.4K0.00124.64N/AN/A003,9422,007
2008-08-15$2.71$2.5057.6%16.5%62.5%21.1%0.0%4.2%11.7%-1.7K-236.8K-3.4K0.00127.39N/AN/A003,9422,007
2008-08-18$2.63$2.5057.8%16.6%63.8%21.3%0.0%13.1%9.9%-2.2K-192.0K-3.3K0.00130.02N/AN/A003,9422,007
2008-08-19$2.50$2.5089.9%25.8%62.8%49.4%0.0%45.5%3.2%-1.7K-149.7K-3.1K0.00133.79N/AN/A003,9422,007
2008-08-20$2.57$2.5058.1%16.6%63.2%21.5%0.0%45.5%38.6%-2.1K-90.7K-2.9K0.00128.16N/AN/A003,9422,007
2008-08-21$2.44$2.5075.7%21.7%63.0%37.0%0.0%28.4%4.6%-810-48.1K-2.8K0.00135.67N/AN/A003,9422,007
2008-08-22$2.48$2.5061.2%17.6%61.9%24.3%0.0%16.8%5.3%-2.7K62.3K-2.2K0.00135.59N/AN/A0603,9422,007
2008-08-25$2.35$2.5080.5%23.1%61.3%41.2%0.0%25.8%-1.0%-1.2K59.6K-2.2K0.00135.80N/AN/A0303,9422,067
2008-08-26$2.35$2.5083.8%24.0%53.5%44.1%0.0%27.1%-9.3%-1.2K63.4K-2.2K0.00135.62N/AN/A003,9422,097
2008-08-27$2.36$2.5062.8%18.0%51.1%25.6%0.0%54.7%39.0%-2.0K37.6K-2.5K0.00135.77N/AN/A093,9422,097
2008-08-28$2.45$2.5082.9%23.8%52.5%43.3%100.3%33.6%0.1%-1.2K-51.2K-2.8K0.00135.67N/AN/A0303,9422,097
2008-08-29$2.51$2.5082.0%23.5%52.3%42.5%0.0%34.6%-0.9%-1.4K-67.9K-2.9K0.00135.69N/AN/A003,9422,067