ACMR Options History — September 2008

In September 2008, ACMR traded between $2.03 and $2.69. ATM implied volatility averaged 76.1%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded above realized volatility by 24.5% (HV 20d: 51.6%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2008-09-04: Highest Volume — 600 contracts
  • 2008-09-29: Largest IV spike — 158.8% change
  • 2008-09-29: Highest IV Rank — 100.0%
  • 2008-09-03: Largest Expected Move — 25.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.37$2.03$2.69$2.47$2.09
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV76.1%56.0%185.0%89.5%76.2%
Expected Move19.4%16.1%25.7%25.7%21.8%
HV 20d51.6%48.5%57.5%50.0%57.5%
HV 60d63.3%60.8%65.9%65.4%62.3%
IV Rank35.3%19.7%100.0%49.1%28.2%
IV Percentile64.9%32.1%100.0%91.7%77.4%
Term Structure-3.9%-21.5%9.6%-4.9%-21.5%
VWIV61.9%53.7%70.1%70.1%53.7%
Skew 25d12.8%-31.2%49.6%34.1%10.7%
Skew 10d23.6%-2.3%71.3%34.4%16.6%
Call IV 25d68.4%48.8%127.7%85.3%61.8%
Put IV 25d81.3%56.5%128.6%119.4%72.5%
Bid-Ask Spread %127.82118.32188.89135.68125.01
Gamma HHI0.460.150.800.390.22
Net GEX-3.9K-10.4K409-1.4K-282
Net DEX77.8K-82.2K302.0K11.5K38.1K
Net VEX-1.6K-2.8K-1.1K-2.4K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume34.857060000
Total OI5,774.1434,6356,4596,0094,635

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$2.47$2.5089.5%25.7%50.0%49.1%0.0%34.1%-4.9%-1.4K11.5K-2.4K0.00135.68N/AN/A003,9422,067
2008-09-03$2.58$2.5089.7%25.7%52.1%49.3%70.1%39.3%-6.5%-1.9K-82.2K-2.8K0.00134.55N/AN/A6003,9422,067
2008-09-04$2.55$2.5057.1%16.4%49.6%20.7%53.7%7.8%6.2%-5.9K74.0K-1.7K0.00128.11N/AN/A06004,0022,067
2008-09-05$2.63$0.0087.8%18.1%50.4%47.6%0.0%44.8%-3.8%-5.3K49.1K-2.1K0.00119.12N/AN/A004,0022,397
2008-09-08$2.69$0.0096.0%17.9%49.8%54.8%0.0%49.6%-0.1%-5.3K10.4K-2.1K0.00121.70N/AN/A094,0022,397
2008-09-09$2.60$0.0067.6%19.0%48.7%29.9%0.0%5.8%-3.0%-9.8K84.9K-1.6K0.00118.37N/AN/A004,0022,406
2008-09-10$2.57$0.0069.2%18.9%48.8%31.3%0.0%9.9%1.8%-10.0K98.7K-1.6K0.00118.32N/AN/A304,0022,397
2008-09-11$2.63$0.0066.1%19.0%49.3%28.6%0.0%3.1%0.9%-10.2K53.6K-1.6K0.00119.91N/AN/A6004,0022,397
2008-09-12$2.64$0.0062.7%18.0%48.5%25.6%0.0%2.8%4.3%-10.0K35.4K-1.6K0.00123.01N/AN/A004,0622,397
2008-09-15$2.51$0.0066.6%19.1%51.4%29.1%0.0%-3.0%-0.4%-10.4K128.4K-1.5K0.00123.98N/AN/A004,0622,397
2008-09-16$2.33$0.0056.0%16.1%56.6%19.7%0.0%10.3%9.6%-5.7K197.0K-1.5K0.00127.84N/AN/A004,0622,397
2008-09-17$2.31$0.0056.7%16.3%54.2%20.4%0.0%9.1%8.5%-5.4K204.8K-1.4K0.00127.39N/AN/A004,0622,397
2008-09-18$2.25$0.0058.8%16.9%53.5%22.2%0.0%7.8%4.5%293302.0K-1.4K0.00126.22N/AN/A004,0622,397
2008-09-19$2.17$0.0062.0%17.8%52.0%25.0%0.0%6.6%3.2%409282.4K-1.4K0.00124.55N/AN/A004,0622,364
2008-09-22$2.13$0.0064.6%18.5%51.4%27.2%0.0%13.8%-12.8%7721.4K-1.3K0.00124.23N/AN/A003,5491,086
2008-09-23$2.03$0.0077.9%22.3%50.4%38.9%0.0%11.4%-15.2%-37442.2K-1.1K0.00124.24N/AN/A003,5491,086
2008-09-24$2.10$0.0068.5%19.6%52.4%30.6%0.0%13.8%-15.3%-4622.8K-1.3K0.00124.30N/AN/A003,5491,086
2008-09-25$2.11$0.0068.2%19.5%52.4%30.4%0.0%1.4%-16.0%30415.3K-1.3K0.00124.53N/AN/A003,5491,086
2008-09-26$2.10$0.0071.5%20.5%50.0%33.3%0.0%21.4%-17.5%21514.2K-1.3K0.00124.30N/AN/A003,5491,086
2008-09-29$2.23$0.00185.0%0.0%53.9%100.0%0.0%-31.2%0.0%-76329.1K-1.2K0.00188.89N/AN/A003,5491,086
2008-09-30$2.09$0.0076.2%21.8%57.5%28.2%0.0%10.7%-21.5%-28238.1K-1.2K0.00125.01N/AN/A003,5491,086