ACMR Options History — November 2009

In November 2009, ACMR traded between $1.01 and $1.60. ATM implied volatility averaged 67.2%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 19.3%. IV traded below realized volatility by 14.1% (HV 20d: 81.3%). Max pain ranged from $1.67 to $2.50. Net GEX was positive for 7 of 20 trading days. Put/call ratio averaged 3.00.

Notable Days

  • 2009-11-17: Highest Volume — 21 contracts
  • 2009-11-23: Largest IV drop — 100.0% change
  • 2009-11-27: Highest IV Rank — 32.9%
  • 2009-11-27: Largest Expected Move — 27.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.19$1.01$1.60$1.60$1.04
Max Pain$1.71$1.67$2.50$1.67$1.67
ATM IV67.2%50.3%96.0%68.9%79.5%
Expected Move19.3%14.4%27.5%19.8%22.8%
HV 20d81.3%70.4%101.3%78.4%78.1%
HV 60d82.0%76.9%86.3%77.4%77.8%
IV Rank13.8%2.7%32.9%14.9%22.0%
IV Percentile12.9%1.0%34.0%9.2%24.3%
VWIV46.6%46.6%46.6%46.6%46.6%
Skew 25d17.4%1.0%43.5%19.7%43.5%
Skew 10d7.6%-5.9%43.5%1.4%43.5%
Call IV 25d58.5%48.1%74.2%48.1%74.2%
Put IV 25d75.9%60.4%117.7%67.8%117.7%
Bid-Ask Spread %135.96124.62200.00143.55135.65
Gamma HHI0.950.751.001.001.00
Net GEX5404614610
Net DEX20.0K10.5K23.9K16.7K22.1K
Net VEX-20-800-770
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.000.006.000.006.00
Total Volume1.8021120
Total OI907.95276957957954

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$1.60$1.6768.9%19.8%78.4%14.9%0.0%0.0%0.0%46116.7K-770.00143.55N/AN/A012744213
2009-11-03$1.53$2.5055.5%15.9%78.5%6.1%0.0%0.0%0.0%018.4K00.00200.00N/AN/A00558120
2009-11-04$1.42$1.6750.3%14.4%83.4%2.7%46.6%0.0%0.0%15516.3K-700.00131.42N/AN/A30744213
2009-11-05$1.45$1.6758.7%16.8%81.6%8.2%0.0%0.0%0.0%13114.1K-800.00128.56N/AN/A00744213
2009-11-06$1.23$1.6757.9%16.6%99.8%7.7%0.0%19.7%0.0%9217.1K-540.00127.87N/AN/A00744213
2009-11-09$1.17$1.6761.4%17.6%101.3%9.9%0.0%14.5%0.0%7917.4K-470.00126.22N/AN/A00744213
2009-11-10$1.15$1.6760.8%17.4%92.9%9.6%0.0%8.6%0.0%7517.9K-410.00125.93N/AN/A00744213
2009-11-11$1.12$1.6759.9%17.2%81.0%9.0%0.0%1.0%0.0%023.9K00.00125.30N/AN/A00744213
2009-11-12$1.12$1.6760.4%17.3%71.1%9.3%0.0%0.0%0.0%023.9K00.00125.30N/AN/A00744213
2009-11-13$1.14$1.6761.8%17.7%71.2%10.2%0.0%0.0%0.0%7818.4K-370.00125.30N/AN/A00744213
2009-11-16$1.12$1.6762.1%17.8%70.4%10.4%0.0%0.0%0.0%023.8K00.00125.23N/AN/A00744213
2009-11-17$1.01$1.6772.8%20.9%73.7%17.4%0.0%0.0%0.0%021.6K06.00135.53N/AN/A318744213
2009-11-18$1.07$1.6776.0%21.8%78.9%19.5%0.0%0.0%0.0%022.7K00.00124.62N/AN/A00741213
2009-11-19$1.11$1.6771.2%20.4%82.3%16.4%0.0%0.0%0.0%023.7K00.00125.16N/AN/A00741213
2009-11-20$1.12$1.6772.1%20.7%82.1%17.0%0.0%0.0%0.0%023.9K00.00125.41N/AN/A00741213
2009-11-23$1.13$1.670.0%0.0%80.4%0.0%0.0%0.0%0.0%010.5K00.00200.00N/AN/A0018393
2009-11-24$1.08$1.6780.7%23.1%80.9%22.8%0.0%0.0%0.0%022.9K00.00125.55N/AN/A00741213
2009-11-25$1.08$1.6770.7%20.3%79.9%16.2%0.0%0.0%0.0%023.1K00.00135.97N/AN/A00741213
2009-11-27$1.06$1.6796.0%27.5%79.8%32.9%0.0%43.5%0.0%022.6K00.00126.57N/AN/A00741213
2009-11-30$1.04$1.6779.5%22.8%78.1%22.0%0.0%0.0%0.0%022.1K00.00135.65N/AN/A00741213