ACMR Options History — September 2020

In September 2020, ACMR traded between $19.79 and $31.77. ATM implied volatility averaged 92.0%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 26.1%. IV traded below realized volatility by 31.5% (HV 20d: 123.6%). Max pain ranged from $23.33 to $30.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.07.

Notable Days

  • 2020-09-08: Highest Volume — 22,248 contracts
  • 2020-09-08: Largest IV spike — 32.8% change
  • 2020-09-08: Highest IV Rank — 49.8%
  • 2020-09-17: Largest Expected Move — 28.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.98$19.79$31.77$30.00$23.06
Max Pain$25.08$23.33$30.00$30.00$23.33
ATM IV92.0%82.4%121.0%92.1%82.4%
Expected Move26.1%23.6%28.5%26.4%23.6%
HV 20d123.6%56.6%139.6%56.6%138.7%
HV 60d105.8%83.3%113.3%83.3%99.8%
IV Rank29.7%22.0%49.8%30.6%22.0%
IV Percentile44.1%22.7%87.8%44.1%22.7%
Term Structure6.9%0.7%14.0%1.5%11.0%
VWIV91.3%81.8%98.7%89.8%81.8%
Skew 25d0.0%-3.2%3.8%3.8%-2.5%
Skew 10d0.7%-7.1%25.4%9.1%-4.9%
Call IV 25d92.0%84.8%99.4%89.3%86.7%
Put IV 25d92.1%84.2%100.0%93.1%84.2%
Bid-Ask Spread %62.8044.1478.8067.4178.80
Gamma HHI0.170.130.360.170.18
Net GEX-92.1K-346.5K87.0K-48.7K43.0K
Net DEX4.8M-8.4M18.9M-3.9M2.6M
Net VEX-103.0K-130.1K-56.2K-82.8K-118.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.070.0223.140.590.53
Total Volume4,112.42930922,248657606
Total OI50,080.85725,34467,96225,34467,962

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$30.00$30.0092.1%26.4%56.6%30.6%89.8%3.8%1.5%-48.7K-3.9M-82.8K0.5967.41N/AN/A41424310,76114,583
2020-09-02$31.77$30.0084.0%24.1%61.3%25.2%84.6%1.1%5.1%19.8K-8.4M-84.3K0.2162.71N/AN/A1,02321010,75214,697
2020-09-03$27.62$28.3383.6%25.5%74.4%24.9%88.3%0.1%7.7%-158.3K1.6M-78.3K2.0744.14N/AN/A1,6503,41411,39414,733
2020-09-04$27.46$26.6791.2%25.6%68.2%29.9%88.1%1.8%9.8%-236.8K3.7M-87.4K0.9646.16N/AN/A1,1281,08011,80217,877
2020-09-08$19.79$26.67121.0%28.1%131.6%49.8%98.0%-1.8%5.2%-197.0K18.9M-56.2K2.6656.19N/AN/A6,07216,17611,56218,498
2020-09-09$19.98$26.6791.6%26.3%132.1%30.2%92.8%-1.3%9.2%-346.5K18.9M-78.3K0.6652.98N/AN/A1,8511,23015,36027,648
2020-09-10$20.32$26.6789.8%25.7%128.8%29.0%89.8%-3.2%14.0%-338.7K18.1M-79.0K9.2266.76N/AN/A4384,03816,22727,810
2020-09-11$22.50$26.6797.3%27.9%136.7%34.0%97.0%2.1%8.9%-255.2K13.3M-92.5K0.2564.96N/AN/A6,7561,71316,28431,494
2020-09-14$23.68$25.0094.9%27.2%139.1%32.4%96.5%-3.0%7.3%-62.7K5.4M-106.0K0.3058.49N/AN/A2,22066020,73632,610
2020-09-15$23.80$23.3398.2%28.2%138.5%34.6%98.7%-0.5%3.3%-31.8K5.5M-104.8K0.0757.48N/AN/A5,75741420,58032,685
2020-09-16$23.80$23.3396.1%27.6%138.7%33.2%95.9%1.0%4.0%83.2K3.6M-108.7K0.1559.68N/AN/A1,25118625,25432,910
2020-09-17$23.24$23.3399.2%28.5%138.0%35.3%98.6%2.5%0.7%-11.9K6.4M-106.6K0.4157.79N/AN/A7,9473,22225,27832,892
2020-09-18$24.11$23.3392.5%26.5%139.4%30.8%93.0%-1.2%8.3%79.2K-2.3M-130.1K0.1356.89N/AN/A2,96139331,82435,466
2020-09-21$24.09$23.3396.0%27.5%139.4%31.2%96.9%1.2%7.6%87.0K-5.0M-126.0K0.2758.71N/AN/A64517124,26731,161
2020-09-22$23.37$23.3392.3%26.5%139.6%28.7%92.4%0.4%5.6%22.8K-875.1K-118.8K0.7960.38N/AN/A35127624,45631,194
2020-09-23$22.71$23.3387.3%25.0%138.6%25.3%88.0%-1.1%8.3%-57.8K2.7M-110.4K23.1469.71N/AN/A2405,55324,46231,419
2020-09-24$23.02$23.3386.9%24.9%139.1%25.0%87.4%1.0%6.3%-161.6K5.6M-127.8K0.0877.21N/AN/A1,0959024,66038,538
2020-09-25$23.22$23.3385.0%24.4%138.8%23.7%86.3%-1.7%7.0%-92.7K3.3M-129.0K0.3771.36N/AN/A2258425,33238,577
2020-09-28$22.73$23.3387.0%25.0%138.6%25.1%87.9%-0.3%6.1%-176.2K6.6M-119.9K0.6474.52N/AN/A24315625,38938,550
2020-09-29$23.22$23.3384.4%24.2%139.0%23.3%84.8%2.0%8.0%-94.1K4.2M-118.0K0.0276.50N/AN/A4,0988125,38638,628
2020-09-30$23.06$23.3382.4%23.6%138.7%22.0%81.8%-2.5%11.0%43.0K2.6M-118.9K0.5378.80N/AN/A39621029,32238,640