ACMR Options History — November 2020

In November 2020, ACMR traded between $24.49 and $31.14. ATM implied volatility averaged 79.8%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 22.3%. IV traded below realized volatility by 4.2% (HV 20d: 84.0%). Max pain ranged from $23.33 to $25.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2020-11-05: Highest Volume — 8,841 contracts
  • 2020-11-06: Largest IV drop — 21.8% change
  • 2020-11-02: Highest IV Rank — 36.6%
  • 2020-11-02: Largest Expected Move — 29.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.39$24.49$31.14$24.83$27.41
Max Pain$24.75$23.33$25.00$23.33$25.00
ATM IV79.8%69.4%103.9%103.9%74.7%
Expected Move22.3%19.9%29.8%29.8%21.4%
HV 20d84.0%66.7%90.9%66.7%86.7%
HV 60d99.0%93.0%101.3%93.0%97.2%
IV Rank17.1%4.8%36.6%36.6%4.8%
IV Percentile20.2%1.3%72.5%72.5%7.9%
Term Structure-2.1%-17.1%2.6%-15.5%-1.5%
VWIV77.9%69.3%105.5%105.5%75.8%
Skew 25d1.1%-1.6%6.6%1.4%1.6%
Skew 10d2.1%-4.7%10.5%2.5%7.9%
Call IV 25d77.5%67.7%104.0%104.0%74.9%
Put IV 25d78.6%68.9%105.4%105.4%76.5%
Bid-Ask Spread %61.6239.3370.1766.3569.64
Gamma HHI0.190.130.280.170.20
Net GEX310.8K-143.7K679.2K41.4K233.8K
Net DEX-13.0M-30.9M-1.2M-5.6M-8.2M
Net VEX-49.0K-100.0K-32.0K-100.0K-33.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.022.550.021.36
Total Volume1,565.12078,8414,146702
Total OI45,619.818,19857,87057,87019,194

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$24.83$23.33103.9%29.8%66.7%36.6%105.5%1.4%-15.5%41.4K-5.6M-100.0K0.0266.35N/AN/A4,0776924,64533,225
2020-11-03$26.62$23.33101.5%29.1%67.3%35.0%101.8%2.6%-15.2%337.0K-16.3M-95.8K0.0563.23N/AN/A3,42016824,64533,225
2020-11-04$30.32$23.33103.5%29.7%80.5%36.4%104.3%-0.5%-17.1%464.4K-27.4M-70.6K0.2661.22N/AN/A1,40136919,22133,270
2020-11-05$31.14$25.00101.9%24.7%80.0%35.3%86.3%0.2%-3.6%524.7K-30.9M-68.1K0.0239.33N/AN/A8,68215919,31133,084
2020-11-06$30.59$25.0079.7%21.5%78.4%20.1%75.7%3.0%1.0%589.6K-25.7M-54.1K0.4952.44N/AN/A79238719,75233,108
2020-11-09$30.74$25.0082.2%20.6%78.0%21.8%72.6%-0.6%2.0%663.6K-27.5M-50.4K0.1055.09N/AN/A3573620,05833,189
2020-11-10$27.95$25.0085.3%20.9%86.3%23.9%73.4%2.1%-0.1%417.9K-15.7M-50.1K2.5557.68N/AN/A29174119,97133,174
2020-11-11$30.09$25.0073.1%20.9%86.0%15.6%72.7%1.2%0.3%679.2K-24.4M-47.1K0.0249.66N/AN/A1,1192720,04633,549
2020-11-12$28.64$25.0075.9%21.8%88.2%17.5%73.4%6.6%-3.0%577.7K-18.9M-48.8K0.2068.55N/AN/A3757520,56233,546
2020-11-13$28.15$25.0070.5%20.2%88.5%13.8%70.5%0.5%2.6%602.0K-17.0M-43.3K2.4658.57N/AN/A13833920,59233,594
2020-11-16$27.04$25.0072.9%20.9%88.2%15.4%74.2%-1.2%1.2%470.7K-11.1M-38.7K1.2361.93N/AN/A39648920,57434,218
2020-11-17$25.71$25.0073.6%21.1%90.3%11.3%73.5%2.7%-0.7%106.7K-3.9M-37.0K0.9464.35N/AN/A63960020,41534,272
2020-11-18$25.08$25.0072.2%20.7%88.0%10.3%72.3%-1.6%1.7%-143.7K-1.2M-36.6K0.7960.06N/AN/A43534520,76034,785
2020-11-19$25.37$25.0071.7%20.5%87.0%8.6%72.2%-1.3%1.5%66.9K-2.7M-34.7K0.1360.92N/AN/A3574820,82034,842
2020-11-20$25.23$25.0070.8%20.3%87.1%8.0%71.9%-0.5%2.4%14.7K-3.1M-32.0K0.0568.63N/AN/A2,15410220,91634,860
2020-11-23$24.86$25.0070.1%20.1%87.4%7.5%70.3%2.7%1.2%96.2K-3.1M-34.4K0.8270.17N/AN/A4353577,31410,884
2020-11-24$24.49$25.0071.4%20.5%87.5%8.1%70.7%1.9%1.9%85.5K-2.9M-34.8K1.0068.64N/AN/A1591597,66211,115
2020-11-25$25.69$25.0069.4%19.9%87.1%5.7%69.3%1.3%1.1%160.8K-5.0M-34.7K0.3067.98N/AN/A159487,75511,232
2020-11-27$27.81$25.0072.0%20.6%90.9%7.4%70.7%1.1%-1.2%227.5K-8.9M-34.7K0.3668.01N/AN/A5131837,77611,235
2020-11-30$27.41$25.0074.7%21.4%86.7%4.8%75.8%1.6%-1.5%233.8K-8.2M-33.7K1.3669.64N/AN/A2974057,92311,271