ACTU Options History — February 2007 In February 2007, ACTU traded between $5.05 and $5.69. ATM implied volatility averaged 47.9%. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 3.0% (HV 20d: 44.9%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2007-02-23 : Highest Volume — 20 contracts2007-02-20 : Largest IV drop — 29.5% change2007-02-16 : Largest Expected Move — 17.0%Monthly Statistics Metric Avg Min Max Open Close Price $5.44 $5.05 $5.69 $5.05 $5.30 Max Pain $5.00 $5.00 $5.00 $5.00 $5.00 ATM IV 47.9% 38.9% 59.4% 46.2% 39.9% Expected Move 14.5% 11.4% 17.0% 13.2% 11.4% HV 20d 44.9% 33.3% 60.1% 57.9% 33.7% Term Structure 3.5% -6.6% 18.0% 8.7% 13.3% VWIV 43.2% 39.5% 46.9% 46.9% 39.5% Bid-Ask Spread % 95.32 58.82 112.39 58.82 112.39 Gamma HHI 0.76 0.62 0.92 0.90 0.80 Net GEX 3.2K 1.6K 7.1K 5.6K 1.9K Net DEX -128.2K -189.7K -53.8K -105.1K -53.8K Net VEX -179 -263 -143 -263 -143 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 4.632 0 20 15 10 Total OI 438 287 527 504 299
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-02-01 $5.05 $5.00 46.2% 13.2% 57.9% 0.0% 46.9% 0.0% 8.7% 5.6K -105.1K -263 0.00 58.82 N/A N/A 15 0 489 15 2007-02-02 $5.27 $0.00 43.1% 15.5% 60.1% 0.0% 0.0% 0.0% -0.6% 6.1K -143.3K -248 0.00 90.35 N/A N/A 1 0 504 15 2007-02-05 $5.21 $0.00 38.9% 15.3% 58.2% 0.0% 0.0% 0.0% -0.2% 7.1K -137.3K -245 0.00 90.66 N/A N/A 0 0 504 15 2007-02-06 $5.42 $0.00 42.0% 16.6% 60.0% 0.0% 0.0% 0.0% -3.0% 4.3K -167.8K -204 0.00 85.85 N/A N/A 8 0 504 15 2007-02-07 $5.42 $0.00 48.3% 15.4% 58.6% 0.0% 0.0% 0.0% -0.4% 4.6K -172.0K -200 0.00 89.49 N/A N/A 0 0 510 15 2007-02-08 $5.43 $0.00 54.5% 15.6% 58.6% 0.0% 0.0% 0.0% -1.7% 4.1K -175.2K -194 0.00 89.49 N/A N/A 5 0 510 15 2007-02-09 $5.44 $0.00 55.1% 15.8% 58.5% 0.0% 0.0% 0.0% -2.1% 3.9K -176.8K -188 0.00 89.49 N/A N/A 0 0 510 15 2007-02-12 $5.45 $0.00 51.2% 14.7% 56.4% 0.0% 0.0% 0.0% 1.8% 3.5K -177.9K -174 0.00 98.15 N/A N/A 0 0 510 15 2007-02-13 $5.56 $0.00 56.5% 16.2% 38.4% 0.0% 0.0% 0.0% -2.5% 2.3K -187.5K -167 0.00 97.12 N/A N/A 0 0 510 15 2007-02-14 $5.46 $0.00 53.3% 15.3% 38.1% 0.0% 0.0% 0.0% -1.2% 3.3K -179.9K -167 0.00 99.11 N/A N/A 2 0 510 15 2007-02-15 $5.51 $0.00 55.9% 16.0% 35.4% 0.0% 0.0% 0.0% -3.0% 1.6K -186.5K -162 0.00 97.71 N/A N/A 10 0 512 15 2007-02-16 $5.54 $0.00 59.4% 17.0% 33.3% 0.0% 0.0% 0.0% -6.6% 1.6K -189.7K -154 0.00 97.12 N/A N/A 10 0 512 15 2007-02-20 $5.69 $0.00 41.9% 12.0% 34.1% 0.0% 0.0% 0.0% 18.0% 1.6K -66.9K -153 0.00 108.73 N/A N/A 0 0 282 5 2007-02-21 $5.66 $0.00 43.7% 12.5% 34.2% 0.0% 0.0% 0.0% 12.1% 1.6K -67.8K -149 0.00 107.83 N/A N/A 5 0 282 5 2007-02-22 $5.67 $0.00 44.3% 12.7% 34.0% 0.0% 39.5% 0.0% 15.0% 1.7K -66.5K -157 0.00 108.73 N/A N/A 2 0 287 5 2007-02-23 $5.53 $5.00 49.4% 14.2% 34.5% 0.0% 0.0% 0.0% -0.7% 1.7K -63.6K -147 0.00 108.59 N/A N/A 20 0 289 5 2007-02-26 $5.47 $5.00 45.5% 13.0% 34.9% 0.0% 0.0% 0.0% 9.9% 1.8K -61.9K -150 0.00 110.70 N/A N/A 0 0 294 5 2007-02-27 $5.29 $5.00 41.9% 12.0% 34.8% 0.0% 0.0% 0.0% 9.4% 1.8K -55.6K -144 0.00 70.79 N/A N/A 0 0 294 5 2007-02-28 $5.30 $5.00 39.9% 11.4% 33.7% 0.0% 0.0% 0.0% 13.3% 1.9K -53.8K -143 0.00 112.39 N/A N/A 10 0 294 5
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