ACTU Options History — April 2007 In April 2007, ACTU traded between $5.28 and $5.86. ATM implied volatility averaged 45.6%. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 17.6% (HV 20d: 28.0%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.86.
Notable Days 2007-04-20 : Highest Volume — 146 contracts2007-04-25 : Largest IV spike — 32.2% change2007-04-30 : Largest Expected Move — 16.2%Monthly Statistics Metric Avg Min Max Open Close Price $5.56 $5.28 $5.86 $5.37 $5.68 Max Pain $5.00 $5.00 $5.00 $5.00 $5.00 ATM IV 45.6% 36.9% 56.6% 49.9% 56.6% Expected Move 13.0% 10.6% 16.2% 14.3% 16.2% HV 20d 28.0% 24.7% 35.4% 30.9% 35.4% HV 60d 34.8% 30.6% 42.1% 42.1% 32.3% Term Structure -0.6% -35.6% 19.6% -4.1% -20.9% VWIV 58.0% 38.0% 71.3% 55.8% 71.3% Bid-Ask Spread % 69.42 11.91 99.26 88.09 11.91 Gamma HHI 0.69 0.50 0.91 0.86 0.61 Net GEX 419 -1.0K 2.7K 2.0K 288 Net DEX -64.0K -91.3K -16.7K -54.6K -75.0K Net VEX -261 -334 -179 -198 -334 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.86 0.00 10.60 0.00 0.00 Total Volume 27.6 0 146 11 33 Total OI 502.05 394 592 419 511
Daily Data (20 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 2007-04-02 $5.37 $5.00 49.9% 14.3% 30.9% 0.0% 55.8% 0.0% -4.1% 2.0K -54.6K -198 0.00 88.09 N/A N/A 11 0 320 99 2007-04-03 $5.28 $5.00 43.7% 12.5% 27.1% 0.0% 45.7% 0.0% 4.1% 2.7K -55.6K -193 0.00 94.39 N/A N/A 27 0 330 99 2007-04-04 $5.40 $5.00 40.5% 11.6% 27.9% 0.0% 0.0% 0.0% 16.3% 2.3K -71.9K -182 0.00 92.98 N/A N/A 0 0 337 99 2007-04-05 $5.37 $5.00 39.3% 11.3% 28.0% 0.0% 0.0% 0.0% 19.6% 2.4K -70.8K -179 10.60 91.10 N/A N/A 10 106 337 99 2007-04-09 $5.43 $5.00 51.2% 14.0% 27.6% 0.0% 0.0% 0.0% -4.7% 1.3K -64.3K -269 1.25 97.43 N/A N/A 8 10 347 205 2007-04-10 $5.42 $5.00 50.0% 14.2% 27.5% 0.0% 0.0% 0.0% -6.7% 1.3K -67.4K -280 0.00 97.43 N/A N/A 2 0 355 215 2007-04-11 $5.44 $5.00 51.7% 13.8% 25.6% 0.0% 0.0% 0.0% -0.1% 1.1K -66.9K -290 0.00 99.26 N/A N/A 0 0 357 215 2007-04-12 $5.49 $5.00 50.5% 14.5% 25.6% 0.0% 0.0% 0.0% -3.9% 552 -72.3K -282 0.00 46.57 N/A N/A 0 0 357 215 2007-04-13 $5.60 $5.00 36.9% 10.6% 26.2% 0.0% 0.0% 0.0% 9.2% -86 -80.9K -255 0.00 64.67 N/A N/A 0 0 357 215 2007-04-16 $5.75 $5.00 37.3% 10.7% 27.0% 0.0% 0.0% 0.0% 10.2% -353 -91.3K -232 0.00 61.05 N/A N/A 13 0 357 215 2007-04-17 $5.73 $5.00 43.1% 12.4% 26.4% 0.0% 0.0% 0.0% 1.3% -337 -85.4K -233 0.00 91.72 N/A N/A 20 0 350 215 2007-04-18 $5.73 $5.00 39.1% 11.2% 26.3% 0.0% 0.0% 0.0% 5.6% -1.0K -88.2K -227 0.00 63.40 N/A N/A 30 0 351 215 2007-04-19 $5.54 $5.00 37.0% 10.6% 28.7% 0.0% 0.0% 0.0% 10.5% -969 -80.1K -268 0.00 63.32 N/A N/A 3 0 377 215 2007-04-20 $5.63 $5.00 38.0% 10.9% 29.1% 0.0% 38.0% 0.0% 6.9% -997 -83.8K -263 0.00 64.33 N/A N/A 146 0 374 215 2007-04-23 $5.57 $5.00 46.2% 13.3% 27.0% 0.0% 0.0% 0.0% -5.2% -495 -16.7K -323 0.00 62.42 N/A N/A 0 0 183 211 2007-04-24 $5.69 $5.00 39.3% 11.3% 27.7% 0.0% 0.0% 0.0% 13.0% -581 -25.1K -296 0.00 64.43 N/A N/A 0 0 183 211 2007-04-25 $5.67 $5.00 51.9% 14.9% 24.7% 0.0% 0.0% 0.0% -5.2% -473 -25.5K -296 0.00 62.06 N/A N/A 29 0 183 211 2007-04-26 $5.86 $5.00 55.8% 16.0% 26.6% 0.0% 68.3% 0.0% -35.6% -345 -48.1K -294 0.01 13.09 N/A N/A 79 1 208 211 2007-04-27 $5.54 $5.00 54.8% 15.7% 34.5% 0.0% 68.8% 0.0% -21.6% 96 -56.0K -328 0.14 58.77 N/A N/A 21 3 275 212 2007-04-30 $5.68 $5.00 56.6% 16.2% 35.4% 0.0% 71.3% 0.0% -20.9% 288 -75.0K -334 0.00 11.91 N/A N/A 33 0 296 215
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