ACTU Options History — May 2007 In May 2007, ACTU traded between $5.91 and $6.59. ATM implied volatility averaged 43.9%. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 5.7% (HV 20d: 38.2%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.42.
Notable Days 2007-05-07 : Highest Volume — 177 contracts2007-05-24 : Largest IV spike — 46.6% change2007-05-31 : Largest Expected Move — 17.0%Monthly Statistics Metric Avg Min Max Open Close Price $6.27 $5.91 $6.59 $5.91 $6.20 Max Pain $5.80 $5.00 $7.50 $5.00 $7.50 ATM IV 43.9% 28.8% 62.6% 47.9% 59.3% Expected Move 11.8% 8.3% 17.0% 13.7% 17.0% HV 20d 38.2% 31.7% 42.5% 36.6% 31.7% HV 60d 33.0% 31.5% 34.0% 32.2% 31.5% Term Structure 3.6% -22.8% 22.2% -14.2% -22.8% VWIV 46.9% 37.0% 57.2% 46.3% 55.0% Bid-Ask Spread % 31.30 13.19 89.24 15.04 14.60 Gamma HHI 0.86 0.50 0.99 0.51 0.97 Net GEX 1.9K -219 2.8K -219 2.8K Net DEX -151.3K -194.4K -88.4K -88.4K -152.8K Net VEX -645 -870 -289 -289 -696 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.42 0.00 26.67 0.00 0.00 Total Volume 36.409 0 177 21 36 Total OI 754.682 499 909 499 909
Daily Data (22 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 2007-05-01 $5.91 $5.00 47.9% 13.7% 36.6% 0.0% 46.3% 0.0% -14.2% -219 -88.4K -289 0.00 15.04 N/A N/A 21 0 284 215 2007-05-02 $5.99 $5.00 52.9% 15.2% 35.8% 0.0% 52.9% 0.0% -17.2% -81 -106.2K -300 0.00 16.49 N/A N/A 19 0 305 215 2007-05-03 $6.15 $5.00 58.0% 16.6% 36.1% 0.0% 57.2% 0.0% -19.4% 335 -99.0K -398 0.00 15.89 N/A N/A 35 0 299 215 2007-05-04 $6.25 $5.00 62.6% 11.1% 35.9% 0.0% 0.0% 0.0% -3.1% 364 -98.5K -412 0.00 88.60 N/A N/A 16 0 292 215 2007-05-07 $6.46 $5.00 44.5% 9.7% 37.0% 0.0% 43.8% 0.0% 14.4% 661 -113.3K -424 0.00 89.24 N/A N/A 177 0 305 215 2007-05-08 $6.57 $5.00 43.7% 11.7% 36.9% 0.0% 0.0% 0.0% 17.2% 1.4K -177.4K -589 0.00 59.83 N/A N/A 46 0 443 215 2007-05-09 $6.59 $5.00 50.4% 9.0% 36.9% 0.0% 37.6% 0.0% 18.8% 1.5K -175.8K -591 0.00 60.44 N/A N/A 158 0 437 215 2007-05-10 $6.27 $5.00 33.8% 9.7% 42.5% 0.0% 0.0% 0.0% 14.1% 2.2K -180.5K -726 0.00 60.66 N/A N/A 58 0 548 215 2007-05-11 $6.25 $5.00 42.5% 12.2% 42.4% 0.0% 0.0% 0.0% 20.6% 2.5K -187.2K -768 0.00 88.60 N/A N/A 0 0 596 215 2007-05-14 $6.27 $5.00 33.6% 9.6% 41.6% 0.0% 37.0% 0.0% 17.8% 2.5K -194.4K -767 0.25 13.38 N/A N/A 20 5 596 215 2007-05-15 $6.21 $5.00 41.1% 11.8% 41.9% 0.0% 0.0% 0.0% -5.8% 2.4K -180.7K -800 0.00 14.29 N/A N/A 15 0 611 220 2007-05-16 $6.34 $5.00 28.8% 8.3% 42.2% 0.0% 0.0% 0.0% 22.1% 2.5K -185.9K -797 0.00 15.46 N/A N/A 10 0 608 220 2007-05-17 $6.28 $5.00 33.0% 9.5% 40.1% 0.0% 0.0% 0.0% 20.5% 2.5K -188.5K -794 0.00 13.38 N/A N/A 4 0 608 220 2007-05-18 $6.32 $5.00 34.6% 9.9% 39.9% 0.0% 0.0% 0.0% 22.2% 2.6K -193.4K -753 0.00 14.34 N/A N/A 1 0 608 220 2007-05-21 $6.43 $5.00 29.6% 8.5% 39.6% 0.0% 45.4% 0.0% 20.1% 2.5K -176.1K -789 26.67 13.19 N/A N/A 3 80 569 219 2007-05-22 $6.45 $7.50 29.8% 8.5% 39.3% 0.0% 0.0% 0.0% 18.7% 2.5K -130.4K -788 0.00 14.53 N/A N/A 49 0 566 294 2007-05-23 $6.41 $7.50 32.9% 9.4% 39.4% 0.0% 0.0% 0.0% 15.2% 2.6K -144.5K -870 0.00 16.13 N/A N/A 2 0 615 294 2007-05-24 $6.15 $7.50 48.2% 13.8% 41.5% 0.0% 0.0% 0.0% -14.8% 2.5K -127.5K -673 0.00 15.89 N/A N/A 0 0 615 294 2007-05-25 $6.14 $7.50 49.8% 14.3% 35.3% 0.0% 0.0% 0.0% -12.1% 2.5K -144.3K -679 0.00 15.89 N/A N/A 0 0 615 270 2007-05-29 $6.14 $7.50 55.1% 15.8% 34.6% 0.0% 55.0% 0.0% -20.2% 2.6K -137.1K -640 0.00 17.50 N/A N/A 4 0 615 270 2007-05-30 $6.20 $7.50 53.3% 15.3% 32.0% 0.0% 0.0% 0.0% -13.1% 2.6K -147.1K -638 0.00 15.18 N/A N/A 42 0 618 270 2007-05-31 $6.20 $7.50 59.3% 17.0% 31.7% 0.0% 0.0% 0.0% -22.8% 2.8K -152.8K -696 0.00 14.60 N/A N/A 36 0 639 270
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