ACTU Options History — June 2007 In June 2007, ACTU traded between $6.06 and $6.79. ATM implied volatility averaged 59.8%. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 25.8% (HV 20d: 33.9%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2007-06-25 : Highest Volume — 101 contracts2007-06-11 : Largest IV spike — 81.1% change2007-06-25 : Largest Expected Move — 17.9%Monthly Statistics Metric Avg Min Max Open Close Price $6.34 $6.06 $6.79 $6.28 $6.79 Max Pain $5.12 $5.00 $7.50 $7.50 $5.00 ATM IV 59.8% 40.2% 109.3% 49.7% 45.9% Expected Move 14.3% 11.5% 17.9% 14.3% 13.2% HV 20d 33.9% 27.8% 41.5% 30.7% 41.4% HV 60d 33.8% 31.4% 36.3% 31.4% 35.9% Term Structure -3.2% -12.5% 8.8% 1.1% -7.3% VWIV 52.9% 35.3% 69.1% 57.3% 52.0% Bid-Ask Spread % 46.28 16.01 55.16 16.01 27.60 Gamma HHI 0.87 0.82 0.97 0.97 0.87 Net GEX 5.0K 3.2K 7.9K 3.2K 7.9K Net DEX -256.8K -395.4K -152.3K -152.3K -395.4K Net VEX -1.0K -1.2K -792 -792 -1.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.03 0.02 0.00 Total Volume 35.81 0 101 44 58 Total OI 1,141.048 922 1,277 922 1,277
Daily Data (21 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 2007-06-01 $6.28 $7.50 49.7% 14.3% 30.7% 0.0% 57.3% 0.0% 1.1% 3.2K -152.3K -792 0.02 16.01 N/A N/A 43 1 652 270 2007-06-04 $6.45 $5.00 51.4% 13.6% 31.6% 0.0% 0.0% 0.0% -0.9% 3.2K -186.2K -854 0.03 53.73 N/A N/A 97 3 683 271 2007-06-05 $6.34 $5.00 52.6% 12.4% 29.9% 0.0% 50.8% 0.0% -0.7% 3.8K -203.1K -933 0.00 55.16 N/A N/A 74 0 755 274 2007-06-06 $6.41 $5.00 45.5% 13.5% 29.5% 0.0% 0.0% 0.0% 1.6% 4.3K -223.3K -1.1K 0.00 51.46 N/A N/A 40 0 826 274 2007-06-07 $6.18 $5.00 75.3% 14.6% 32.0% 0.0% 0.0% 0.0% 5.2% 4.2K -213.4K -973 0.00 53.20 N/A N/A 55 0 856 274 2007-06-08 $6.30 $5.00 59.4% 12.6% 27.8% 0.0% 0.0% 0.0% -3.5% 4.7K -239.3K -1.1K 0.00 53.12 N/A N/A 0 0 891 274 2007-06-11 $6.19 $5.00 107.5% 15.2% 28.5% 0.0% 0.0% 0.0% 8.8% 4.3K -233.4K -1.0K 0.00 51.75 N/A N/A 0 0 891 274 2007-06-12 $6.07 $5.00 109.3% 14.9% 29.2% 0.0% 0.0% 0.0% 7.4% 4.0K -214.4K -928 0.00 52.88 N/A N/A 10 0 891 274 2007-06-13 $6.34 $5.00 92.4% 13.1% 33.1% 0.0% 0.0% 0.0% -3.8% 4.9K -244.6K -1.1K 0.00 54.07 N/A N/A 5 0 892 274 2007-06-14 $6.40 $5.00 40.2% 11.5% 32.5% 0.0% 0.0% 0.0% 1.2% 4.9K -249.2K -1.1K 0.00 35.99 N/A N/A 0 0 897 274 2007-06-15 $6.35 $5.00 45.2% 13.0% 32.4% 0.0% 0.0% 0.0% -2.8% 4.9K -251.9K -1.1K 0.00 52.79 N/A N/A 40 0 897 274 2007-06-18 $6.17 $5.00 56.5% 16.2% 34.0% 0.0% 0.0% 0.0% -8.4% 4.5K -243.0K -963 0.00 49.50 N/A N/A 25 0 866 218 2007-06-19 $6.39 $5.00 45.7% 13.1% 35.8% 0.0% 0.0% 0.0% -7.4% 5.3K -275.0K -1.1K 0.00 48.79 N/A N/A 57 0 891 218 2007-06-20 $6.26 $5.00 47.6% 13.7% 36.5% 0.0% 0.0% 0.0% -8.4% 5.5K -284.0K -1.1K 0.00 48.03 N/A N/A 0 0 948 218 2007-06-21 $6.20 $5.00 61.2% 17.5% 36.5% 0.0% 0.0% 0.0% -10.5% 5.1K -270.1K -1.0K 0.00 48.60 N/A N/A 6 0 948 218 2007-06-22 $6.06 $5.00 57.8% 16.6% 34.4% 0.0% 0.0% 0.0% 2.1% 4.6K -237.0K -910 0.00 49.64 N/A N/A 0 0 953 218 2007-06-25 $6.12 $5.00 62.3% 17.9% 34.6% 0.0% 69.1% 0.0% -11.7% 4.8K -244.2K -918 0.00 52.76 N/A N/A 101 0 953 218 2007-06-26 $6.44 $5.00 57.9% 16.6% 39.1% 0.0% 35.3% 0.0% -12.5% 6.7K -295.7K -1.1K 0.00 41.95 N/A N/A 33 0 986 218 2007-06-27 $6.72 $5.00 45.0% 12.9% 41.5% 0.0% 52.8% 0.0% -7.5% 7.1K -347.4K -1.2K 0.01 41.96 N/A N/A 74 1 1,001 218 2007-06-28 $6.78 $5.00 46.8% 13.4% 41.5% 0.0% 0.0% 0.0% -8.7% 7.4K -389.3K -1.2K 0.00 32.96 N/A N/A 29 0 1,039 218 2007-06-29 $6.79 $5.00 45.9% 13.2% 41.4% 0.0% 52.0% 0.0% -7.3% 7.9K -395.4K -1.2K 0.00 27.60 N/A N/A 58 0 1,059 218
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