ACTU Options History — July 2007

In July 2007, ACTU traded between $5.92 and $6.99. ATM implied volatility averaged 47.3%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 8.9% (HV 20d: 38.5%). 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 12 of 21 days. Put/call ratio averaged 0.02.

Notable Days

2007-07-27: Highest Volume — 178 contracts
2007-07-23: Largest IV spike — 50.5% change
2007-07-27: Highest IV Rank — 42.8%
2007-07-27: Largest Expected Move — 18.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.63	$5.92	$6.99	$6.80	$6.48
Max Pain	$5.36	$5.00	$7.50	$5.00	$5.00
ATM IV	47.3%	36.3%	63.2%	36.3%	39.9%
Expected Move	13.6%	10.4%	18.1%	10.4%	11.4%
HV 20d	38.5%	33.4%	44.2%	40.6%	44.2%
HV 60d	36.8%	35.6%	38.6%	35.8%	38.6%
IV Rank	24.4%	10.9%	42.8%	14.0%	13.8%
IV Percentile	49.3%	10.9%	93.7%	17.5%	16.7%
Term Structure	1.2%	-34.0%	17.2%	9.3%	13.1%
VWIV	53.5%	37.0%	69.4%	37.0%	64.3%
Bid-Ask Spread %	68.98	19.18	107.84	60.61	89.62
Gamma HHI	0.83	0.70	0.91	0.88	0.70
Net GEX	8.9K	5.9K	12.1K	8.9K	9.1K
Net DEX	-403.2K	-500.8K	-209.6K	-410.6K	-428.5K
Net VEX	-1.3K	-1.4K	-917	-1.2K	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.02	0.00	0.42	0.00	0.00
Total Volume	59.476	0	178	106	27
Total OI	1,354.857	1,117	1,580	1,304	1,297

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
2007-07-02	$6.80	$5.00	36.3%	10.4%	40.6%	0.0%	0.0%	0.0%	9.3%	8.9K	-410.6K	-1.2K	0.00	60.61	N/A	N/A	106	0	1,086	218
2007-07-03	$6.79	$5.00	37.2%	10.7%	39.9%	0.0%	37.0%	0.0%	11.3%	9.2K	-444.0K	-1.3K	0.00	63.35	N/A	N/A	36	0	1,173	218
2007-07-05	$6.70	$5.00	40.1%	11.5%	40.2%	14.0%	60.8%	0.0%	6.6%	8.1K	-397.1K	-1.2K	0.00	60.01	N/A	N/A	3	0	1,099	218
2007-07-06	$6.63	$7.50	42.3%	13.7%	37.9%	16.8%	0.0%	0.0%	-0.2%	7.9K	-384.0K	-1.1K	0.42	45.92	N/A	N/A	24	10	1,101	218
2007-07-09	$6.99	$7.50	38.2%	14.7%	41.5%	11.7%	51.2%	0.0%	0.2%	9.7K	-459.0K	-1.1K	0.00	27.87	N/A	N/A	166	0	1,088	214
2007-07-10	$6.88	$7.50	55.9%	14.7%	41.3%	33.6%	47.3%	0.0%	-4.1%	9.8K	-448.8K	-1.3K	0.00	23.20	N/A	N/A	82	0	1,183	214
2007-07-11	$6.90	$5.00	55.4%	13.4%	40.3%	33.0%	46.7%	0.0%	4.9%	10.5K	-493.0K	-1.4K	0.00	35.43	N/A	N/A	15	0	1,243	214
2007-07-12	$6.94	$5.00	55.5%	15.9%	37.9%	33.2%	52.7%	0.0%	-4.6%	10.9K	-500.8K	-1.4K	0.00	19.18	N/A	N/A	71	0	1,257	214
2007-07-13	$6.89	$5.00	54.2%	15.5%	38.0%	31.5%	0.0%	0.0%	-7.0%	12.1K	-494.1K	-1.3K	0.00	24.83	N/A	N/A	80	0	1,317	214
2007-07-16	$6.82	$5.00	51.9%	14.9%	38.1%	28.8%	52.1%	0.0%	-1.7%	11.3K	-449.9K	-1.3K	0.02	35.78	N/A	N/A	138	3	1,290	214
2007-07-17	$6.70	$5.00	48.0%	13.8%	37.1%	23.8%	48.6%	0.0%	-0.3%	8.7K	-431.8K	-1.4K	0.00	96.31	N/A	N/A	77	0	1,363	217
2007-07-18	$6.70	$5.00	44.2%	12.7%	35.2%	19.2%	49.3%	0.0%	17.2%	8.6K	-424.0K	-1.4K	0.00	88.90	N/A	N/A	2	0	1,362	217
2007-07-19	$6.86	$5.00	46.8%	13.4%	34.9%	22.3%	0.0%	0.0%	2.9%	9.5K	-459.1K	-1.4K	0.00	96.40	N/A	N/A	20	0	1,362	217
2007-07-20	$6.57	$5.00	37.6%	10.8%	38.6%	10.9%	0.0%	0.0%	16.4%	8.4K	-410.1K	-1.3K	0.00	107.61	N/A	N/A	25	0	1,352	217
2007-07-23	$6.56	$5.00	56.5%	16.2%	37.4%	34.5%	0.0%	0.0%	-5.8%	8.6K	-362.9K	-1.3K	0.00	93.73	N/A	N/A	0	0	1,101	16
2007-07-24	$6.37	$5.00	45.9%	13.2%	39.1%	21.2%	0.0%	0.0%	5.8%	7.0K	-312.7K	-1.2K	0.00	107.84	N/A	N/A	25	0	1,101	16
2007-07-25	$6.38	$5.00	44.3%	12.7%	34.6%	19.3%	0.0%	0.0%	4.7%	8.0K	-314.2K	-1.3K	0.00	107.84	N/A	N/A	20	0	1,106	16
2007-07-26	$6.13	$5.00	55.3%	15.8%	33.4%	32.9%	55.6%	0.0%	-18.1%	5.9K	-279.0K	-1.2K	0.00	90.19	N/A	N/A	74	0	1,111	16
2007-07-27	$5.92	$5.00	63.2%	18.1%	34.6%	42.8%	69.4%	0.0%	-34.0%	6.8K	-209.6K	-917	0.00	84.58	N/A	N/A	178	0	1,107	16
2007-07-30	$6.32	$5.00	45.5%	13.0%	43.1%	20.8%	60.5%	0.0%	9.6%	7.8K	-353.9K	-1.2K	0.00	89.36	N/A	N/A	67	0	1,233	16
2007-07-31	$6.48	$5.00	39.9%	11.4%	44.2%	13.8%	64.3%	0.0%	13.1%	9.1K	-428.5K	-1.4K	0.00	89.62	N/A	N/A	27	0	1,281	16