ACTU Options History — August 2007

In August 2007, ACTU traded between $5.92 and $7.09. ATM implied volatility averaged 57.7%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 3.2% (HV 20d: 54.4%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.22.

Notable Days

  • 2007-08-17: Highest Volume — 108 contracts
  • 2007-08-13: Largest IV spike — 87.6% change
  • 2007-08-13: Highest IV Rank — 100.0%
  • 2007-08-13: Largest Expected Move — 23.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.53$5.92$7.09$6.59$7.09
Max Pain$5.87$5.00$7.50$5.00$7.50
ATM IV57.7%33.6%148.3%38.6%48.1%
Expected Move12.7%9.6%23.8%11.1%13.8%
HV 20d54.4%44.5%62.5%44.7%47.1%
HV 60d43.6%38.0%46.0%38.2%45.1%
IV Rank30.2%4.1%100.0%12.2%16.2%
IV Percentile53.7%4.3%100.0%12.4%47.9%
Term Structure3.8%-43.0%23.3%10.3%-0.6%
VWIV52.9%36.8%66.4%66.4%50.4%
Bid-Ask Spread %104.3389.92187.3989.9490.58
Gamma HHI0.720.530.790.730.79
Net GEX9.0K5.7K12.0K8.9K12.0K
Net DEX-390.0K-490.4K-247.8K-436.1K-490.4K
Net VEX-1.2K-1.5K-679-1.3K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.002.800.000.00
Total Volume35.13010874
Total OI1,282.5651,1881,3871,2941,387

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$6.59$5.0038.6%11.1%44.7%12.2%0.0%0.0%10.3%8.9K-436.1K-1.3K0.0089.94N/AN/A701,27816
2007-08-02$6.61$5.0036.7%10.5%44.5%9.9%66.4%0.0%23.3%9.8K-453.3K-1.4K0.0089.92N/AN/A5401,28516
2007-08-03$6.19$5.0065.7%18.8%50.1%45.8%61.8%0.0%-25.1%7.6K-357.5K-1.2K0.0091.17N/AN/A3001,30116
2007-08-06$6.29$5.0055.9%10.2%46.2%33.7%43.8%0.0%15.3%7.7K-368.9K-1.2K0.00108.75N/AN/A701,27616
2007-08-07$6.27$5.0053.4%10.2%46.0%30.5%0.0%0.0%15.6%7.7K-364.0K-1.2K0.00107.51N/AN/A001,27616
2007-08-08$5.99$5.0073.8%11.1%48.1%55.9%0.0%0.0%1.1%6.7K-320.2K-1.1K0.00107.76N/AN/A1801,27616
2007-08-09$5.92$5.0072.1%11.1%47.9%53.8%0.0%0.0%-0.4%5.7K-247.8K-6790.00107.86N/AN/A1501,29216
2007-08-10$6.34$5.0060.2%10.4%55.1%39.0%0.0%0.0%16.8%7.5K-369.3K-1.2K0.00107.56N/AN/A10001,28116
2007-08-13$6.66$5.00113.0%23.8%58.2%100.0%58.0%0.0%-43.0%8.8K-436.8K-1.3K0.00122.51N/AN/A3301,30116
2007-08-14$6.30$5.0082.2%10.7%61.1%63.4%0.0%0.0%13.7%7.8K-363.2K-1.2K0.00107.63N/AN/A501,27116
2007-08-15$6.10$5.00148.3%12.5%61.9%100.0%36.8%0.0%14.0%7.2K-293.5K-9760.00107.74N/AN/A0201,27116
2007-08-16$6.30$5.0039.2%11.2%62.5%8.7%0.0%0.0%18.1%6.8K-352.9K-1.2K1.67187.39N/AN/A12201,27136
2007-08-17$6.29$5.0038.5%11.0%60.8%8.1%0.0%0.0%12.3%8.0K-325.3K-1.1K0.00107.63N/AN/A10801,27136
2007-08-20$6.53$5.0041.9%12.0%62.4%11.0%0.0%0.0%-1.7%8.7K-351.2K-1.3K0.0090.46N/AN/A1001,15236
2007-08-21$6.61$5.0039.7%11.4%61.6%9.2%50.4%0.0%2.3%9.1K-380.5K-1.3K0.0090.13N/AN/A5001,16236
2007-08-22$6.70$7.5048.1%13.8%61.7%16.2%0.0%0.0%-1.2%9.8K-401.3K-1.3K0.0096.50N/AN/A5701,17836
2007-08-23$6.74$7.5033.6%9.6%59.6%4.1%0.0%0.0%13.2%10.5K-391.4K-1.3K0.00109.16N/AN/A4001,21436
2007-08-24$6.85$7.5047.5%13.6%57.9%15.6%0.0%0.0%-3.2%11.1K-410.9K-1.4K0.0096.32N/AN/A2501,21336
2007-08-27$6.95$7.5045.7%13.1%53.8%14.2%0.0%0.0%1.2%11.6K-457.2K-1.3K0.0097.40N/AN/A901,22336
2007-08-28$6.87$7.5049.3%14.1%53.5%17.2%0.0%0.0%-1.1%11.2K-449.3K-1.3K0.0098.07N/AN/A001,22436
2007-08-29$6.99$7.5047.4%13.6%53.5%15.6%0.0%0.0%2.2%11.5K-473.9K-1.3K2.8097.35N/AN/A25701,22036
2007-08-30$7.08$7.5047.1%13.5%53.6%15.3%0.0%0.0%3.6%10.9K-475.4K-1.5K0.0090.16N/AN/A8901,234106
2007-08-31$7.09$7.5048.1%13.8%47.1%16.2%0.0%0.0%-0.6%12.0K-490.4K-1.5K0.0090.58N/AN/A401,281106