ACTU Options History — September 2007 In September 2007, ACTU traded between $6.38 and $7.02. ATM implied volatility averaged 41.6%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 4.8% (HV 20d: 36.8%). Max pain ranged from $2.50 to $7.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2007-09-24 : Highest Volume — 47 contracts2007-09-24 : Largest IV spike — 51.5% change2007-09-25 : Highest IV Rank — 19.3%2007-09-25 : Largest Expected Move — 14.8%Monthly Statistics Metric Avg Min Max Open Close Price $6.60 $6.38 $7.02 $7.02 $6.45 Max Pain $3.29 $2.50 $7.50 $7.50 $2.50 ATM IV 41.6% 31.2% 51.8% 50.3% 37.7% Expected Move 12.1% 8.9% 14.8% 14.4% 10.8% HV 20d 36.8% 31.6% 47.6% 47.3% 31.6% HV 60d 44.7% 43.2% 45.8% 45.0% 43.8% IV Rank 10.7% 2.0% 19.3% 18.0% 7.5% IV Percentile 28.4% 2.2% 66.7% 57.1% 12.4% Term Structure 5.0% -8.1% 22.2% -1.6% 13.9% VWIV 41.5% 28.9% 54.4% 28.9% 34.6% Bid-Ask Spread % 93.62 66.57 109.94 99.11 93.26 Gamma HHI 0.75 0.72 0.79 0.79 0.73 Net GEX 10.7K 9.3K 11.9K 11.9K 9.5K Net DEX -351.6K -474.9K -284.0K -474.9K -284.0K Net VEX -1.2K -1.5K -1.0K -1.4K -1.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.02 0.00 0.00 Total Volume 10.737 0 47 11 0 Total OI 1,423.263 1,386 1,458 1,386 1,412
Daily Data (19 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 2007-09-04 $7.02 $7.50 50.3% 14.4% 47.3% 18.0% 0.0% 0.0% -1.6% 11.9K -474.9K -1.4K 0.00 99.11 N/A N/A 11 0 1,280 106 2007-09-05 $6.94 $7.50 31.4% 9.0% 47.6% 2.2% 28.9% 0.0% 22.2% 11.3K -446.6K -1.5K 0.00 93.04 N/A N/A 40 0 1,291 106 2007-09-06 $6.90 $7.50 34.0% 9.8% 43.9% 4.4% 0.0% 0.0% 19.0% 11.9K -443.3K -1.4K 0.00 91.91 N/A N/A 0 0 1,323 106 2007-09-07 $6.63 $2.50 39.3% 14.5% 46.6% 8.8% 0.0% 0.0% -2.7% 10.5K -378.3K -1.4K 0.00 92.18 N/A N/A 0 0 1,323 106 2007-09-10 $6.43 $2.50 46.8% 13.1% 41.9% 15.1% 54.4% 0.0% -6.2% 9.5K -347.7K -1.3K 0.00 90.77 N/A N/A 21 0 1,323 106 2007-09-11 $6.70 $2.50 41.5% 13.3% 40.7% 10.6% 0.0% 0.0% 1.1% 11.2K -367.7K -1.4K 0.00 98.56 N/A N/A 0 0 1,329 106 2007-09-12 $6.63 $2.50 48.0% 12.7% 35.3% 16.1% 35.4% 0.0% -6.5% 10.8K -377.6K -1.3K 0.00 93.27 N/A N/A 0 1 1,329 106 2007-09-13 $6.43 $2.50 48.5% 13.9% 35.1% 16.5% 45.0% 0.0% -6.0% 9.3K -335.2K -1.3K 0.00 100.99 N/A N/A 1 0 1,329 107 2007-09-14 $6.60 $2.50 41.4% 11.9% 34.5% 10.6% 0.0% 0.0% -3.8% 11.2K -356.3K -1.3K 0.00 98.83 N/A N/A 2 0 1,330 107 2007-09-17 $6.54 $2.50 49.0% 14.0% 34.7% 16.9% 40.5% 0.0% -8.1% 9.8K -361.0K -1.3K 0.00 91.68 N/A N/A 0 1 1,329 107 2007-09-18 $6.51 $2.50 34.8% 10.0% 32.1% 5.0% 37.4% 0.0% 11.6% 10.3K -303.9K -1.1K 0.00 109.94 N/A N/A 10 0 1,329 107 2007-09-19 $6.61 $2.50 31.2% 8.9% 32.3% 2.0% 0.0% 0.0% 17.6% 11.3K -303.6K -1.1K 0.00 91.93 N/A N/A 2 0 1,329 107 2007-09-20 $6.63 $2.50 39.7% 11.4% 31.9% 9.1% 45.6% 0.0% 1.0% 11.5K -350.6K -1.2K 0.00 93.08 N/A N/A 27 0 1,331 107 2007-09-21 $6.60 $2.50 34.0% 9.7% 31.8% 4.3% 0.0% 0.0% 17.8% 11.5K -316.1K -1.1K 0.00 92.95 N/A N/A 5 0 1,351 107 2007-09-24 $6.38 $2.50 51.4% 14.7% 33.2% 19.0% 51.4% 0.0% 1.1% 10.1K -313.4K -1.1K 0.02 93.19 N/A N/A 46 1 1,300 87 2007-09-25 $6.45 $2.50 51.8% 14.8% 32.9% 19.3% 0.0% 0.0% -0.2% 10.7K -324.8K -1.1K 0.00 93.26 N/A N/A 12 0 1,320 88 2007-09-26 $6.50 $2.50 39.7% 11.4% 33.0% 9.1% 34.6% 0.0% 12.7% 10.6K -307.1K -1.1K 0.00 94.21 N/A N/A 22 0 1,320 88 2007-09-27 $6.46 $2.50 39.8% 11.4% 32.2% 9.2% 0.0% 0.0% 12.2% 9.6K -288.1K -1.0K 0.00 66.57 N/A N/A 2 0 1,322 88 2007-09-28 $6.45 $2.50 37.7% 10.8% 31.6% 7.5% 0.0% 0.0% 13.9% 9.5K -284.0K -1.0K 0.00 93.26 N/A N/A 0 0 1,324 88
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