ACTU Options History — October 2007

In October 2007, ACTU traded between $6.51 and $8.79. ATM implied volatility averaged 50.3%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 14.4% (HV 20d: 35.9%). Max pain ranged from $2.50 to $7.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-10-30: Highest Volume — 1,069 contracts
  • 2007-10-30: Largest IV drop — 36.3% change
  • 2007-10-29: Highest IV Rank — 37.4%
  • 2007-10-29: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.40$6.51$8.79$6.55$8.79
Max Pain$4.88$2.50$7.50$2.50$5.00
ATM IV50.3%34.0%73.5%38.0%42.9%
Expected Move14.8%9.8%21.1%10.9%12.3%
HV 20d35.9%28.7%70.0%32.3%69.8%
HV 60d43.8%40.2%52.7%43.8%52.7%
IV Rank18.0%4.4%37.4%7.7%11.8%
IV Percentile56.6%6.8%96.1%12.8%29.2%
Term Structure1.7%-20.0%18.4%17.0%12.6%
VWIV55.2%30.7%78.1%73.2%51.4%
Bid-Ask Spread %90.9365.87112.5393.58110.54
Gamma HHI0.870.670.940.760.67
Net GEX31.5K5.5K55.2K10.8K41.8K
Net DEX-1.0M-2.9M-261.9K-305.1K-2.9M
Net VEX-2.6K-5.7K-851-1.0K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.020.000.00
Total Volume306.73901,0690120
Total OI2,460.6091,3994,6831,4124,683

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$6.55$2.5038.0%10.9%32.3%7.7%0.0%0.0%17.0%10.8K-305.1K-1.0K0.0093.58N/AN/A001,32488
2007-10-02$6.53$2.5041.0%11.8%32.2%10.2%73.2%0.0%16.1%10.7K-305.2K-1.0K0.0094.64N/AN/A501,32488
2007-10-03$6.51$2.5034.9%10.0%32.1%5.1%0.0%0.0%13.9%5.5K-261.9K-8510.0093.39N/AN/A001,32488
2007-10-04$6.79$2.5034.0%9.8%35.9%4.4%30.7%0.0%18.4%14.0K-342.1K-1.0K0.0090.05N/AN/A2301,32488
2007-10-05$7.00$0.0040.9%14.1%34.4%10.2%0.0%0.0%-4.0%17.2K-410.7K-1.1K0.0092.59N/AN/A4701,31188
2007-10-08$7.25$0.0048.3%15.7%33.8%16.3%54.6%0.0%-2.5%20.1K-509.5K-1.1K0.0285.41N/AN/A503121,31288
2007-10-09$7.31$5.0049.3%16.2%31.2%17.1%56.7%0.0%-1.4%23.5K-581.8K-1.4K0.0081.24N/AN/A35501,523100
2007-10-10$7.38$5.0045.6%14.9%30.7%14.0%52.1%0.0%3.2%30.6K-716.5K-1.8K0.0188.67N/AN/A7711,843100
2007-10-11$7.20$7.5053.9%15.5%29.9%21.0%54.0%0.0%1.3%29.8K-623.7K-1.7K0.0086.23N/AN/A9401,851101
2007-10-12$7.34$7.5053.6%15.4%29.4%20.7%0.0%0.0%1.7%34.0K-666.9K-1.8K0.0088.52N/AN/A11201,835101
2007-10-15$7.34$7.5054.5%15.6%28.9%21.5%54.6%0.0%2.2%40.9K-689.6K-1.8K0.0183.63N/AN/A20221,908101
2007-10-16$7.42$5.0052.5%15.1%28.7%19.9%52.5%0.0%3.7%43.4K-764.2K-1.9K0.0088.42N/AN/A10601,953100
2007-10-17$7.69$5.0049.0%14.0%30.4%16.9%49.0%0.0%-0.1%36.4K-896.1K-1.8K0.0193.87N/AN/A740101,894100
2007-10-18$7.73$5.0049.6%14.2%30.4%17.4%49.9%0.0%-1.1%47.0K-1.1M-2.2K0.0091.43N/AN/A96212,20591
2007-10-19$7.35$5.0067.3%19.3%36.6%32.2%67.2%0.0%-15.7%55.2K-1.1M-3.3K0.0079.16N/AN/A90602,93091
2007-10-22$7.45$5.0056.6%16.2%33.6%23.3%56.6%0.0%-2.0%31.4K-1.2M-3.9K0.0082.37N/AN/A18802,93377
2007-10-23$7.58$5.0052.4%15.0%33.7%19.7%52.4%0.0%-1.0%36.0K-1.2M-4.0K0.00100.82N/AN/A26502,98277
2007-10-24$7.64$5.0054.6%15.7%33.7%21.6%54.6%0.0%-2.3%39.0K-1.4M-4.3K0.0065.87N/AN/A5603,24677
2007-10-25$7.57$5.0056.3%16.1%33.9%23.0%56.2%0.0%1.1%41.3K-1.3M-4.3K0.00112.53N/AN/A14503,27277
2007-10-26$7.75$5.0061.4%17.6%34.1%27.3%61.4%0.0%-6.1%37.7K-1.6M-4.5K0.0088.24N/AN/A68203,41077
2007-10-29$7.38$5.0073.5%21.1%39.8%37.4%78.1%0.0%-20.0%42.0K-1.6M-5.2K0.0188.67N/AN/A36934,03277
2007-10-30$8.74$5.0046.8%13.4%70.0%15.1%44.2%0.0%4.5%35.9K-2.8M-5.1K0.00111.54N/AN/A1,06634,22080
2007-10-31$8.79$5.0042.9%12.3%69.8%11.8%51.4%0.0%12.6%41.8K-2.9M-5.7K0.00110.54N/AN/A12004,60182