ACTU Options History — December 2007

In December 2007, ACTU traded between $6.93 and $8.01. ATM implied volatility averaged 52.3%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 7.3% (HV 20d: 45.0%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.14.

Notable Days

2007-12-17: Highest Volume — 118 contracts
2007-12-06: Largest IV spike — 10.4% change
2007-12-17: Highest IV Rank — 22.7%
2007-12-17: Largest Expected Move — 16.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.54	$6.93	$8.01	$7.33	$7.77
Max Pain	$5.50	$5.00	$7.50	$7.50	$5.00
ATM IV	52.3%	49.4%	56.0%	52.9%	50.7%
Expected Move	15.1%	14.2%	16.0%	15.2%	14.5%
HV 20d	45.0%	29.8%	58.6%	58.2%	49.0%
HV 60d	60.0%	58.4%	62.8%	59.5%	62.5%
IV Rank	19.6%	17.3%	22.7%	20.2%	18.4%
IV Percentile	61.9%	48.0%	80.1%	65.4%	55.2%
Term Structure	4.8%	-0.2%	8.2%	-0.2%	6.8%
VWIV	54.8%	49.5%	67.8%	54.6%	50.6%
Bid-Ask Spread %	72.35	47.78	94.24	91.22	67.71
Gamma HHI	0.87	0.84	0.91	0.84	0.91
Net GEX	65.1K	49.7K	93.3K	52.3K	86.4K
Net DEX	-1.6M	-2.2M	-1.1M	-1.4M	-1.9M
Net VEX	-4.1K	-4.7K	-3.4K	-4.5K	-3.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.14	0.00	0.89	0.00	0.14
Total Volume	31.25	0	118	5	16
Total OI	4,550.55	4,444	4,653	4,444	4,503

Daily Data (20 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
2007-12-03	$7.33	$7.50	52.9%	15.2%	58.2%	20.2%	0.0%	0.0%	-0.2%	52.3K	-1.4M	-4.5K	0.00	91.22	N/A	N/A	5	0	4,353	91
2007-12-04	$7.42	$7.50	52.8%	15.1%	58.6%	20.1%	0.0%	0.0%	3.0%	53.0K	-1.5M	-4.5K	0.89	94.24	N/A	N/A	56	50	4,355	91
2007-12-05	$7.59	$7.50	49.6%	14.2%	58.3%	17.4%	0.0%	0.0%	7.4%	53.7K	-1.6M	-4.7K	0.00	92.46	N/A	N/A	12	0	4,370	141
2007-12-06	$7.76	$7.50	54.7%	15.7%	52.4%	21.7%	54.6%	0.0%	0.5%	58.1K	-1.8M	-4.7K	0.17	94.16	N/A	N/A	24	4	4,380	141
2007-12-07	$7.60	$5.00	50.4%	15.6%	52.9%	18.1%	56.3%	0.0%	4.5%	57.3K	-1.7M	-4.6K	0.06	47.78	N/A	N/A	16	1	4,384	145
2007-12-10	$7.59	$5.00	53.5%	15.7%	47.4%	20.7%	67.8%	0.0%	4.0%	58.7K	-1.7M	-4.4K	0.05	64.87	N/A	N/A	55	3	4,385	145
2007-12-11	$7.39	$5.00	52.7%	15.5%	48.3%	20.0%	57.5%	0.0%	4.5%	57.4K	-1.5M	-4.4K	0.00	65.62	N/A	N/A	12	0	4,420	145
2007-12-12	$7.54	$5.00	55.1%	15.6%	31.2%	22.1%	54.4%	0.0%	3.3%	59.7K	-1.6M	-4.4K	0.00	66.66	N/A	N/A	13	0	4,412	145
2007-12-13	$7.48	$5.00	53.9%	15.4%	29.8%	21.0%	0.0%	0.0%	3.8%	60.3K	-1.6M	-4.3K	0.67	68.25	N/A	N/A	3	2	4,412	145
2007-12-14	$7.41	$5.00	52.1%	14.9%	29.8%	19.5%	52.1%	0.0%	5.6%	60.9K	-1.5M	-4.2K	0.00	69.97	N/A	N/A	10	0	4,415	147
2007-12-17	$6.93	$5.00	56.0%	16.0%	37.5%	22.7%	56.1%	0.0%	0.9%	49.7K	-1.1M	-3.7K	0.74	69.25	N/A	N/A	68	50	4,415	147
2007-12-18	$7.17	$5.00	51.5%	14.8%	40.0%	19.0%	0.0%	0.0%	7.9%	57.4K	-1.2M	-4.0K	0.00	69.04	N/A	N/A	12	0	4,456	197
2007-12-19	$7.23	$5.00	50.6%	14.5%	40.2%	18.3%	50.5%	0.0%	8.2%	61.2K	-1.2M	-4.0K	0.00	73.17	N/A	N/A	12	0	4,452	197
2007-12-20	$7.51	$5.00	52.4%	15.0%	42.8%	19.8%	0.0%	0.0%	6.2%	69.2K	-1.5M	-4.1K	0.00	68.97	N/A	N/A	12	0	4,451	197
2007-12-21	$7.72	$5.00	53.4%	15.3%	43.3%	20.6%	53.0%	0.0%	4.6%	72.9K	-1.8M	-4.1K	0.00	65.95	N/A	N/A	45	0	4,454	197
2007-12-24	$7.80	$5.00	53.7%	15.4%	43.0%	20.9%	55.1%	0.0%	3.1%	75.7K	-1.9M	-3.9K	0.00	65.79	N/A	N/A	59	0	4,295	197
2007-12-26	$8.01	$5.00	49.9%	14.3%	43.0%	17.6%	0.0%	0.0%	7.6%	93.3K	-2.2M	-3.6K	0.00	70.44	N/A	N/A	10	0	4,340	197
2007-12-27	$7.62	$5.00	49.4%	14.2%	45.5%	17.3%	0.0%	0.0%	6.2%	81.0K	-1.8M	-3.6K	0.00	69.26	N/A	N/A	0	0	4,350	197
2007-12-28	$7.99	$5.00	49.8%	14.3%	48.6%	17.6%	49.5%	0.0%	8.2%	84.2K	-2.2M	-3.5K	0.00	72.09	N/A	N/A	75	0	4,350	197
2007-12-31	$7.77	$5.00	50.7%	14.5%	49.0%	18.4%	50.6%	0.0%	6.8%	86.4K	-1.9M	-3.4K	0.14	67.71	N/A	N/A	14	2	4,306	197