ACTU Options History — January 2008

In January 2008, ACTU traded between $5.70 and $7.81. ATM implied volatility averaged 56.3%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded below realized volatility by 1.3% (HV 20d: 57.6%). 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 9 of 21 days. Put/call ratio averaged 0.44.

Notable Days

2008-01-03: Highest Volume — 3,456 contracts
2008-01-29: Largest IV spike — 25.7% change
2008-01-29: Highest IV Rank — 32.2%
2008-01-29: Largest Expected Move — 19.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.59	$5.70	$7.81	$7.81	$5.70
Max Pain	$7.26	$5.00	$7.50	$5.00	$7.50
ATM IV	56.3%	46.6%	67.3%	53.6%	59.2%
Expected Move	16.5%	14.1%	19.3%	15.4%	17.0%
HV 20d	57.6%	47.4%	66.1%	47.4%	56.3%
HV 60d	63.7%	54.7%	67.9%	62.3%	54.7%
IV Rank	23.0%	14.9%	32.2%	20.8%	25.4%
IV Percentile	73.8%	35.3%	94.4%	68.5%	86.1%
Term Structure	-2.4%	-17.6%	9.9%	3.0%	6.3%
VWIV	55.6%	46.9%	60.3%	53.5%	58.9%
Bid-Ask Spread %	97.48	71.71	112.30	71.71	111.38
Gamma HHI	0.60	0.39	0.91	0.91	0.43
Net GEX	22.4K	1.5K	85.0K	85.0K	1.5K
Net DEX	-280.1K	-2.0M	192.8K	-2.0M	7.8K
Net VEX	-1.4K	-3.3K	-293	-3.3K	-293
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.00	6.00	0.16	0.00
Total Volume	189.619	0	3,456	50	60
Total OI	3,037.333	965	4,557	4,507	986

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
2008-01-02	$7.81	$5.00	53.6%	15.4%	47.4%	20.8%	53.5%	0.0%	3.0%	85.0K	-2.0M	-3.3K	0.00	71.71	N/A	N/A	0	50	4,308	199
2008-01-03	$7.66	$5.00	57.6%	16.5%	47.9%	24.1%	57.8%	0.0%	-0.9%	83.6K	-1.8M	-3.3K	0.16	74.73	N/A	N/A	2,978	478	4,308	249
2008-01-04	$7.16	$7.50	52.4%	16.5%	53.1%	19.8%	0.0%	0.0%	2.5%	51.1K	-793.8K	-2.8K	0.24	85.30	N/A	N/A	82	20	3,618	677
2008-01-07	$7.18	$7.50	55.3%	16.6%	52.3%	22.2%	0.0%	0.0%	-1.4%	50.1K	-667.0K	-2.7K	0.03	86.23	N/A	N/A	64	2	3,612	687
2008-01-08	$6.89	$7.50	46.6%	17.2%	53.7%	14.9%	60.1%	0.0%	-1.7%	40.4K	-311.8K	-2.2K	0.00	88.14	N/A	N/A	27	0	3,580	685
2008-01-09	$7.00	$7.50	50.0%	16.9%	54.2%	17.8%	0.0%	0.0%	0.2%	44.4K	-424.5K	-2.3K	0.00	87.55	N/A	N/A	32	0	3,589	685
2008-01-10	$6.91	$7.50	60.6%	17.4%	53.6%	26.6%	0.0%	0.0%	-1.2%	40.9K	-334.5K	-2.1K	0.00	88.00	N/A	N/A	2	0	3,587	685
2008-01-11	$6.47	$7.50	49.3%	14.1%	57.2%	17.1%	0.0%	0.0%	1.7%	3.5K	183.4K	-986	1.00	101.03	N/A	N/A	10	10	3,579	685
2008-01-14	$6.82	$7.50	55.2%	15.8%	61.0%	22.1%	0.0%	0.0%	3.0%	37.2K	-121.9K	-1.6K	0.00	94.24	N/A	N/A	2	0	3,569	685
2008-01-15	$6.32	$7.50	53.6%	15.4%	66.1%	20.8%	0.0%	0.0%	-1.2%	3.4K	181.6K	-983	0.00	98.59	N/A	N/A	0	0	3,569	685
2008-01-16	$6.56	$7.50	55.5%	15.9%	64.1%	22.4%	0.0%	0.0%	2.1%	3.6K	186.7K	-947	0.00	97.24	N/A	N/A	22	0	3,569	685
2008-01-17	$6.41	$7.50	55.2%	15.8%	63.0%	22.1%	46.9%	0.0%	-3.0%	3.4K	190.3K	-934	0.42	99.46	N/A	N/A	12	5	3,569	685
2008-01-18	$6.46	$7.50	51.0%	14.6%	62.9%	18.6%	60.3%	0.0%	0.2%	3.5K	192.8K	-921	0.14	97.83	N/A	N/A	70	10	3,557	690
2008-01-22	$6.15	$7.50	58.2%	16.7%	62.5%	24.6%	51.8%	0.0%	-10.8%	2.9K	-66.5K	-742	0.00	110.06	N/A	N/A	17	0	843	125
2008-01-23	$6.23	$7.50	62.4%	17.9%	61.6%	28.1%	0.0%	0.0%	-15.0%	2.8K	-52.2K	-690	6.00	109.91	N/A	N/A	1	6	840	125
2008-01-24	$6.19	$7.50	62.2%	17.8%	61.1%	28.0%	0.0%	0.0%	-17.6%	2.6K	-52.2K	-682	0.00	99.76	N/A	N/A	2	0	839	131
2008-01-25	$6.19	$7.50	60.6%	17.4%	59.6%	26.6%	0.0%	0.0%	-8.2%	3.0K	-83.5K	-830	0.00	112.25	N/A	N/A	0	0	841	131
2008-01-28	$6.33	$7.50	53.5%	15.3%	59.2%	20.7%	0.0%	0.0%	-8.2%	3.4K	-97.3K	-880	0.00	112.30	N/A	N/A	1	0	841	131
2008-01-29	$6.10	$7.50	67.3%	19.3%	56.0%	32.2%	0.0%	0.0%	-10.9%	2.3K	-34.5K	-567	0.00	110.77	N/A	N/A	17	0	840	131
2008-01-30	$5.85	$7.50	62.1%	17.8%	56.6%	27.9%	0.0%	0.0%	9.9%	1.8K	-4.7K	-346	0.00	110.51	N/A	N/A	2	0	853	131
2008-01-31	$5.70	$7.50	59.2%	17.0%	56.3%	25.4%	58.9%	0.0%	6.3%	1.5K	7.8K	-293	0.00	111.38	N/A	N/A	60	0	855	131