ACTU Options History — April 2008 In April 2008, ACTU traded between $3.88 and $4.38. ATM implied volatility averaged 57.2%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 10.0% (HV 20d: 47.2%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.28.
Notable Days 2008-04-22 : Highest Volume — 103 contracts2008-04-18 : Largest IV spike — 41.9% change2008-04-25 : Highest IV Rank — 43.0%2008-04-25 : Largest Expected Move — 23.0%Monthly Statistics Metric Avg Min Max Open Close Price $4.05 $3.88 $4.38 $4.38 $4.07 Max Pain $2.86 $2.50 $5.00 $5.00 $2.50 ATM IV 57.2% 45.6% 80.2% 51.5% 52.3% Expected Move 15.7% 13.1% 23.0% 14.8% 15.0% HV 20d 47.2% 28.2% 62.7% 62.7% 28.2% HV 60d 76.5% 47.3% 81.2% 81.2% 47.3% IV Rank 23.8% 14.1% 43.0% 19.0% 19.6% IV Percentile 62.9% 25.4% 96.4% 52.8% 51.2% Term Structure 7.2% -41.1% 30.0% 26.8% -7.8% VWIV 83.9% 78.5% 89.4% 89.4% 78.5% Bid-Ask Spread % 88.20 55.07 111.63 55.24 94.23 Gamma HHI 0.64 0.52 0.77 0.77 0.71 Net GEX 1.9K 1.3K 3.5K 3.5K 2.1K Net DEX -101.3K -148.3K -75.4K -118.7K -133.4K Net VEX -626 -699 -560 -659 -673 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.28 0.00 1.71 0.00 0.00 Total Volume 20.952 0 103 0 16 Total OI 1,417.476 879 1,773 1,630 997
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 2008-04-01 $4.38 $5.00 51.5% 14.8% 62.7% 19.0% 0.0% 0.0% 26.8% 3.5K -118.7K -659 0.00 55.24 N/A N/A 0 0 1,493 137 2008-04-02 $4.29 $5.00 50.6% 14.5% 62.6% 18.3% 0.0% 0.0% 24.0% 3.3K -106.0K -624 0.00 55.24 N/A N/A 10 0 1,493 137 2008-04-03 $4.25 $5.00 54.8% 15.7% 62.6% 21.8% 0.0% 0.0% 18.4% 3.1K -108.5K -631 0.80 55.07 N/A N/A 25 20 1,493 137 2008-04-07 $4.11 $2.50 61.6% 15.1% 56.5% 27.4% 0.0% 0.0% 23.9% 1.3K -88.8K -594 0.00 111.63 N/A N/A 1 0 1,528 157 2008-04-08 $3.98 $2.50 73.5% 14.6% 57.5% 37.4% 89.4% 0.0% 13.6% 1.3K -75.4K -560 0.17 110.82 N/A N/A 59 10 1,529 157 2008-04-09 $4.08 $2.50 70.0% 14.6% 51.4% 34.5% 0.0% 0.0% 15.4% 1.5K -84.5K -632 0.00 108.64 N/A N/A 4 0 1,568 166 2008-04-10 $4.11 $2.50 67.0% 19.2% 50.4% 31.9% 0.0% 0.0% -12.3% 1.5K -86.8K -637 0.00 87.77 N/A N/A 25 0 1,572 166 2008-04-11 $4.00 $2.50 70.7% 20.3% 51.3% 35.0% 0.0% 0.0% -17.4% 1.5K -81.7K -617 0.00 87.11 N/A N/A 10 0 1,577 166 2008-04-14 $3.98 $2.50 45.8% 13.1% 50.2% 14.2% 0.0% 0.0% 30.0% 1.4K -85.5K -628 0.00 90.22 N/A N/A 20 0 1,587 166 2008-04-15 $3.96 $2.50 45.8% 13.1% 50.2% 14.3% 0.0% 0.0% 21.1% 1.5K -83.3K -628 0.00 90.22 N/A N/A 0 0 1,607 166 2008-04-16 $4.00 $2.50 50.8% 14.6% 47.9% 18.4% 0.0% 0.0% 21.0% 1.6K -83.0K -626 0.00 91.74 N/A N/A 1 0 1,607 166 2008-04-17 $3.94 $2.50 46.6% 13.4% 40.4% 14.9% 0.0% 0.0% 20.8% 1.5K -82.7K -621 0.00 89.52 N/A N/A 0 0 1,606 166 2008-04-18 $4.00 $2.50 66.2% 19.0% 40.9% 31.3% 78.5% 0.0% -9.4% 1.6K -80.6K -620 0.00 90.13 N/A N/A 15 0 1,606 166 2008-04-21 $3.97 $2.50 45.6% 13.1% 40.5% 14.1% 0.0% 0.0% -1.9% 1.7K -102.8K -593 1.00 97.29 N/A N/A 10 10 784 95 2008-04-22 $3.88 $2.50 49.7% 14.2% 39.1% 17.5% 0.0% 0.0% -3.1% 1.5K -105.7K -597 1.71 93.36 N/A N/A 38 65 784 95 2008-04-23 $3.91 $2.50 53.5% 15.3% 39.4% 20.7% 0.0% 0.0% 6.4% 1.7K -107.9K -619 0.00 91.73 N/A N/A 0 0 822 97 2008-04-24 $3.98 $2.50 58.3% 16.7% 40.2% 24.7% 0.0% 0.0% -3.6% 1.7K -111.5K -604 0.00 97.70 N/A N/A 2 0 822 97 2008-04-25 $4.00 $2.50 80.2% 23.0% 40.3% 43.0% 0.0% 0.0% -41.1% 1.7K -118.9K -628 0.00 94.65 N/A N/A 29 0 822 97 2008-04-28 $4.07 $2.50 55.6% 15.9% 40.6% 22.4% 0.0% 0.0% 16.3% 1.8K -132.8K -656 0.00 91.28 N/A N/A 60 0 841 97 2008-04-29 $4.12 $2.50 50.8% 14.6% 37.3% 18.4% 0.0% 0.0% 10.5% 2.1K -148.3K -699 1.00 68.71 N/A N/A 5 5 901 97 2008-04-30 $4.07 $2.50 52.3% 15.0% 28.2% 19.6% 0.0% 0.0% -7.8% 2.1K -133.4K -673 0.00 94.23 N/A N/A 16 0 897 100
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