ACTU Options History — July 2008

In July 2008, ACTU traded between $3.65 and $4.56. ATM implied volatility averaged 65.8%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded above realized volatility by 26.1% (HV 20d: 39.7%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2008-07-01: Highest Volume — 33 contracts
  • 2008-07-03: Largest IV spike — 104.3% change
  • 2008-07-07: Highest IV Rank — 100.0%
  • 2008-07-03: Largest Expected Move — 37.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.11$3.65$4.56$3.87$4.54
Max Pain$4.17$2.50$5.00$2.50$5.00
ATM IV65.8%40.2%155.3%75.2%55.0%
Expected Move17.3%11.5%37.8%21.6%15.8%
HV 20d39.7%33.6%45.8%40.5%37.5%
HV 60d37.9%35.8%40.3%36.6%40.2%
IV Rank28.3%7.3%100.0%37.6%19.2%
IV Percentile64.8%11.1%100.0%93.7%64.7%
Term Structure-7.0%-51.1%30.7%-23.9%3.2%
VWIV51.3%51.3%51.3%51.3%51.3%
Bid-Ask Spread %103.1055.24114.7977.68114.19
Gamma HHI0.890.860.910.890.91
Net GEX4.0K2.8K5.1K3.6K4.8K
Net DEX-236.5K-306.2K-176.9K-193.0K-306.2K
Net VEX-1.3K-1.4K-1.0K-1.1K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.002.500.002.00
Total Volume7.364033330
Total OI1,649.6821,3591,8361,8131,408

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$3.87$2.5075.2%21.6%40.5%37.6%0.0%0.0%-23.9%3.6K-193.0K-1.1K0.0077.68N/AN/A3301,75360
2008-07-02$3.78$2.5064.6%18.5%38.6%28.5%0.0%0.0%-7.4%3.2K-207.8K-1.2K0.0056.27N/AN/A001,75660
2008-07-03$3.68$2.50131.9%37.8%35.9%86.0%0.0%0.0%-51.1%3.0K-178.2K-1.1K1.0055.24N/AN/A10101,75660
2008-07-07$3.65$0.00155.3%24.4%33.6%100.0%0.0%0.0%-22.5%2.8K-176.9K-1.0K0.00110.88N/AN/A001,75670
2008-07-08$3.77$0.0087.8%17.4%36.3%45.6%0.0%0.0%-23.8%3.3K-193.6K-1.1K0.00109.60N/AN/A501,76670
2008-07-09$3.76$0.0078.8%16.6%36.3%38.4%0.0%0.0%-24.6%3.3K-190.9K-1.1K0.00110.97N/AN/A001,76170
2008-07-10$3.87$0.0061.3%17.6%38.0%24.3%0.0%0.0%-23.7%3.6K-207.8K-1.2K0.00111.45N/AN/A001,76170
2008-07-11$3.88$0.0062.4%17.9%37.4%25.1%0.0%0.0%-24.2%3.5K-208.4K-1.2K0.00110.97N/AN/A001,76170
2008-07-14$3.81$0.0063.5%18.2%36.0%26.1%0.0%0.0%-27.4%3.5K-191.7K-1.1K0.00112.97N/AN/A001,76170
2008-07-15$3.89$0.0060.2%17.2%37.5%23.3%0.0%0.0%-26.9%3.6K-204.6K-1.2K0.00111.56N/AN/A101,76170
2008-07-16$4.01$0.0054.7%15.7%39.8%18.9%0.0%0.0%-25.8%3.6K-231.8K-1.2K0.00108.70N/AN/A1101,76170
2008-07-17$4.21$0.0051.2%14.7%43.1%16.1%0.0%0.0%-1.7%4.1K-256.1K-1.3K0.00110.27N/AN/A001,76270
2008-07-18$4.17$0.0054.2%15.5%42.0%18.5%0.0%0.0%1.5%4.1K-254.5K-1.3K0.09111.06N/AN/A2221,76270
2008-07-21$4.16$0.0045.9%13.1%41.7%11.8%0.0%0.0%27.6%4.3K-231.3K-1.3K0.0095.26N/AN/A2501,30752
2008-07-22$4.39$0.0040.2%11.5%45.8%7.3%0.0%0.0%30.7%4.6K-267.8K-1.4K2.5093.83N/AN/A251,32052
2008-07-23$4.40$0.0051.6%14.8%45.8%16.4%51.3%0.0%10.9%4.5K-284.1K-1.4K0.91114.79N/AN/A11101,32052
2008-07-24$4.44$5.0050.3%14.4%45.5%15.4%0.0%0.0%10.7%4.9K-269.7K-1.4K2.00114.73N/AN/A5101,33162
2008-07-25$4.56$5.0054.2%15.5%43.5%18.5%0.0%0.0%14.0%5.1K-283.7K-1.4K0.00112.35N/AN/A001,33672
2008-07-28$4.41$5.0051.3%14.7%39.9%16.2%0.0%0.0%1.5%4.8K-269.5K-1.4K0.00114.19N/AN/A001,33672
2008-07-29$4.52$5.0044.9%12.9%39.7%11.0%0.0%0.0%22.4%5.0K-290.7K-1.4K0.0097.03N/AN/A001,33672
2008-07-30$4.55$5.0053.6%15.4%39.1%18.0%0.0%0.0%7.2%4.9K-305.4K-1.4K0.00114.19N/AN/A001,33672
2008-07-31$4.54$5.0055.0%15.8%37.5%19.2%0.0%0.0%3.2%4.8K-306.2K-1.4K0.00114.19N/AN/A001,33672