ACTU Options History — December 2008

In December 2008, ACTU traded between $2.27 and $3.39. ATM implied volatility averaged 95.3%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 27.3%. IV traded below realized volatility by 29.9% (HV 20d: 125.2%). 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 1 of 22 days. Put/call ratio averaged 0.19.

Notable Days

2008-12-29: Highest Volume — 269 contracts
2008-12-26: Largest IV spike — 31.8% change
2008-12-26: Highest IV Rank — 56.7%
2008-12-26: Largest Expected Move — 35.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.93	$2.27	$3.39	$2.38	$2.96
Max Pain	$3.41	$2.50	$5.00	$2.50	$5.00
ATM IV	95.3%	73.5%	125.2%	73.5%	122.9%
Expected Move	27.3%	21.1%	35.9%	21.1%	35.2%
HV 20d	125.2%	88.1%	138.3%	94.2%	127.5%
HV 60d	115.9%	105.5%	121.3%	105.9%	121.3%
IV Rank	38.5%	25.2%	56.7%	25.2%	55.3%
IV Percentile	84.4%	76.6%	94.8%	76.6%	93.7%
Term Structure	-20.3%	-47.6%	25.3%	-3.0%	-28.5%
VWIV	101.9%	56.1%	158.7%	66.7%	158.7%
Bid-Ask Spread %	115.45	95.45	133.24	119.02	121.69
Gamma HHI	0.66	0.49	1.00	0.58	1.00
Net GEX	143	1	779	69	1
Net DEX	-3.7K	-11.2K	-724	-724	-4.4K
Net VEX	-27	-60	-2	-26	-2
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.19	0.00	1.67	0.00	0.00
Total Volume	22.182	0	269	0	0
Total OI	774.182	529	803	803	529

Daily Data (22 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
2008-12-01	$2.38	$2.50	73.5%	21.1%	94.2%	25.2%	0.0%	0.0%	-3.0%	69	-724	-26	0.00	119.02	N/A	N/A	0	0	779	24
2008-12-02	$2.47	$2.50	78.8%	22.6%	88.9%	28.4%	0.0%	0.0%	-14.3%	172	-1.6K	-38	0.00	125.08	N/A	N/A	5	0	779	24
2008-12-03	$2.41	$2.50	79.7%	22.8%	88.1%	28.9%	0.0%	0.0%	-29.1%	300	-3.8K	-54	0.00	131.14	N/A	N/A	0	0	774	24
2008-12-04	$2.27	$2.50	79.3%	22.7%	89.5%	28.7%	0.0%	0.0%	-40.2%	182	-1.1K	-39	0.00	127.42	N/A	N/A	0	0	774	24
2008-12-05	$2.95	$2.50	81.3%	23.3%	133.4%	29.9%	66.7%	0.0%	25.3%	121	-3.8K	-34	0.00	117.69	N/A	N/A	2	0	774	24
2008-12-08	$3.06	$5.00	84.2%	24.1%	133.5%	31.7%	64.3%	0.0%	-12.0%	86	-3.7K	-21	0.00	119.19	N/A	N/A	1	0	773	24
2008-12-09	$2.94	$2.50	85.7%	24.6%	134.1%	32.6%	0.0%	0.0%	-10.7%	74	-3.1K	-23	0.00	102.26	N/A	N/A	0	0	774	24
2008-12-10	$3.04	$2.50	87.2%	25.0%	134.7%	33.5%	0.0%	0.0%	-14.3%	88	-3.9K	-22	0.00	117.80	N/A	N/A	0	0	774	24
2008-12-11	$2.93	$2.50	88.3%	25.3%	135.2%	34.2%	74.1%	0.0%	-10.8%	82	-3.0K	-24	0.00	117.20	N/A	N/A	1	0	774	24
2008-12-12	$3.05	$2.50	85.0%	24.4%	136.1%	32.2%	0.0%	0.0%	-6.6%	100	-4.4K	-29	0.00	116.88	N/A	N/A	0	0	775	24
2008-12-15	$2.90	$2.50	90.4%	25.9%	137.1%	35.5%	140.2%	0.0%	-18.6%	71	-3.1K	-21	0.00	104.92	N/A	N/A	200	0	775	24
2008-12-16	$2.95	$2.50	94.2%	27.0%	137.1%	37.8%	0.0%	0.0%	-25.0%	75	-3.5K	-21	0.00	113.31	N/A	N/A	0	0	775	24
2008-12-17	$2.94	$2.50	96.1%	27.6%	137.1%	39.0%	0.0%	0.0%	-17.2%	82	-3.4K	-22	0.00	112.87	N/A	N/A	0	0	775	24
2008-12-18	$3.12	$2.50	91.0%	26.1%	138.3%	35.9%	56.1%	0.0%	-1.2%	224	-5.3K	-27	0.00	105.96	N/A	N/A	1	0	775	24
2008-12-19	$3.39	$2.50	115.6%	33.1%	136.4%	50.9%	123.6%	0.0%	-28.7%	779	-11.2K	-60	1.67	95.45	N/A	N/A	3	5	774	24
2008-12-22	$3.39	$5.00	110.7%	31.7%	136.1%	47.9%	0.0%	0.0%	-22.2%	235	-5.5K	-24	0.00	113.77	N/A	N/A	0	0	771	27
2008-12-23	$3.23	$5.00	117.4%	33.7%	137.6%	52.0%	0.0%	0.0%	-37.6%	138	-4.3K	-21	0.00	116.78	N/A	N/A	0	0	771	27
2008-12-24	$3.32	$5.00	95.0%	27.2%	119.1%	38.3%	131.1%	0.0%	-36.8%	63	-4.5K	-17	0.00	98.54	N/A	N/A	1	0	771	27
2008-12-26	$3.23	$5.00	125.2%	35.9%	118.9%	56.7%	0.0%	0.0%	-47.6%	131	-4.3K	-20	0.00	117.70	N/A	N/A	0	0	771	27
2008-12-29	$2.76	$5.00	108.6%	31.1%	132.8%	46.6%	158.7%	0.0%	-31.7%	41	-1.1K	-20	0.00	133.24	N/A	N/A	269	0	771	27
2008-12-30	$2.88	$5.00	106.4%	30.5%	127.8%	45.2%	0.0%	0.0%	-36.1%	40	-2.1K	-18	0.00	111.91	N/A	N/A	0	0	502	27
2008-12-31	$2.96	$5.00	122.9%	35.2%	127.5%	55.3%	0.0%	0.0%	-28.5%	1	-4.4K	-2	0.00	121.69	N/A	N/A	0	0	502	27