ACTU Options History — January 2009 In January 2009, ACTU traded between $3.19 and $3.77. ATM implied volatility averaged 91.6%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 26.3%. IV traded above realized volatility by 6.1% (HV 20d: 85.6%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2009-01-21 : Highest Volume — 10 contracts2009-01-29 : Largest IV spike — 69.1% change2009-01-09 : Highest IV Rank — 83.7%2009-01-09 : Largest Expected Move — 48.5%Monthly Statistics Metric Avg Min Max Open Close Price $3.42 $3.19 $3.77 $3.19 $3.56 Max Pain $3.25 $2.50 $5.00 $5.00 $2.50 ATM IV 91.6% 45.9% 169.3% 148.0% 75.3% Expected Move 26.3% 13.2% 48.5% 42.4% 21.6% HV 20d 85.6% 58.8% 128.9% 128.9% 63.0% HV 60d 109.5% 96.4% 122.0% 122.0% 96.4% IV Rank 36.2% 8.3% 83.7% 70.7% 26.2% IV Percentile 67.4% 15.1% 98.0% 96.8% 65.5% Term Structure -88.8% -111.4% -64.3% -64.3% -111.4% VWIV 68.8% 48.2% 89.5% 48.2% 89.5% Bid-Ask Spread % 112.28 77.80 117.93 117.93 115.24 Gamma HHI 0.60 0.50 1.00 0.53 0.67 Net GEX 69 0 186 71 87 Net DEX -5.4K -9.1K -2.9K -3.9K -6.9K Net VEX -14 -32 0 -15 -12 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.95 0 10 0 0 Total OI 327.45 76 529 529 86
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 2009-01-02 $3.19 $5.00 148.0% 42.4% 128.9% 70.7% 0.0% 0.0% -64.3% 71 -3.9K -15 0.00 117.93 N/A N/A 0 0 502 27 2009-01-05 $3.28 $5.00 126.1% 36.1% 126.0% 57.3% 0.0% 0.0% -68.6% 47 -4.5K -13 0.00 115.99 N/A N/A 0 0 502 27 2009-01-06 $3.32 $5.00 115.8% 33.2% 87.1% 51.0% 0.0% 0.0% -82.5% 51 -4.7K -13 0.00 100.79 N/A N/A 0 0 502 27 2009-01-07 $3.38 $5.00 160.5% 46.0% 86.5% 78.3% 0.0% 0.0% -105.1% 48 -4.9K -12 0.00 116.32 N/A N/A 0 0 502 27 2009-01-08 $3.42 $5.00 158.3% 45.4% 84.9% 77.0% 0.0% 0.0% -100.9% 64 -5.2K -14 0.00 116.53 N/A N/A 5 0 502 27 2009-01-09 $3.29 $5.00 169.3% 48.5% 85.8% 83.7% 0.0% 0.0% -111.4% 50 -3.3K -13 0.00 117.28 N/A N/A 0 0 498 27 2009-01-12 $3.40 $2.50 67.7% 19.4% 85.0% 21.6% 0.0% 0.0% 0.0% 60 -3.7K -13 0.00 114.82 N/A N/A 0 0 498 27 2009-01-13 $3.39 $2.50 68.3% 19.6% 84.2% 22.0% 0.0% 0.0% 0.0% 59 -3.7K -13 0.00 114.82 N/A N/A 0 0 498 27 2009-01-14 $3.19 $2.50 64.1% 18.4% 85.2% 19.4% 0.0% 0.0% 0.0% 44 -2.9K -12 0.00 115.16 N/A N/A 0 0 498 27 2009-01-15 $3.27 $2.50 64.8% 18.6% 85.3% 19.8% 0.0% 0.0% 0.0% 45 -3.2K -12 0.00 115.47 N/A N/A 0 0 498 27 2009-01-16 $3.44 $2.50 67.9% 19.5% 86.8% 21.7% 48.2% 0.0% 0.0% 52 -3.8K -11 0.00 115.60 N/A N/A 4 0 498 27 2009-01-20 $3.38 $2.50 68.7% 19.7% 85.0% 22.2% 0.0% 0.0% 0.0% 55 -6.0K -12 0.00 114.70 N/A N/A 0 0 66 10 2009-01-21 $3.55 $2.50 76.0% 21.8% 81.6% 26.7% 89.5% 0.0% 0.0% 135 -8.2K -32 0.00 77.80 N/A N/A 10 0 66 10 2009-01-22 $3.37 $2.50 69.8% 20.0% 83.9% 22.9% 0.0% 0.0% 0.0% 53 -6.0K -11 0.00 115.83 N/A N/A 0 0 76 10 2009-01-23 $3.37 $2.50 74.9% 21.5% 81.9% 26.0% 0.0% 0.0% 0.0% 0 -6.7K 0 0.00 106.26 N/A N/A 0 0 76 10 2009-01-26 $3.60 $2.50 69.5% 19.9% 84.6% 22.7% 0.0% 0.0% 0.0% 101 -7.2K -15 0.00 112.11 N/A N/A 0 0 76 10 2009-01-27 $3.60 $2.50 64.5% 18.5% 83.8% 19.7% 0.0% 0.0% 0.0% 78 -7.0K -10 0.00 113.80 N/A N/A 0 0 76 10 2009-01-28 $3.77 $2.50 45.9% 13.2% 58.8% 8.3% 0.0% 0.0% 0.0% 186 -9.1K -29 0.00 114.81 N/A N/A 0 0 76 10 2009-01-29 $3.56 $2.50 77.6% 22.2% 63.2% 27.6% 0.0% 0.0% 0.0% 91 -6.9K -14 0.00 114.44 N/A N/A 0 0 76 10 2009-01-30 $3.56 $2.50 75.3% 21.6% 63.0% 26.2% 0.0% 0.0% 0.0% 87 -6.9K -12 0.00 115.24 N/A N/A 0 0 76 10
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