ABAT Options History — July 2008

In July 2008, ABAT traded between $71.70 and $88.20. ATM implied volatility averaged 105.3%. The 30-day expected move averaged 29.7%. IV traded above realized volatility by 4.6% (HV 20d: 100.7%). Max pain ranged from $37.50 to $75.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.08.

Notable Days

  • 2008-07-02: Highest Volume — 54 contracts
  • 2008-07-28: Largest IV drop — 20.6% change
  • 2008-07-03: Largest Expected Move — 33.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.50$71.70$88.20$86.25$84.60
Max Pain$52.84$37.50$75.00$75.00$37.50
ATM IV105.3%80.7%129.8%98.0%97.2%
Expected Move29.7%23.1%33.4%28.1%27.9%
HV 20d100.7%77.9%117.8%93.6%77.9%
HV 60d83.7%82.4%89.2%83.7%82.7%
Term Structure2.0%-14.2%19.1%18.3%3.7%
VWIV105.4%90.1%118.6%95.5%92.6%
Skew 25d10.6%10.6%10.6%10.6%10.6%
Skew 10d19.5%19.5%19.5%19.5%19.5%
Call IV 25d80.7%80.7%80.7%80.7%80.7%
Put IV 25d91.3%91.3%91.3%91.3%91.3%
Bid-Ask Spread %43.3120.5375.6142.9429.25
Gamma HHI0.620.530.790.690.58
Net GEX10.9K7.5K18.6K13.2K9.8K
Net DEX-1.0M-1.4M-738.9K-980.1K-780.4K
Net VEX-2.6K-3.0K-2.2K-2.2K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.000.270.130.01
Total Volume12.636054510
Total OI282.182206354257206

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$86.25$75.0098.0%28.1%93.6%0.0%95.5%0.0%18.3%13.2K-980.1K-2.2K0.1342.94N/AN/A45623423
2008-07-02$80.40$75.00104.1%29.9%98.3%0.0%90.1%0.0%3.1%14.9K-896.4K-2.5K0.1330.33N/AN/A48626226
2008-07-03$77.55$75.00116.5%33.4%99.1%0.0%116.4%0.0%-14.2%16.3K-951.3K-3.0K0.2732.32N/AN/A2129532
2008-07-07$71.70$37.50129.8%31.3%102.5%0.0%109.1%0.0%3.4%14.0K-816.0K-2.7K0.0359.50N/AN/A33129632
2008-07-08$82.05$75.00117.3%31.3%111.1%0.0%118.6%0.0%-3.3%8.4K-1.3M-2.9K0.0321.25N/AN/A12031333
2008-07-09$75.30$75.00111.1%29.6%116.7%0.0%101.2%0.0%19.0%18.6K-1.0M-3.0K0.0640.58N/AN/A8031634
2008-07-10$78.60$75.00107.8%30.9%117.0%0.0%107.8%0.0%-8.6%8.0K-1.3M-2.8K0.1175.61N/AN/A6131734
2008-07-11$81.90$75.00110.1%31.6%117.2%0.0%110.5%0.0%-4.9%8.8K-1.3M-2.9K0.2443.90N/AN/A3132034
2008-07-14$80.25$75.00108.5%31.1%117.8%0.0%108.0%0.0%-4.2%9.6K-1.3M-2.8K0.1944.79N/AN/A7132034
2008-07-15$82.80$75.00108.3%31.1%117.7%0.0%108.4%0.0%1.0%18.0K-1.3M-2.9K0.0352.62N/AN/A22131935
2008-07-16$88.05$37.50100.9%28.9%101.6%0.0%0.0%0.0%6.8%7.5K-1.4M-2.5K0.0031.29N/AN/A8030534
2008-07-17$88.20$37.50110.4%31.7%100.3%0.0%109.5%0.0%-6.3%9.2K-1.4M-2.6K0.1232.24N/AN/A27330434
2008-07-18$85.50$37.50107.8%30.9%100.7%0.0%108.1%0.0%2.4%8.3K-1.3M-2.6K0.0451.70N/AN/A8029437
2008-07-21$86.25$37.50109.2%31.3%99.7%0.0%0.0%0.0%-10.0%7.9K-829.6K-2.5K0.0437.01N/AN/A2017533
2008-07-22$85.80$37.50103.8%29.8%99.7%0.0%0.0%0.0%4.9%8.8K-826.6K-2.6K0.0062.20N/AN/A3017633
2008-07-23$81.75$37.50104.9%30.1%100.9%0.0%105.1%0.0%-0.2%9.2K-738.9K-2.5K0.2148.55N/AN/A2017833
2008-07-24$82.95$37.50100.1%28.7%100.9%0.0%99.8%0.0%4.3%9.2K-752.9K-2.5K0.0065.89N/AN/A1017833
2008-07-25$83.55$37.50101.6%29.1%92.5%0.0%0.0%0.0%-0.4%9.5K-746.2K-2.5K0.0069.40N/AN/A0017833
2008-07-28$83.25$37.5080.7%23.1%86.4%0.0%0.0%0.0%19.1%9.3K-769.5K-2.4K0.0031.90N/AN/A1017833
2008-07-29$83.25$37.5095.1%27.3%81.7%0.0%0.0%0.0%2.1%10.3K-761.3K-2.4K0.0029.09N/AN/A5017833
2008-07-30$85.05$37.5093.2%26.7%82.1%0.0%92.6%0.0%7.0%10.5K-805.9K-2.4K0.0120.53N/AN/A14018033
2008-07-31$84.60$37.5097.2%27.9%77.9%0.0%0.0%10.6%3.7%9.8K-780.4K-2.2K0.0029.25N/AN/A0017333