ABAT Options History — August 2008

In August 2008, ABAT traded between $56.25 and $83.10. ATM implied volatility averaged 81.9%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 23.9%. IV traded above realized volatility by 32.8% (HV 20d: 49.0%). Max pain ranged from $37.50 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.74.

Notable Days

  • 2008-08-08: Highest Volume — 157 contracts
  • 2008-08-11: Largest IV spike — 56.4% change
  • 2008-08-28: Highest IV Rank — 5.3%
  • 2008-08-06: Largest Expected Move — 30.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.21$56.25$83.10$82.80$57.30
Max Pain$73.21$37.50$75.00$37.50$75.00
ATM IV81.9%55.2%106.5%98.2%55.2%
Expected Move23.9%15.8%30.7%28.1%15.8%
HV 20d49.0%38.9%77.1%77.1%53.6%
HV 60d80.0%77.2%82.2%82.2%80.1%
IV Rank2.6%0.0%5.3%2.5%0.0%
IV Percentile1.8%0.0%3.9%1.6%0.0%
Term Structure-3.0%-17.9%34.4%6.9%-2.2%
VWIV88.6%57.4%107.7%100.2%82.2%
Skew 25d10.5%1.8%42.9%8.9%4.1%
Skew 10d26.0%-3.3%42.0%18.4%15.2%
Call IV 25d76.8%45.7%83.0%80.9%77.3%
Put IV 25d87.3%80.0%96.1%89.9%81.4%
Bid-Ask Spread %33.3810.6559.5025.0914.38
Gamma HHI0.740.580.890.580.66
Net GEX10.3K4.2K17.9K8.7K5.3K
Net DEX-420.3K-818.5K164.1K-726.5K116.5K
Net VEX-5.1K-7.8K-1.8K-2.1K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.740.0013.330.1113.33
Total Volume39.333115715
Total OI514.238207731207731

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$82.80$37.5098.2%28.1%77.1%0.0%0.0%8.9%6.9%8.7K-726.5K-2.1K0.1125.09N/AN/A1017334
2008-08-04$82.50$75.00104.8%29.0%70.9%0.0%100.2%0.0%-10.9%10.2K-698.3K-2.1K0.0049.67N/AN/A3017334
2008-08-05$82.50$75.0097.0%30.5%52.4%0.0%107.7%12.7%-17.9%8.6K-712.0K-2.0K0.2949.70N/AN/A14417634
2008-08-06$83.10$75.00102.0%30.7%41.4%0.0%106.4%13.3%-16.0%11.3K-786.4K-2.2K0.0542.64N/AN/A1018233
2008-08-07$82.95$75.0093.4%29.9%38.9%0.0%107.2%13.0%-13.6%11.4K-788.1K-2.1K0.0041.07N/AN/A9018133
2008-08-08$76.95$75.0068.1%27.1%45.1%0.0%94.4%0.0%-12.5%14.3K-554.9K-1.8K0.0639.12N/AN/A148917933
2008-08-11$73.20$75.00106.5%23.4%47.7%0.0%81.3%12.2%-5.0%17.9K-818.5K-3.3K0.8259.40N/AN/A776327839
2008-08-12$70.50$75.0080.2%24.3%47.1%0.0%84.6%12.1%-7.4%16.8K-784.3K-5.3K1.1959.50N/AN/A556634699
2008-08-13$69.45$75.0082.7%25.9%39.3%0.0%0.0%14.7%-5.3%15.9K-636.6K-6.3K0.8659.47N/AN/A4236381144
2008-08-14$66.90$75.0091.8%26.3%40.0%0.0%0.0%10.2%-11.1%14.2K-453.5K-7.0K0.2537.61N/AN/A226422177
2008-08-15$66.00$75.0086.9%24.9%39.5%0.0%86.9%11.9%-2.6%13.4K-523.9K-7.4K0.0726.41N/AN/A443445179
2008-08-18$63.45$75.0083.9%24.1%39.7%0.0%84.9%8.7%1.8%12.8K-422.4K-6.6K1.1230.18N/AN/A3135436182
2008-08-19$59.40$75.0076.6%22.0%43.3%0.0%82.4%4.3%-5.1%4.2K-91.2K-6.4K0.5632.51N/AN/A2514459215
2008-08-20$57.00$75.0083.2%23.9%42.7%0.0%90.5%1.8%-8.8%4.4K90.0K-6.0K0.1329.97N/AN/A162477224
2008-08-21$56.25$75.0075.6%21.7%41.0%0.0%57.4%6.5%-11.7%4.6K-249.9K-6.8K0.0015.73N/AN/A20488226
2008-08-22$60.75$75.0077.7%22.3%52.8%0.0%0.0%42.9%-6.4%4.5K-230.5K-6.9K0.8330.50N/AN/A33486226
2008-08-25$62.40$75.0064.6%18.5%54.8%0.0%73.7%5.9%5.1%12.9K-438.6K-7.8K0.2513.66N/AN/A174486226
2008-08-26$61.65$75.0068.4%19.6%54.5%0.0%82.2%6.4%34.4%13.7K-288.8K-7.1K1.7510.65N/AN/A1629490226
2008-08-27$58.95$75.0059.2%17.0%53.7%2.5%0.0%5.9%25.7%5.8K8.1K-6.3K9.2516.95N/AN/A112487230
2008-08-28$58.35$75.0062.8%18.0%53.6%5.3%0.0%3.3%-1.1%5.9K164.1K-5.9K5.5516.70N/AN/A17489240
2008-08-29$57.30$75.0055.2%15.8%53.6%0.0%0.0%4.1%-2.2%5.3K116.5K-6.2K13.3314.38N/AN/A05489242