ABAT Options History — September 2008

In September 2008, ABAT traded between $45.90 and $60.15. ATM implied volatility averaged 97.2%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 26.2%. IV traded above realized volatility by 29.0% (HV 20d: 68.2%). Max pain ranged from $75.00 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.75.

Notable Days

  • 2008-09-16: Highest Volume — 43 contracts
  • 2008-09-22: Largest IV spike — 70.2% change
  • 2008-09-29: Highest IV Rank — 76.7%
  • 2008-09-03: Largest Expected Move — 33.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.45$45.90$60.15$58.80$48.45
Max Pain$75.00$75.00$75.00$75.00$75.00
ATM IV97.2%59.5%155.6%95.5%87.9%
Expected Move26.2%16.2%33.7%27.4%25.2%
HV 20d68.2%50.7%91.6%55.6%91.6%
HV 60d76.1%69.9%80.1%79.8%74.7%
IV Rank32.1%3.3%76.7%30.8%25.0%
IV Percentile58.5%2.8%98.6%57.4%44.3%
Term Structure13.3%-26.0%81.0%-20.1%-22.8%
VWIV84.9%59.5%124.1%74.2%114.5%
Skew 25d18.7%-49.6%79.2%4.8%-7.9%
Skew 10d26.8%-26.1%60.3%27.0%-10.1%
Call IV 25d79.6%52.4%114.7%81.4%114.7%
Put IV 25d98.3%42.7%132.7%86.2%106.8%
Bid-Ask Spread %89.6714.75176.9730.60122.31
Gamma HHI0.740.630.990.640.76
Net GEX4.0K856.8K5.8K2.6K
Net DEX124.9K-710.6K893.3K142.9K-449.9K
Net VEX-4.6K-6.5K-4-6.1K-5.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.0023.080.700.96
Total Volume11.286043160
Total OI716.429592824734595

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$58.80$75.0095.5%27.4%55.6%30.8%0.0%4.8%-20.1%5.8K142.9K-6.1K0.7030.60N/AN/A97489245
2008-09-03$58.50$75.00117.4%33.7%55.5%47.5%0.0%1.3%-20.0%4.1K-164.6K-6.5K0.3328.50N/AN/A52497245
2008-09-04$59.40$75.00116.8%33.5%56.0%47.1%0.0%4.8%-26.0%5.6K57.4K-6.3K0.1729.24N/AN/A81499246
2008-09-05$60.15$75.00104.3%26.6%56.7%37.5%0.0%-1.6%11.1%5.9K93.6K-6.3K0.0088.14N/AN/A30501248
2008-09-08$58.35$75.0087.6%27.9%52.7%24.7%74.2%-1.9%2.7%5.3K64.6K-6.2K0.0033.53N/AN/A80502248
2008-09-09$56.55$75.0090.0%23.7%51.4%26.6%0.0%0.8%13.1%5.4K100.3K-6.0K2.1374.79N/AN/A49510248
2008-09-10$56.55$75.00106.0%16.2%50.7%38.8%0.0%33.9%37.1%4.8K66.6K-5.7K0.0264.71N/AN/A411513241
2008-09-11$53.70$75.0083.8%24.0%52.7%21.8%124.1%36.4%45.0%6.6K228.4K-5.3K0.2467.51N/AN/A92552242
2008-09-12$55.35$75.0073.6%21.1%54.0%14.0%74.2%45.1%37.5%6.8K91.1K-5.9K0.2559.72N/AN/A20561243
2008-09-15$51.00$75.0071.8%20.6%59.8%12.7%0.0%47.2%45.7%4.7K-161.2K-6.0K23.0814.75N/AN/A120561243
2008-09-16$49.50$75.0097.6%28.0%59.3%32.4%0.0%30.4%33.1%1.3K846.7K-8440.0743.08N/AN/A403561263
2008-09-17$46.95$75.0075.0%21.5%57.9%15.1%0.0%-0.1%81.0%85893.3K-40.00124.59N/AN/A50537263
2008-09-18$51.90$75.0085.7%24.6%69.1%23.3%0.0%79.2%5.9%2.5K-710.6K-5.9K4.24109.90N/AN/A210537263
2008-09-19$58.65$75.0059.5%17.1%82.3%3.3%59.5%0.0%21.0%5.9K25.1K-6.4K0.00176.97N/AN/A70538271
2008-09-22$52.20$75.00101.3%29.0%87.5%35.2%63.0%-49.6%5.1%3.7K-315.2K-5.7K0.50137.65N/AN/A73377224
2008-09-23$50.10$75.00111.3%31.9%87.3%42.9%0.0%28.0%6.7%3.6K-414.1K-5.7K0.00132.61N/AN/A20379224
2008-09-24$51.15$75.0094.5%27.1%88.0%30.0%0.0%12.6%-18.2%1.6K745.5K-8980.63121.52N/AN/A117376224
2008-09-25$50.85$75.00114.5%32.8%87.0%45.3%114.5%34.9%-17.1%4.4K217.2K-4.4K0.00150.02N/AN/A10367225
2008-09-26$48.45$75.00111.9%32.1%88.2%43.3%0.0%8.4%-4.3%826628.8K-9470.96126.09N/AN/A33367225
2008-09-29$45.90$75.00155.6%0.0%89.6%76.7%0.0%66.8%62.7%1.9K636.1K-1.1K0.00146.86N/AN/A01370225
2008-09-30$48.45$75.0087.9%25.2%91.6%25.0%0.0%-7.9%-22.8%2.6K-449.9K-5.3K0.00122.31N/AN/A00370225