ABAT Options History — October 2008

In October 2008, ABAT traded between $36.00 and $48.75. ATM implied volatility averaged 128.9%, placing in the 56.3% IV rank vs the trailing year. The 30-day expected move averaged 36.3%. IV traded above realized volatility by 36.6% (HV 20d: 92.4%). Max pain ranged from $37.50 to $75.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 6.98.

Notable Days

  • 2008-10-06: Highest Volume — 80 contracts
  • 2008-10-07: Largest IV spike — 83.6% change
  • 2008-10-03: Highest IV Rank — 89.7%
  • 2008-10-03: Largest Expected Move — 49.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.51$36.00$48.75$48.75$42.75
Max Pain$42.86$37.50$75.00$75.00$37.50
ATM IV128.9%85.6%172.7%141.0%114.8%
Expected Move36.3%29.4%49.5%40.4%32.9%
HV 20d92.4%81.9%105.7%91.8%91.5%
HV 60d73.0%66.8%81.8%68.7%81.8%
IV Rank56.3%23.2%89.7%65.5%45.5%
IV Percentile86.9%36.6%99.3%98.0%84.3%
Term Structure17.8%-41.0%78.3%-41.0%46.9%
VWIV118.9%94.5%143.4%143.4%94.5%
Skew 25d31.0%-12.2%78.5%15.9%-12.2%
Skew 10d41.3%-7.8%71.2%10.0%6.9%
Call IV 25d91.9%63.0%133.8%92.7%96.3%
Put IV 25d122.9%84.1%146.0%108.6%84.1%
Bid-Ask Spread %75.7534.16137.42133.6473.98
Gamma HHI0.750.481.000.641.00
Net GEX2.1K04.7K1.1K0
Net DEX533.0K107.9K725.6K645.9K659.4K
Net VEX-1.6K-3.6K0-9880
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.980.00100.000.000.05
Total Volume10.26108007
Total OI601.348576628595596

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$48.75$75.00141.0%40.4%91.8%65.5%0.0%15.9%-41.0%1.1K645.9K-9880.00133.64N/AN/A00370225
2008-10-02$48.60$75.00146.0%41.9%91.4%69.4%0.0%19.8%-37.3%1.0K629.4K-9910.00137.19N/AN/A00370225
2008-10-03$44.85$75.00172.7%49.5%94.3%89.7%0.0%29.2%-26.7%1.7K661.0K-8520.00137.42N/AN/A00370225
2008-10-06$44.10$0.0085.6%37.2%94.1%23.2%0.0%23.5%4.8%11725.6K00.06119.25N/AN/A755370225
2008-10-07$39.00$0.00157.1%40.7%101.6%77.8%143.4%29.7%14.2%3.1K252.2K-3.4K0.00127.08N/AN/A00393225
2008-10-08$38.10$37.50131.0%36.6%101.4%57.9%0.0%7.4%15.0%2.6K481.1K-2.4K4.3364.81N/AN/A14393226
2008-10-09$37.50$37.50161.0%43.2%100.7%80.9%0.0%62.0%44.9%2.7K107.9K-3.6K0.0080.73N/AN/A01394225
2008-10-10$37.35$37.50144.0%40.4%99.2%67.9%0.0%36.4%12.4%2.6K408.0K-2.6K0.0054.35N/AN/A90394223
2008-10-13$40.20$37.50152.9%37.6%101.6%74.6%0.0%47.9%11.1%2.7K649.0K-1.3K0.0055.02N/AN/A10398223
2008-10-14$41.25$37.50153.4%35.8%102.2%75.0%0.0%31.7%16.5%2.0K642.1K-5910.0070.99N/AN/A00398223
2008-10-15$37.50$37.50138.5%35.1%105.7%63.6%0.0%5.6%78.3%4.7K340.6K-2.7K0.0086.78N/AN/A460398223
2008-10-16$40.50$37.50121.2%34.7%102.7%50.4%0.0%-11.3%12.4%2.7K668.2K-1.2K0.0044.03N/AN/A190405223
2008-10-17$40.65$37.50122.7%35.2%89.9%51.6%0.0%45.4%11.1%1.7K622.2K-6450.0044.84N/AN/A60366223
2008-10-20$42.75$37.50117.3%33.6%85.2%47.4%0.0%43.1%39.8%1.7K650.7K-4780.0448.10N/AN/A20362214
2008-10-21$42.45$37.50102.6%29.4%84.4%36.2%0.0%50.6%50.9%2.2K604.9K-8010.2356.24N/AN/A235364214
2008-10-22$40.35$37.50112.9%32.4%84.9%44.1%0.0%66.9%18.1%2.8K537.4K-2.0K0.0051.83N/AN/A00374218
2008-10-23$39.45$37.50120.0%34.4%85.0%49.5%0.0%50.5%19.8%2.5K577.4K-1.6K0.0034.16N/AN/A00374218
2008-10-24$37.80$37.50123.8%35.5%84.7%52.4%0.0%78.5%21.6%2.5K403.3K-2.4K0.0049.17N/AN/A00374218
2008-10-27$36.00$37.50127.5%36.5%84.3%55.2%0.0%13.4%7.1%2.2K447.6K-1.9K0.0038.99N/AN/A07374218
2008-10-28$37.05$37.50104.5%30.0%82.2%37.7%0.0%5.8%31.9%2.2K498.0K-1.8K0.0045.61N/AN/A70374218
2008-10-29$36.75$37.50104.8%30.0%81.9%37.9%94.5%39.1%41.7%2.4K483.1K-1.9K100.00124.17N/AN/A07374218
2008-10-30$37.95$37.50109.8%31.5%83.4%41.7%0.0%34.3%16.9%2.2K563.3K-1.6K0.0063.82N/AN/A110374222
2008-10-31$42.75$37.50114.8%32.9%91.5%45.5%0.0%-12.2%46.9%0659.4K00.0573.98N/AN/A70374222