ABAT Options History — December 2008

In December 2008, ABAT traded between $26.40 and $43.95. ATM implied volatility averaged 128.1%, placing in the 47.4% IV rank vs the trailing year. The 30-day expected move averaged 35.7%. IV traded below realized volatility by 22.1% (HV 20d: 150.2%). 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 5 of 22 days. Put/call ratio averaged 2.89.

Notable Days

  • 2008-12-15: Highest Volume — 38 contracts
  • 2008-12-18: Largest IV spike — 86.1% change
  • 2008-12-18: Highest IV Rank — 88.1%
  • 2008-12-01: Largest Expected Move — 50.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.95$26.40$43.95$26.40$39.90
Max Pain$54.55$37.50$75.00$75.00$37.50
ATM IV128.1%97.3%190.8%174.4%110.8%
Expected Move35.7%27.9%50.0%50.0%31.8%
HV 20d150.2%82.8%190.8%182.4%83.1%
HV 60d129.1%126.4%133.4%128.3%128.8%
IV Rank47.4%27.3%88.1%77.4%36.1%
IV Percentile79.5%49.0%99.5%98.4%70.0%
Term Structure0.2%-68.2%66.3%-68.2%-37.1%
VWIV118.0%62.6%174.2%71.5%103.4%
Skew 25d23.1%-10.5%50.9%-10.5%4.0%
Skew 10d27.8%-5.7%67.7%-5.7%2.3%
Call IV 25d94.6%65.2%122.6%95.5%110.8%
Put IV 25d117.7%85.0%130.4%85.0%114.8%
Bid-Ask Spread %40.8119.9582.3932.1130.29
Gamma HHI0.670.490.820.760.55
Net GEX2.7K1.1K8.0K1.1K1.8K
Net DEX310.6K-69.0K582.6K501.7K-39.1K
Net VEX-713-1.3K-473-577-473
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.890.0055.000.000.45
Total Volume7.59103801
Total OI480.636157654623167

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$26.40$75.00174.4%50.0%182.4%77.4%0.0%-10.5%-68.2%1.1K501.7K-5770.0032.11N/AN/A00399224
2008-12-02$28.35$75.00104.7%30.0%185.4%32.1%0.0%9.7%28.1%1.1K535.4K-6260.0022.85N/AN/A00399224
2008-12-03$30.30$75.0097.3%27.9%187.0%27.3%71.5%18.8%33.5%1.2K582.6K-6280.0020.69N/AN/A90399224
2008-12-04$29.85$75.00106.8%30.6%183.2%33.5%0.0%41.6%48.2%1.4K538.0K-7600.0026.96N/AN/A00396224
2008-12-05$32.10$75.00127.8%36.6%185.7%47.2%0.0%48.8%66.3%2.0K401.2K-1.3K0.0026.45N/AN/A10396224
2008-12-08$36.00$75.00153.9%44.1%190.8%64.1%153.9%47.2%-28.2%2.1K548.4K-9840.0029.07N/AN/A100398224
2008-12-09$36.15$75.00154.2%44.2%190.7%64.3%174.2%-1.0%-54.0%2.1K567.8K-8560.0035.57N/AN/A150401224
2008-12-10$36.15$75.00106.2%30.4%190.2%33.1%91.1%8.3%35.9%2.6K558.1K-9200.0270.44N/AN/A210407224
2008-12-11$34.35$75.00132.3%37.9%189.9%50.1%151.7%50.9%-23.0%3.4K477.2K-9900.0035.99N/AN/A10427224
2008-12-12$36.60$75.00159.6%45.8%190.6%67.8%152.9%40.5%-37.1%3.3K556.5K-8260.0053.56N/AN/A70427224
2008-12-15$36.60$37.50123.9%32.6%180.2%44.6%112.8%32.0%0.0%4.8K539.4K-81455.0047.91N/AN/A137430224
2008-12-16$37.50$37.50106.9%29.4%180.3%33.6%102.2%18.3%0.0%6.6K442.3K-6252.0046.71N/AN/A00430192
2008-12-17$39.60$37.50102.6%32.5%148.1%30.8%113.1%31.9%0.0%8.0K353.8K-6760.0046.10N/AN/A00430192
2008-12-18$40.65$37.50190.8%32.8%142.1%88.1%62.6%37.6%0.0%1.9K303.9K-5440.0047.03N/AN/A170430192
2008-12-19$41.70$37.50116.0%33.1%109.6%39.5%115.1%50.8%0.0%2.4K304.1K-6430.0063.46N/AN/A180431192
2008-12-22$43.50$37.50130.4%37.4%107.8%48.9%113.5%23.9%0.0%2.0K-36.1K-4970.0828.89N/AN/A8114017
2008-12-23$43.95$37.50121.2%34.7%101.4%42.8%122.3%18.0%0.0%2.2K-46.3K-5330.0023.00N/AN/A4014217
2008-12-24$42.90$37.50129.6%37.1%101.1%48.3%131.6%21.6%0.0%2.5K-69.0K-6280.0027.02N/AN/A1014617
2008-12-26$43.80$37.50123.6%35.4%91.1%44.4%108.8%7.9%0.0%2.5K-63.8K-5620.0019.95N/AN/A7014617
2008-12-29$39.45$37.50125.7%36.0%100.0%45.8%123.7%5.8%0.0%2.3K-65.4K-6410.1681.36N/AN/A2014917
2008-12-30$37.05$37.50119.6%34.3%82.8%41.9%119.3%1.9%0.0%2.0K-58.5K-5990.0082.39N/AN/A6015017
2008-12-31$39.90$37.50110.8%31.8%83.1%36.1%103.4%4.0%0.0%1.8K-39.1K-4730.4530.29N/AN/A1015017