ABAT Options History — January 2009

In January 2009, ABAT traded between $34.80 and $45.45. ATM implied volatility averaged 111.3%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 30.9%. IV traded above realized volatility by 30.0% (HV 20d: 81.3%). Max pain ranged from $37.50 to $37.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.19.

Notable Days

2009-01-06: Highest Volume — 12 contracts
2009-01-07: Largest IV spike — 47.2% change
2009-01-07: Highest IV Rank — 65.5%
2009-01-14: Largest Expected Move — 37.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.77	$34.80	$45.45	$41.70	$38.40
Max Pain	$37.50	$37.50	$37.50	$37.50	$37.50
ATM IV	111.3%	74.1%	156.0%	120.0%	74.3%
Expected Move	30.9%	21.2%	37.5%	34.4%	21.3%
HV 20d	81.3%	74.1%	89.3%	81.7%	76.4%
HV 60d	126.6%	124.9%	127.8%	126.6%	125.6%
IV Rank	36.5%	12.3%	65.5%	42.1%	12.4%
IV Percentile	63.5%	12.0%	94.0%	78.5%	12.0%
Term Structure	2.7%	-23.0%	34.1%	4.1%	34.1%
VWIV	106.6%	83.8%	119.1%	119.1%	83.8%
Skew 25d	17.1%	-6.9%	33.4%	5.2%	21.0%
Skew 10d	22.7%	-9.0%	43.3%	8.3%	29.9%
Call IV 25d	92.7%	74.1%	115.8%	112.9%	86.3%
Put IV 25d	109.8%	100.9%	131.2%	118.1%	107.3%
Bid-Ask Spread %	62.89	33.87	126.44	78.17	51.14
Gamma HHI	0.56	0.50	1.00	0.62	0.53
Net GEX	1.9K	0	2.6K	2.3K	1.7K
Net DEX	-49.2K	-96.4K	-24.9K	-60.0K	-36.6K
Net VEX	-390	-535	0	-535	-313
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.19	0.00	10.00	0.11	6.50
Total Volume	1.95	0	12	7	0
Total OI	182.15	168	187	168	187

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2009-01-02	$41.70	$37.50	120.0%	34.4%	81.7%	42.1%	119.1%	5.2%	0.0%	2.3K	-60.0K	-535	0.11	78.17	N/A	N/A	6	1	150	18
2009-01-05	$42.00	$37.50	116.6%	33.4%	81.0%	39.9%	110.2%	11.5%	0.0%	2.2K	-58.8K	-491	0.00	81.01	N/A	N/A	1	0	156	18
2009-01-06	$45.45	$37.50	106.0%	30.4%	81.6%	33.0%	0.0%	24.1%	0.0%	0	-96.4K	0	0.02	64.11	N/A	N/A	12	0	157	18
2009-01-07	$43.65	$0.00	156.0%	34.3%	75.4%	65.5%	0.0%	4.4%	4.1%	2.5K	-74.8K	-511	0.00	108.05	N/A	N/A	0	0	166	18
2009-01-08	$43.80	$0.00	115.5%	30.5%	75.4%	39.1%	0.0%	-6.9%	11.5%	2.1K	-63.3K	-383	10.00	71.50	N/A	N/A	0	1	166	18
2009-01-09	$42.15	$0.00	121.4%	32.6%	77.2%	43.0%	0.0%	33.1%	-0.1%	2.6K	-75.7K	-507	0.00	43.10	N/A	N/A	0	0	166	19
2009-01-12	$40.20	$0.00	131.4%	30.9%	76.9%	49.5%	0.0%	21.1%	-2.1%	2.1K	-54.7K	-472	0.00	75.52	N/A	N/A	2	0	166	19
2009-01-13	$39.90	$0.00	124.2%	35.2%	74.1%	44.9%	0.0%	27.7%	-10.7%	2.2K	-55.2K	-462	0.00	67.81	N/A	N/A	0	0	166	19
2009-01-14	$36.75	$0.00	125.2%	37.5%	80.3%	45.5%	0.0%	15.2%	-23.0%	2.0K	-49.4K	-514	0.00	41.56	N/A	N/A	2	0	166	19
2009-01-15	$37.20	$0.00	114.6%	32.9%	79.9%	38.6%	0.0%	20.3%	-17.2%	1.7K	-31.1K	-406	0.00	37.57	N/A	N/A	2	0	164	19
2009-01-16	$37.80	$0.00	112.1%	32.1%	77.5%	37.0%	0.0%	27.0%	-3.5%	1.8K	-36.5K	-426	0.00	34.57	N/A	N/A	0	0	162	19
2009-01-20	$34.80	$0.00	74.1%	21.2%	81.7%	12.3%	0.0%	7.6%	26.4%	1.7K	-32.3K	-412	0.00	126.44	N/A	N/A	0	0	162	19
2009-01-21	$38.25	$0.00	98.4%	28.2%	88.8%	28.1%	0.0%	13.7%	13.1%	1.6K	-24.9K	-343	0.00	55.33	N/A	N/A	0	0	162	19
2009-01-22	$36.75	$0.00	115.1%	33.0%	87.9%	38.9%	115.1%	22.3%	-6.4%	1.7K	-32.1K	-390	0.00	37.35	N/A	N/A	2	0	162	19
2009-01-23	$37.65	$37.50	111.8%	32.0%	88.4%	36.7%	0.0%	12.6%	5.0%	1.9K	-39.9K	-414	0.00	52.34	N/A	N/A	2	0	164	19
2009-01-26	$38.85	$37.50	115.9%	33.2%	89.3%	39.4%	104.7%	33.4%	-6.6%	1.6K	-33.4K	-310	0.00	41.90	N/A	N/A	1	0	166	19
2009-01-27	$39.75	$37.50	99.2%	28.4%	89.3%	28.6%	0.0%	10.1%	8.6%	2.0K	-44.8K	-320	0.00	107.47	N/A	N/A	6	0	166	19
2009-01-28	$41.10	$37.50	111.8%	32.0%	82.0%	36.7%	0.0%	25.4%	-6.6%	1.8K	-46.9K	-295	0.00	33.87	N/A	N/A	0	0	166	19
2009-01-29	$39.15	$37.50	82.8%	23.7%	80.7%	17.9%	83.8%	13.2%	19.8%	1.8K	-38.2K	-293	6.50	49.05	N/A	N/A	0	1	167	19
2009-01-30	$38.40	$37.50	74.3%	21.3%	76.4%	12.4%	0.0%	21.0%	34.1%	1.7K	-36.6K	-313	0.00	51.14	N/A	N/A	0	0	167	20