ABAT Options History — February 2009

In February 2009, ABAT traded between $31.80 and $40.65. ATM implied volatility averaged 100.7%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 30.1%. IV traded above realized volatility by 39.4% (HV 20d: 61.3%). Max pain ranged from $37.50 to $37.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.43.

Notable Days

2009-02-19: Highest Volume — 4 contracts
2009-02-10: Largest IV spike — 51.4% change
2009-02-27: Highest IV Rank — 46.9%
2009-02-27: Largest Expected Move — 36.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.84	$31.80	$40.65	$38.25	$31.80
Max Pain	$37.50	$37.50	$37.50	$37.50	$37.50
ATM IV	100.7%	69.7%	127.3%	80.0%	127.3%
Expected Move	30.1%	21.9%	36.5%	22.9%	36.5%
HV 20d	61.3%	43.7%	76.2%	74.5%	53.7%
HV 60d	106.1%	74.5%	125.4%	125.4%	74.5%
IV Rank	29.6%	9.4%	46.9%	16.1%	46.9%
IV Percentile	50.3%	8.4%	84.9%	16.7%	84.9%
Term Structure	-7.6%	-25.4%	39.1%	32.4%	-22.7%
VWIV	112.5%	105.7%	122.2%	105.7%	122.2%
Skew 25d	13.9%	-4.8%	26.3%	19.8%	-4.8%
Skew 10d	19.1%	-7.6%	37.9%	28.8%	-7.6%
Call IV 25d	98.0%	85.8%	117.7%	92.2%	117.7%
Put IV 25d	111.9%	105.8%	119.8%	111.9%	112.9%
Bid-Ask Spread %	33.77	18.64	80.69	50.44	34.22
Gamma HHI	0.62	0.50	0.98	0.52	0.50
Net GEX	1.4K	1.0K	1.9K	1.7K	1.3K
Net DEX	-19.2K	-38.6K	2.0K	-32.1K	-9.9K
Net VEX	-229	-315	-178	-315	-217
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.00	2.50	0.00	0.00
Total Volume	0.684	0	4	0	0
Total OI	187.053	185	191	187	187

Daily Data (19 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
2009-02-02	$38.25	$37.50	80.0%	22.9%	74.5%	16.1%	0.0%	19.8%	32.4%	1.7K	-32.1K	-315	0.00	50.44	N/A	N/A	0	0	167	20
2009-02-03	$39.90	$37.50	76.4%	21.9%	76.2%	13.8%	0.0%	21.4%	39.1%	1.7K	-33.6K	-267	0.00	62.24	N/A	N/A	0	0	167	20
2009-02-04	$40.05	$37.50	78.5%	22.5%	70.0%	15.1%	0.0%	20.1%	33.6%	1.6K	-38.6K	-260	0.00	60.14	N/A	N/A	1	0	167	20
2009-02-05	$39.45	$37.50	76.8%	22.0%	68.9%	14.0%	0.0%	17.2%	13.1%	1.5K	-30.8K	-255	0.00	80.69	N/A	N/A	0	0	166	20
2009-02-06	$40.20	$37.50	69.7%	30.4%	69.4%	9.4%	105.7%	16.9%	-17.7%	1.7K	-31.4K	-220	0.00	19.29	N/A	N/A	0	0	166	20
2009-02-09	$40.65	$37.50	76.6%	31.1%	68.4%	13.9%	0.0%	18.8%	-7.6%	1.9K	-36.0K	-201	0.00	18.64	N/A	N/A	0	0	166	20
2009-02-10	$38.85	$37.50	116.0%	31.4%	68.2%	39.5%	109.6%	15.8%	-20.4%	1.5K	-28.1K	-231	2.50	22.18	N/A	N/A	0	1	166	20
2009-02-11	$38.40	$37.50	95.3%	33.2%	68.3%	26.0%	0.0%	26.3%	-20.6%	1.5K	-30.1K	-238	0.00	23.16	N/A	N/A	0	3	166	19
2009-02-12	$38.40	$37.50	113.2%	32.5%	61.3%	37.7%	0.0%	24.4%	-18.8%	1.3K	-25.2K	-244	0.00	25.88	N/A	N/A	0	0	166	22
2009-02-13	$38.10	$37.50	111.8%	32.0%	61.3%	36.8%	0.0%	6.2%	-19.1%	1.3K	-20.6K	-241	0.00	23.98	N/A	N/A	0	0	166	22
2009-02-17	$37.80	$37.50	114.7%	32.9%	61.1%	38.6%	114.5%	4.0%	-20.5%	1.2K	-18.0K	-222	0.00	22.42	N/A	N/A	0	0	166	22
2009-02-18	$36.15	$37.50	109.6%	31.4%	55.5%	35.3%	0.0%	-1.7%	-17.8%	1.2K	-11.1K	-210	0.00	22.88	N/A	N/A	0	0	166	22
2009-02-19	$36.60	$37.50	119.8%	34.3%	43.7%	42.0%	117.3%	10.2%	-21.5%	1.2K	-14.9K	-223	0.06	23.21	N/A	N/A	4	0	166	22
2009-02-20	$34.65	$37.50	113.0%	32.4%	45.7%	37.5%	0.0%	-4.8%	-23.0%	1.3K	-198	-218	0.00	25.20	N/A	N/A	0	1	169	22
2009-02-23	$31.80	$37.50	94.3%	27.0%	53.1%	25.4%	105.8%	0.0%	-5.6%	1.1K	1.1K	-195	0.91	32.89	N/A	N/A	1	1	167	20
2009-02-24	$33.45	$37.50	121.8%	34.9%	55.4%	43.2%	122.2%	0.0%	-25.4%	1.2K	-6.7K	-225	0.00	27.03	N/A	N/A	1	0	166	20
2009-02-25	$33.75	$37.50	106.9%	30.6%	54.6%	33.6%	0.0%	0.0%	-11.1%	1.2K	-555	-194	0.00	37.22	N/A	N/A	0	0	166	20
2009-02-26	$31.80	$37.50	111.9%	32.1%	55.2%	36.8%	0.0%	0.0%	-11.5%	1.0K	2.0K	-178	0.00	29.91	N/A	N/A	0	0	167	20
2009-02-27	$31.80	$37.50	127.3%	36.5%	53.7%	46.9%	0.0%	0.0%	-22.7%	1.3K	-9.9K	-217	0.00	34.22	N/A	N/A	0	0	167	20