ABAT Options History — March 2009

In March 2009, ABAT traded between $25.35 and $34.20. ATM implied volatility averaged 107.6%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 27.5%. IV traded above realized volatility by 37.4% (HV 20d: 70.2%). Max pain ranged from $37.50 to $37.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.59.

Notable Days

2009-03-02: Highest Volume — 13 contracts
2009-03-12: Largest IV drop — 37.0% change
2009-03-06: Highest IV Rank — 73.9%
2009-03-05: Largest Expected Move — 42.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.51	$25.35	$34.20	$30.60	$32.10
Max Pain	$37.50	$37.50	$37.50	$37.50	$37.50
ATM IV	107.6%	79.2%	168.9%	104.8%	92.1%
Expected Move	27.5%	22.7%	42.5%	30.0%	26.4%
HV 20d	70.2%	54.5%	83.3%	54.5%	78.4%
HV 60d	72.1%	68.9%	74.9%	73.6%	70.4%
IV Rank	34.0%	15.6%	73.9%	32.2%	24.0%
IV Percentile	50.5%	16.3%	97.6%	55.2%	31.7%
Term Structure	5.8%	-44.9%	45.9%	-10.9%	-1.5%
VWIV	93.6%	63.7%	118.7%	118.7%	98.4%
Bid-Ask Spread %	65.11	13.83	117.42	85.68	34.67
Gamma HHI	0.67	0.52	0.80	0.60	0.60
Net GEX	194	20	961	961	144
Net DEX	18.5K	-20.8K	55.2K	6.7K	-16.4K
Net VEX	-105	-159	-27	-154	-156
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.00	2.50	0.00	1.33
Total Volume	1.818	0	13	13	0
Total OI	132.091	16	188	187	24

Daily Data (22 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
2009-03-02	$30.60	$37.50	104.8%	30.0%	54.5%	32.2%	118.7%	0.0%	-10.9%	961	6.7K	-154	0.00	85.68	N/A	N/A	13	0	167	20
2009-03-03	$28.95	$37.50	105.3%	30.2%	56.6%	32.5%	0.0%	0.0%	-23.4%	648	15.0K	-127	0.00	27.62	N/A	N/A	0	0	158	20
2009-03-04	$29.85	$37.50	128.9%	37.0%	55.2%	47.9%	0.0%	0.0%	-27.4%	20	55.2K	-28	0.67	13.83	N/A	N/A	1	0	158	20
2009-03-05	$27.00	$37.50	148.1%	42.5%	62.5%	60.4%	0.0%	0.0%	-44.9%	20	50.8K	-28	0.00	15.53	N/A	N/A	0	0	159	20
2009-03-06	$27.30	$37.50	168.9%	25.0%	63.5%	73.9%	0.0%	0.0%	3.7%	20	50.6K	-27	0.00	81.59	N/A	N/A	7	0	159	20
2009-03-09	$27.00	$37.50	133.6%	24.2%	62.0%	50.9%	0.0%	0.0%	6.7%	99	41.7K	-76	0.00	84.17	N/A	N/A	0	0	165	20
2009-03-10	$25.95	$37.50	133.2%	25.6%	61.3%	50.7%	0.0%	0.0%	2.2%	90	39.8K	-72	0.00	80.81	N/A	N/A	0	0	165	20
2009-03-11	$25.80	$37.50	162.5%	23.4%	60.9%	69.7%	0.0%	0.0%	17.8%	92	40.0K	-73	0.00	28.67	N/A	N/A	3	0	165	20
2009-03-12	$25.35	$37.50	102.5%	29.4%	60.8%	30.7%	0.0%	0.0%	-0.4%	117	36.4K	-89	0.00	82.75	N/A	N/A	1	0	168	20
2009-03-13	$26.55	$37.50	91.7%	26.3%	65.0%	23.7%	0.0%	0.0%	3.7%	128	35.7K	-100	0.00	84.97	N/A	N/A	0	0	168	20
2009-03-16	$27.30	$37.50	93.3%	26.7%	67.0%	24.7%	0.0%	0.0%	18.0%	131	36.3K	-102	0.00	37.28	N/A	N/A	0	0	168	20
2009-03-17	$28.80	$37.50	96.9%	27.8%	71.4%	27.1%	0.0%	0.0%	11.0%	136	32.9K	-101	0.00	115.19	N/A	N/A	0	0	168	18
2009-03-18	$31.95	$37.50	93.4%	26.8%	81.6%	24.8%	0.0%	0.0%	20.0%	174	36.5K	-110	0.75	87.14	N/A	N/A	1	1	168	18
2009-03-19	$30.15	$37.50	79.2%	22.7%	83.3%	15.6%	0.0%	0.0%	19.8%	176	29.7K	-113	0.00	117.42	N/A	N/A	0	1	168	17
2009-03-20	$29.55	$37.50	85.4%	24.5%	81.7%	19.6%	0.0%	0.0%	9.0%	170	27.7K	-111	0.13	115.39	N/A	N/A	2	0	168	17
2009-03-23	$31.50	$37.50	94.2%	27.0%	80.0%	25.3%	63.7%	0.0%	45.9%	183	-15.9K	-113	0.00	82.78	N/A	N/A	2	0	14	2
2009-03-24	$30.75	$37.50	81.1%	23.3%	78.1%	16.8%	0.0%	0.0%	36.7%	198	-19.4K	-125	2.22	24.16	N/A	N/A	1	1	16	2
2009-03-25	$32.25	$37.50	97.3%	27.9%	80.1%	27.4%	0.0%	0.0%	29.6%	187	-18.7K	-138	2.50	84.60	N/A	N/A	0	1	17	3
2009-03-26	$34.05	$37.50	97.7%	28.0%	79.5%	27.6%	98.4%	0.0%	-4.7%	195	-19.7K	-148	0.00	60.80	N/A	N/A	0	0	17	4
2009-03-27	$34.20	$37.50	91.9%	26.4%	79.5%	23.9%	0.0%	0.0%	7.4%	216	-20.8K	-152	1.33	63.33	N/A	N/A	2	3	17	4
2009-03-30	$32.25	$37.50	85.3%	24.5%	81.2%	19.6%	0.0%	0.0%	8.2%	156	-17.4K	-159	0.00	23.95	N/A	N/A	0	0	18	6
2009-03-31	$32.10	$37.50	92.1%	26.4%	78.4%	24.0%	0.0%	0.0%	-1.5%	144	-16.4K	-156	0.00	34.67	N/A	N/A	0	0	18	6