ABAT Options History — July 2009

In July 2009, ABAT traded between $54.30 and $67.20. ATM implied volatility averaged 94.8%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 21.0%. IV traded above realized volatility by 39.5% (HV 20d: 55.2%). 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 8 of 22 days. Put/call ratio averaged 0.37.

Notable Days

  • 2009-07-28: Highest Volume — 52 contracts
  • 2009-07-02: Largest IV spike — 79.3% change
  • 2009-07-10: Highest IV Rank — 71.2%
  • 2009-07-02: Largest Expected Move — 28.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.55$54.30$67.20$60.15$64.20
Max Pain$54.55$37.50$75.00$37.50$75.00
ATM IV94.8%51.1%164.7%54.8%61.0%
Expected Move21.0%14.6%28.2%15.7%17.5%
HV 20d55.2%43.6%65.7%62.3%50.3%
HV 60d72.2%65.1%74.1%73.6%65.1%
IV Rank26.9%0.0%71.2%0.0%6.3%
IV Percentile38.2%0.0%96.4%0.0%2.0%
Term Structure1.5%-17.3%26.7%26.7%19.1%
VWIV70.9%49.5%89.6%68.7%61.9%
Bid-Ask Spread %52.2916.40110.9819.7866.78
Gamma HHI0.610.530.730.560.70
Net GEX5.3K3.5K8.9K3.7K8.9K
Net DEX-500.3K-645.8K-382.6K-546.1K-643.5K
Net VEX-2.1K-2.6K-1.5K-2.2K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.004.530.040.23
Total Volume7.22705299
Total OI258.636204288280266

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$60.15$37.5054.8%15.7%62.3%0.0%0.0%0.0%26.7%3.7K-546.1K-2.2K0.0419.78N/AN/A9023347
2009-07-02$58.05$37.5098.3%28.2%63.7%28.2%0.0%0.0%-16.2%3.7K-544.2K-2.3K0.2221.22N/AN/A2023947
2009-07-06$56.40$37.50119.0%21.2%64.5%41.6%68.7%0.0%-6.0%3.8K-505.2K-2.2K0.0076.48N/AN/A1024147
2009-07-07$54.30$37.50124.0%19.8%65.7%44.9%0.0%0.0%-10.1%4.0K-430.9K-1.9K0.0040.38N/AN/A0024047
2009-07-08$54.90$37.50134.6%19.4%64.9%51.7%0.0%0.0%-6.9%3.5K-481.8K-2.1K0.0089.59N/AN/A0024047
2009-07-09$56.10$37.50127.7%23.0%64.1%47.3%0.0%0.0%-12.6%3.7K-487.7K-2.1K0.0091.67N/AN/A1024147
2009-07-10$54.45$37.50164.7%26.0%59.7%71.2%0.0%0.0%-16.3%4.1K-382.6K-1.5K0.00110.98N/AN/A0024147
2009-07-13$57.90$37.50143.8%22.2%64.4%57.7%0.0%0.0%23.9%4.1K-490.2K-2.1K0.0096.00N/AN/A0024146
2009-07-14$56.55$37.50125.6%21.8%53.2%45.8%0.0%0.0%-7.8%4.3K-475.7K-2.0K0.0044.03N/AN/A4024145
2009-07-15$58.65$37.50140.5%21.1%54.7%55.5%85.7%0.0%-4.9%4.2K-465.4K-2.2K0.0075.87N/AN/A1023045
2009-07-16$58.20$37.5071.4%20.5%54.8%10.7%0.0%0.0%0.3%4.4K-437.1K-2.1K0.0039.78N/AN/A0022945
2009-07-17$58.35$37.5073.3%21.0%54.5%12.0%74.5%0.0%-4.6%4.1K-414.7K-2.0K4.5343.70N/AN/A1521842
2009-07-20$59.10$75.0051.1%14.6%54.6%0.0%49.5%0.0%21.6%4.5K-396.4K-1.9K0.0416.40N/AN/A3016341
2009-07-21$58.95$75.0072.8%20.9%47.2%13.8%89.6%0.0%25.2%5.0K-394.4K-1.6K0.0761.33N/AN/A10116342
2009-07-22$59.70$75.0071.3%20.4%45.8%12.8%51.4%0.0%24.9%5.8K-413.9K-1.7K1.6217.69N/AN/A2317042
2009-07-23$63.00$75.0070.2%20.1%47.2%12.1%0.0%0.0%25.9%5.8K-492.9K-1.9K0.0066.69N/AN/A18017041
2009-07-24$63.60$75.0069.2%19.8%43.6%11.5%0.0%0.0%-9.5%6.4K-531.8K-2.2K0.0924.60N/AN/A10118241
2009-07-27$67.20$75.0081.5%23.4%47.1%19.3%82.4%0.0%-8.2%7.2K-645.8K-2.3K0.2742.56N/AN/A13418642
2009-07-28$64.80$75.0065.4%18.8%49.1%9.1%74.2%0.0%-5.7%7.4K-603.4K-2.1K0.0047.89N/AN/A52019043
2009-07-29$62.10$75.0089.0%25.5%51.8%24.0%0.0%0.0%-17.3%8.4K-599.1K-2.6K0.3922.94N/AN/A2121843
2009-07-30$63.45$75.0075.7%21.7%52.2%15.6%0.0%0.0%-9.4%8.6K-624.0K-2.5K0.0034.08N/AN/A6021744
2009-07-31$64.20$75.0061.0%17.5%50.3%6.3%61.9%0.0%19.1%8.9K-643.5K-2.6K0.2366.78N/AN/A7222244