ABAT Options History — September 2009

In September 2009, ABAT traded between $55.20 and $65.10. ATM implied volatility averaged 71.3%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded above realized volatility by 15.8% (HV 20d: 55.4%). Max pain ranged from $37.50 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.07.

Notable Days

2009-09-30: Highest Volume — 73 contracts
2009-09-30: Largest IV spike — 51.8% change
2009-09-01: Highest IV Rank — 39.4%
2009-09-01: Largest Expected Move — 32.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.96	$55.20	$65.10	$55.80	$65.10
Max Pain	$62.50	$37.50	$75.00	$37.50	$75.00
ATM IV	71.3%	46.5%	113.3%	113.3%	88.8%
Expected Move	20.2%	13.3%	32.5%	32.5%	25.4%
HV 20d	55.4%	46.4%	70.0%	68.8%	46.4%
HV 60d	60.5%	57.8%	64.8%	64.7%	59.3%
IV Rank	14.6%	0.0%	39.4%	39.4%	26.0%
IV Percentile	17.3%	0.0%	65.5%	65.5%	37.3%
Term Structure	-1.4%	-42.8%	27.5%	-29.5%	-1.9%
VWIV	70.8%	47.0%	111.1%	111.1%	89.5%
Bid-Ask Spread %	44.85	16.40	97.66	27.31	57.32
Gamma HHI	0.49	0.43	0.52	0.47	0.52
Net GEX	13.5K	9.2K	18.4K	11.2K	18.4K
Net DEX	-761.9K	-868.1K	-507.5K	-633.5K	-862.4K
Net VEX	-4.3K	-5.1K	-2.4K	-3.2K	-5.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.07	0.00	0.67	0.01	0.02
Total Volume	13.905	0	73	9	73
Total OI	504.762	414	557	547	449

Daily Data (21 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
2009-09-01	$55.80	$37.50	113.3%	32.5%	68.8%	39.4%	0.0%	0.0%	-29.5%	11.2K	-633.5K	-3.2K	0.01	27.31	N/A	N/A	9	0	496	51
2009-09-02	$55.20	$37.50	100.9%	28.9%	68.1%	31.5%	111.1%	0.0%	-42.8%	9.2K	-507.5K	-2.4K	0.01	22.74	N/A	N/A	16	0	497	51
2009-09-03	$57.75	$37.50	77.9%	22.3%	69.6%	17.0%	0.0%	0.0%	20.1%	10.5K	-753.9K	-3.9K	0.00	19.30	N/A	N/A	0	0	499	51
2009-09-04	$59.25	$37.50	70.9%	16.7%	70.0%	12.6%	0.0%	0.0%	-4.4%	11.6K	-790.1K	-3.9K	0.00	92.59	N/A	N/A	2	0	499	51
2009-09-08	$59.70	$37.50	77.2%	22.3%	69.7%	16.5%	0.0%	0.0%	-13.0%	11.7K	-835.3K	-4.1K	0.00	42.30	N/A	N/A	1	0	500	51
2009-09-09	$57.75	$37.50	79.0%	20.3%	68.0%	17.7%	0.0%	0.0%	5.3%	11.6K	-729.4K	-3.6K	0.00	60.35	N/A	N/A	4	0	500	51
2009-09-10	$58.35	$37.50	46.5%	13.3%	59.7%	0.0%	52.3%	0.0%	22.6%	11.3K	-728.8K	-3.7K	0.15	17.26	N/A	N/A	4	1	496	51
2009-09-11	$58.65	$75.00	54.1%	15.5%	50.9%	4.7%	0.0%	0.0%	5.4%	12.1K	-767.3K	-4.0K	0.00	66.18	N/A	N/A	17	0	496	52
2009-09-14	$59.55	$75.00	64.7%	18.6%	46.7%	11.2%	0.0%	0.0%	14.0%	12.5K	-745.9K	-4.1K	0.00	16.40	N/A	N/A	1	0	491	52
2009-09-15	$62.85	$75.00	70.1%	20.1%	48.2%	14.5%	0.0%	0.0%	-13.3%	13.6K	-849.1K	-4.3K	0.00	48.50	N/A	N/A	6	0	492	52
2009-09-16	$63.75	$75.00	50.9%	14.6%	48.4%	2.7%	47.0%	0.0%	13.3%	15.6K	-868.1K	-4.3K	0.12	72.95	N/A	N/A	13	2	493	52
2009-09-17	$62.10	$75.00	63.9%	18.3%	48.7%	10.7%	0.0%	0.0%	-6.6%	13.8K	-863.1K	-4.5K	0.67	38.29	N/A	N/A	5	3	499	53
2009-09-18	$63.30	$75.00	68.4%	19.6%	49.1%	13.5%	78.4%	0.0%	-10.9%	13.9K	-835.2K	-4.4K	0.01	43.87	N/A	N/A	55	1	500	57
2009-09-21	$64.05	$75.00	69.1%	19.8%	48.5%	13.9%	47.3%	0.0%	-6.7%	14.5K	-668.9K	-4.6K	0.00	26.85	N/A	N/A	13	0	376	39
2009-09-22	$63.15	$75.00	49.5%	14.2%	48.0%	1.8%	0.0%	0.0%	23.3%	14.9K	-671.2K	-4.7K	0.00	23.47	N/A	N/A	4	0	375	39
2009-09-23	$65.10	$75.00	69.7%	20.0%	47.8%	14.3%	66.1%	0.0%	4.0%	15.8K	-803.2K	-5.0K	0.07	76.13	N/A	N/A	29	2	378	39
2009-09-24	$62.10	$75.00	81.4%	23.3%	50.5%	21.5%	90.7%	0.0%	-19.8%	14.7K	-752.2K	-4.9K	0.27	31.79	N/A	N/A	7	2	400	39
2009-09-25	$63.75	$75.00	89.4%	25.6%	51.3%	26.4%	89.4%	0.0%	-23.3%	15.5K	-819.9K	-5.0K	0.17	97.66	N/A	N/A	8	1	402	39
2009-09-28	$61.35	$75.00	52.2%	15.0%	53.1%	3.5%	48.7%	0.0%	27.5%	15.0K	-804.7K	-5.1K	0.00	39.64	N/A	N/A	6	0	405	40
2009-09-29	$61.50	$75.00	58.5%	16.8%	52.2%	7.4%	58.5%	0.0%	6.9%	15.4K	-709.2K	-4.7K	0.00	20.95	N/A	N/A	7	0	407	40
2009-09-30	$65.10	$75.00	88.8%	25.4%	46.4%	26.0%	89.5%	0.0%	-1.9%	18.4K	-862.4K	-5.1K	0.02	57.32	N/A	N/A	72	1	409	40