ABAT Options History — October 2009

In October 2009, ABAT traded between $50.40 and $62.85. ATM implied volatility averaged 78.7%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded above realized volatility by 21.6% (HV 20d: 57.1%). 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 11 of 22 days. Put/call ratio averaged 0.08.

Notable Days

  • 2009-10-19: Highest Volume — 64 contracts
  • 2009-10-23: Largest IV spike — 53.5% change
  • 2009-10-28: Highest IV Rank — 43.1%
  • 2009-10-28: Largest Expected Move — 33.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.67$50.40$62.85$57.75$50.40
Max Pain$61.36$37.50$75.00$75.00$37.50
ATM IV78.7%48.9%116.6%68.7%84.6%
Expected Move21.6%14.0%33.4%19.7%24.3%
HV 20d57.1%35.6%64.7%64.7%40.1%
HV 60d61.4%57.7%64.4%64.4%58.2%
IV Rank19.8%1.5%43.1%13.7%23.5%
IV Percentile27.9%0.4%77.4%12.7%38.1%
Term Structure-2.1%-85.7%40.1%22.7%31.9%
VWIV77.3%69.2%85.0%82.8%81.2%
Bid-Ask Spread %37.9717.2780.6230.8343.08
Gamma HHI0.570.530.610.530.55
Net GEX16.5K7.1K22.0K15.1K7.9K
Net DEX-712.7K-961.2K-128.3K-689.8K-144.5K
Net VEX-4.5K-5.5K-1.2K-4.6K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.000.690.040.69
Total Volume14.1360644810
Total OI556.182490604490604

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$57.75$75.0068.7%19.7%64.7%13.7%0.0%0.0%22.7%15.1K-689.8K-4.6K0.0430.83N/AN/A46244842
2009-10-02$58.20$75.0072.5%20.8%62.7%16.0%0.0%0.0%28.4%16.5K-715.7K-4.9K0.2321.24N/AN/A3147944
2009-10-05$59.25$75.0068.2%20.7%62.4%13.4%82.8%0.0%-0.5%15.6K-835.9K-5.5K0.0080.62N/AN/A17048244
2009-10-06$60.75$75.0070.3%23.5%62.9%14.7%83.1%0.0%-2.3%17.1K-895.6K-5.5K0.0035.34N/AN/A11048144
2009-10-07$60.45$75.0093.3%23.2%61.7%28.8%83.5%0.0%-7.0%17.6K-835.7K-5.3K0.0067.00N/AN/A7049044
2009-10-08$61.50$75.0062.9%22.2%61.9%10.1%78.1%0.0%-1.0%18.7K-907.9K-5.5K0.0633.68N/AN/A13149344
2009-10-09$61.65$75.0067.5%20.3%61.9%12.9%69.2%0.0%0.7%19.1K-852.5K-5.4K0.2132.33N/AN/A4149145
2009-10-12$61.50$75.0092.6%19.8%61.7%28.4%0.0%0.0%3.5%18.5K-936.5K-5.5K0.0031.30N/AN/A6049346
2009-10-13$61.95$75.00106.3%18.7%58.6%36.8%76.1%0.0%2.8%19.1K-922.9K-5.5K0.0033.78N/AN/A12049746
2009-10-14$62.85$75.00108.9%21.9%58.6%38.4%0.0%0.0%0.5%19.8K-932.0K-5.3K0.0030.21N/AN/A5050746
2009-10-15$61.20$75.0059.4%17.0%58.6%8.0%69.4%0.0%5.3%19.6K-874.0K-5.4K0.0241.38N/AN/A18050846
2009-10-16$60.15$75.0066.4%19.0%58.4%12.3%77.9%0.0%-1.8%19.3K-915.8K-5.5K0.1045.99N/AN/A7151746
2009-10-19$60.45$75.0059.3%17.0%58.2%7.9%69.8%0.0%-2.5%22.0K-856.0K-5.0K0.0032.28N/AN/A64050245
2009-10-20$59.85$75.0068.2%19.6%58.1%13.4%85.0%0.0%8.4%18.7K-961.2K-5.4K0.0222.23N/AN/A11051545
2009-10-21$60.00$37.5064.6%18.5%56.9%11.1%72.0%0.0%4.5%19.8K-880.7K-5.2K0.0131.51N/AN/A12052145
2009-10-22$58.65$37.5048.9%14.0%55.0%1.5%0.0%0.0%40.1%19.0K-908.4K-5.0K0.0319.00N/AN/A7052845
2009-10-23$57.00$37.5075.0%21.5%54.6%17.6%81.2%0.0%-7.0%17.8K-736.6K-4.7K0.0058.23N/AN/A0053345
2009-10-26$55.05$37.50102.4%29.3%54.4%34.4%0.0%0.0%-33.6%13.0K-273.9K-2.4K0.2928.48N/AN/A21653345
2009-10-27$56.10$37.5083.9%24.1%55.0%23.0%0.0%0.0%-21.0%13.2K-288.1K-2.5K0.0050.58N/AN/A15055249
2009-10-28$52.65$37.50116.6%33.4%53.7%43.1%0.0%0.0%-85.7%7.1K-128.3K-1.2K0.0149.07N/AN/A9055349
2009-10-29$53.40$37.5091.1%26.1%35.6%27.5%0.0%0.0%-31.4%8.6K-187.5K-1.8K0.0017.27N/AN/A1055549
2009-10-30$50.40$37.5084.6%24.3%40.1%23.5%0.0%0.0%31.9%7.9K-144.5K-1.5K0.6943.08N/AN/A6455549