ABAT Options History — November 2009

In November 2009, ABAT traded between $48.00 and $54.75. ATM implied volatility averaged 98.2%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 25.9%. IV traded above realized volatility by 40.4% (HV 20d: 57.7%). Max pain ranged from $37.50 to $37.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.82.

Notable Days

2009-11-02: Highest Volume — 16 contracts
2009-11-23: Largest IV drop — 30.4% change
2009-11-10: Highest IV Rank — 65.4%
2009-11-05: Largest Expected Move — 31.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.70	$48.00	$54.75	$48.00	$52.05
Max Pain	$37.50	$37.50	$37.50	$37.50	$37.50
ATM IV	98.2%	62.4%	152.8%	79.4%	101.4%
Expected Move	25.9%	17.9%	31.2%	22.8%	29.1%
HV 20d	57.7%	41.5%	62.7%	41.5%	53.4%
HV 60d	55.9%	52.4%	61.6%	58.7%	52.4%
IV Rank	32.7%	11.1%	65.4%	20.3%	38.0%
IV Percentile	53.3%	6.3%	93.7%	32.9%	63.5%
Term Structure	-10.4%	-46.4%	19.1%	3.0%	-40.5%
VWIV	93.0%	71.7%	111.2%	75.9%	111.2%
Bid-Ask Spread %	38.97	11.90	155.26	121.46	22.37
Gamma HHI	0.55	0.42	0.71	0.48	0.71
Net GEX	5.9K	2.5K	11.8K	2.5K	4.5K
Net DEX	-173.1K	-376.3K	-79.7K	-79.7K	-147.5K
Net VEX	-1.4K	-3.0K	-687	-687	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.00	10.00	0.01	0.00
Total Volume	4	0	16	16	2
Total OI	628.6	612	646	612	633

Daily Data (20 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
2009-11-02	$48.00	$37.50	79.4%	22.8%	41.5%	20.3%	0.0%	0.0%	3.0%	2.5K	-79.7K	-687	0.01	121.46	N/A	N/A	16	0	560	52
2009-11-03	$52.35	$37.50	96.2%	27.6%	52.8%	30.6%	0.0%	0.0%	-28.5%	9.5K	-376.3K	-3.0K	0.00	40.45	N/A	N/A	6	0	560	52
2009-11-04	$51.00	$37.50	106.4%	30.5%	53.2%	36.9%	0.0%	0.0%	-38.6%	6.2K	-129.5K	-1.1K	1.30	155.26	N/A	N/A	3	3	561	52
2009-11-05	$52.35	$37.50	108.8%	31.2%	53.8%	38.3%	0.0%	0.0%	-46.4%	7.1K	-164.6K	-1.4K	0.00	21.46	N/A	N/A	0	0	560	56
2009-11-06	$53.10	$37.50	107.7%	25.6%	54.3%	37.7%	0.0%	0.0%	-1.0%	9.8K	-309.1K	-2.5K	0.00	40.33	N/A	N/A	0	0	560	56
2009-11-09	$54.75	$37.50	124.1%	26.2%	56.0%	47.7%	75.9%	0.0%	1.5%	11.8K	-317.8K	-2.4K	0.82	39.69	N/A	N/A	5	4	560	56
2009-11-10	$51.30	$37.50	152.8%	25.9%	59.5%	65.4%	0.0%	0.0%	19.1%	6.4K	-131.7K	-1.2K	0.16	51.94	N/A	N/A	6	1	565	60
2009-11-11	$51.60	$37.50	142.8%	28.6%	59.1%	59.2%	0.0%	0.0%	3.5%	3.1K	-115.4K	-824	0.80	45.38	N/A	N/A	2	1	568	60
2009-11-12	$49.80	$37.50	100.3%	28.8%	59.5%	33.1%	0.0%	0.0%	-23.6%	3.8K	-82.3K	-848	0.00	35.41	N/A	N/A	8	0	570	60
2009-11-13	$51.30	$37.50	84.6%	24.3%	61.1%	23.5%	98.8%	0.0%	6.0%	4.2K	-96.0K	-828	10.00	18.58	N/A	N/A	0	1	578	60
2009-11-16	$52.20	$37.50	85.1%	24.4%	61.6%	23.8%	0.0%	0.0%	8.1%	4.9K	-109.3K	-902	0.00	13.44	N/A	N/A	7	0	578	60
2009-11-17	$52.95	$37.50	88.6%	25.4%	62.1%	25.9%	0.0%	0.0%	-14.3%	8.9K	-315.1K	-2.5K	0.00	14.10	N/A	N/A	1	0	584	60
2009-11-18	$51.90	$37.50	94.0%	27.0%	62.2%	29.2%	108.8%	0.0%	-3.3%	5.5K	-127.7K	-1.1K	0.15	16.75	N/A	N/A	1	0	584	60
2009-11-19	$50.25	$37.50	86.3%	24.7%	62.6%	24.5%	0.0%	0.0%	11.1%	4.2K	-105.1K	-976	0.00	11.90	N/A	N/A	4	0	586	60
2009-11-20	$51.15	$37.50	89.7%	25.7%	62.7%	29.9%	109.2%	0.0%	16.8%	4.6K	-95.3K	-938	0.93	13.77	N/A	N/A	1	1	583	60
2009-11-23	$52.20	$37.50	62.4%	17.9%	62.3%	11.1%	71.7%	0.0%	-6.9%	4.1K	-141.7K	-1.0K	2.24	15.21	N/A	N/A	1	3	561	58
2009-11-24	$52.05	$37.50	71.5%	20.5%	61.8%	17.4%	75.2%	0.0%	-15.8%	4.4K	-141.0K	-1.1K	0.00	17.47	N/A	N/A	1	0	573	60
2009-11-25	$51.75	$37.50	80.2%	23.0%	57.7%	23.4%	0.0%	0.0%	-22.3%	4.4K	-133.1K	-1.0K	0.00	15.04	N/A	N/A	1	0	573	60
2009-11-27	$51.90	$37.50	100.7%	28.9%	57.4%	37.6%	0.0%	0.0%	-35.4%	7.3K	-344.3K	-2.5K	0.00	69.34	N/A	N/A	1	0	573	60
2009-11-30	$52.05	$37.50	101.4%	29.1%	53.4%	38.0%	111.2%	0.0%	-40.5%	4.5K	-147.5K	-1.1K	0.00	22.37	N/A	N/A	2	0	573	60