ABAT Options History — December 2009

In December 2009, ABAT traded between $53.85 and $60.90. ATM implied volatility averaged 72.4%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded above realized volatility by 31.5% (HV 20d: 40.9%). 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 0.18.

Notable Days

  • 2009-12-07: Highest Volume — 30 contracts
  • 2009-12-17: Largest IV spike — 51.9% change
  • 2009-12-03: Highest IV Rank — 45.8%
  • 2009-12-03: Largest Expected Move — 32.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.17$53.85$60.90$54.15$60.00
Max Pain$37.50$37.50$37.50$37.50$37.50
ATM IV72.4%46.4%112.6%98.4%69.4%
Expected Move19.5%13.3%32.3%28.2%19.9%
HV 20d40.9%34.1%51.5%51.5%47.9%
HV 60d51.7%46.7%54.1%52.7%47.7%
IV Rank18.6%0.0%45.8%36.0%18.5%
IV Percentile25.6%0.0%76.6%60.3%22.2%
Term Structure10.8%-41.8%67.9%-28.1%14.8%
VWIV70.1%43.8%85.4%52.3%74.0%
Bid-Ask Spread %30.438.4196.2321.129.95
Gamma HHI0.510.450.690.690.55
Net GEX8.7K6.0K11.4K6.0K11.1K
Net DEX-420.3K-486.6K-209.0K-209.0K-481.8K
Net VEX-2.6K-2.8K-1.5K-1.5K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.001.470.330.00
Total Volume7.36413036
Total OI521.636348635632381

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$54.15$37.5098.4%28.2%51.5%36.0%0.0%0.0%-28.1%6.0K-209.0K-1.5K0.3321.12N/AN/A2157260
2009-12-02$55.20$37.5093.0%26.7%42.2%32.3%0.0%0.0%67.9%7.9K-422.1K-2.8K0.1516.42N/AN/A3057260
2009-12-03$56.10$37.50112.6%32.3%41.1%45.8%0.0%0.0%-36.9%7.5K-290.0K-2.0K0.1118.04N/AN/A2057460
2009-12-04$59.40$37.5086.1%17.1%44.5%27.5%52.3%0.0%28.5%8.7K-420.7K-2.6K0.2096.23N/AN/A3157461
2009-12-07$58.05$37.50110.9%20.3%45.6%44.7%71.1%0.0%-15.0%8.7K-444.2K-2.8K0.0381.51N/AN/A29157461
2009-12-08$57.30$37.5073.2%18.0%44.9%18.5%78.7%0.0%22.4%8.5K-436.2K-2.8K0.0613.59N/AN/A5055261
2009-12-09$56.40$37.5078.6%17.3%38.0%22.3%43.8%0.0%28.6%8.2K-433.7K-2.8K0.0012.73N/AN/A10055161
2009-12-10$57.45$37.5062.7%18.0%38.3%11.2%0.0%0.0%26.2%8.5K-482.9K-2.8K1.4710.66N/AN/A2355552
2009-12-11$57.90$37.5052.7%15.1%35.1%4.3%0.0%0.0%18.9%8.8K-486.6K-2.7K0.0013.18N/AN/A2055649
2009-12-14$58.20$37.5048.9%14.0%34.1%1.7%85.2%0.0%23.5%9.0K-482.9K-2.7K0.1362.30N/AN/A2055549
2009-12-15$57.90$37.5071.6%20.5%34.1%17.4%85.4%0.0%-18.1%9.0K-476.4K-2.6K0.0035.52N/AN/A1055448
2009-12-16$56.55$37.5053.5%15.3%35.4%4.9%0.0%0.0%22.8%8.5K-472.8K-2.6K0.4716.73N/AN/A3255348
2009-12-17$54.00$37.5081.3%23.3%38.7%24.1%0.0%0.0%-41.8%7.5K-428.0K-2.4K0.2164.14N/AN/A6155148
2009-12-18$53.85$37.5078.5%22.5%36.6%22.2%0.0%0.0%-39.6%7.6K-425.4K-2.5K0.3619.01N/AN/A16654849
2009-12-21$55.50$37.5074.0%21.2%37.5%22.2%74.0%0.0%-3.9%8.2K-432.2K-2.7K0.0064.64N/AN/A14032130
2009-12-22$56.55$37.5063.4%18.2%37.4%13.6%0.0%0.0%26.4%8.3K-365.1K-2.5K0.0061.35N/AN/A4031830
2009-12-23$57.00$37.5065.0%18.6%37.4%15.0%0.0%0.0%29.1%8.7K-395.1K-2.6K0.0012.65N/AN/A3032030
2009-12-24$56.55$37.5057.8%16.6%37.4%9.2%0.0%0.0%29.9%8.7K-395.7K-2.7K0.0013.13N/AN/A1032230
2009-12-28$60.90$37.5063.3%18.2%44.9%13.6%0.0%0.0%32.5%10.3K-442.1K-2.6K0.058.93N/AN/A14132230
2009-12-29$58.35$37.5051.4%14.7%48.3%4.0%0.0%0.0%22.9%10.1K-434.5K-2.7K0.349.27N/AN/A4233531
2009-12-30$60.45$37.5046.4%13.3%48.0%0.0%0.0%0.0%25.6%11.4K-389.1K-2.3K0.098.41N/AN/A11133830
2009-12-31$60.00$37.5069.4%19.9%47.9%18.5%0.0%0.0%14.8%11.1K-481.8K-2.8K0.009.95N/AN/A6035031