ABAT Options History — January 2010

In January 2010, ABAT traded between $53.85 and $68.70. ATM implied volatility averaged 69.8%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 20.7%. IV traded above realized volatility by 12.4% (HV 20d: 57.4%). Max pain ranged from $37.50 to $75.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.25.

Notable Days

2010-01-05: Highest Volume — 576 contracts
2010-01-07: Largest IV drop — 31.9% change
2010-01-13: Highest IV Rank — 29.8%
2010-01-05: Largest Expected Move — 22.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.55	$53.85	$68.70	$60.90	$55.20
Max Pain	$41.45	$37.50	$75.00	$37.50	$37.50
ATM IV	69.8%	53.3%	83.4%	63.9%	67.5%
Expected Move	20.7%	18.5%	22.9%	18.8%	19.3%
HV 20d	57.4%	47.9%	64.3%	47.9%	56.3%
HV 60d	52.7%	47.8%	55.2%	47.8%	51.7%
IV Rank	18.8%	5.5%	29.8%	14.1%	17.0%
IV Percentile	25.3%	4.8%	47.2%	11.1%	20.2%
Term Structure	-1.9%	-21.5%	15.2%	1.3%	-14.4%
VWIV	77.9%	66.3%	101.7%	66.3%	70.8%
Bid-Ask Spread %	16.77	6.91	35.96	31.37	6.91
Gamma HHI	0.77	0.57	0.84	0.71	0.75
Net GEX	32.9K	11.6K	64.4K	11.6K	18.4K
Net DEX	-1.1M	-2.1M	-396.5K	-396.5K	-643.9K
Net VEX	-6.2K	-8.3K	-2.2K	-2.2K	-4.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.00	1.88	0.03	0.00
Total Volume	69.737	6	576	9	10
Total OI	879.316	384	1,029	384	943

Daily Data (19 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
2010-01-04	$60.90	$37.50	63.9%	18.8%	47.9%	14.1%	66.3%	0.0%	1.3%	11.6K	-396.5K	-2.2K	0.03	31.37	N/A	N/A	9	0	353	31
2010-01-05	$66.30	$37.50	71.4%	22.9%	52.7%	20.1%	79.8%	0.0%	-1.3%	15.6K	-647.3K	-3.2K	0.03	11.65	N/A	N/A	560	16	355	30
2010-01-06	$68.70	$37.50	81.2%	22.3%	52.6%	28.1%	77.7%	0.0%	-2.2%	45.7K	-1.7M	-6.9K	0.03	12.16	N/A	N/A	196	7	698	46
2010-01-07	$66.75	$37.50	55.3%	22.5%	53.7%	7.2%	78.6%	0.0%	1.8%	47.5K	-1.6M	-7.0K	0.12	11.66	N/A	N/A	69	9	753	49
2010-01-08	$65.40	$37.50	53.3%	22.4%	54.0%	5.5%	78.0%	0.0%	0.4%	38.3K	-1.5M	-6.9K	0.06	24.99	N/A	N/A	111	6	789	57
2010-01-11	$68.40	$37.50	66.5%	22.4%	55.5%	16.2%	78.2%	0.0%	-0.7%	64.4K	-2.1M	-8.3K	0.89	15.35	N/A	N/A	40	35	869	59
2010-01-12	$66.75	$37.50	81.5%	19.7%	56.8%	28.3%	69.0%	0.0%	15.2%	46.1K	-1.7M	-8.2K	0.00	15.87	N/A	N/A	42	0	904	94
2010-01-13	$64.95	$37.50	83.4%	22.0%	58.1%	29.8%	76.9%	0.0%	3.3%	44.0K	-1.6M	-7.9K	0.17	20.35	N/A	N/A	18	3	919	94
2010-01-14	$64.35	$37.50	74.3%	21.3%	58.2%	22.5%	74.1%	0.0%	1.6%	45.0K	-1.5M	-7.7K	1.88	15.09	N/A	N/A	2	4	930	96
2010-01-15	$62.25	$37.50	74.6%	21.4%	58.9%	22.7%	74.8%	0.0%	-0.3%	40.9K	-1.1M	-7.0K	0.11	16.98	N/A	N/A	13	1	929	100
2010-01-19	$63.90	$37.50	73.7%	21.1%	56.2%	22.0%	74.6%	0.0%	5.1%	41.1K	-1.5M	-7.7K	1.05	20.62	N/A	N/A	22	23	826	91
2010-01-20	$61.80	$37.50	64.8%	18.6%	58.0%	14.8%	75.4%	0.0%	-1.2%	40.4K	-1.4M	-7.4K	0.01	24.07	N/A	N/A	15	0	833	112
2010-01-21	$58.20	$37.50	72.2%	20.7%	61.9%	20.8%	80.8%	0.0%	1.6%	34.7K	-1.2M	-7.1K	0.04	35.96	N/A	N/A	36	1	840	112
2010-01-22	$55.50	$75.00	74.0%	21.2%	64.0%	22.3%	93.0%	0.0%	-12.5%	18.8K	-543.1K	-5.0K	0.03	18.73	N/A	N/A	26	1	846	114
2010-01-25	$54.90	$75.00	71.4%	20.5%	64.0%	20.1%	75.2%	0.0%	-21.5%	17.9K	-635.8K	-5.2K	0.04	9.23	N/A	N/A	7	0	842	114
2010-01-26	$53.85	$37.50	66.0%	18.9%	64.3%	15.8%	0.0%	0.0%	11.9%	17.2K	-544.6K	-4.8K	0.13	9.54	N/A	N/A	6	1	843	115
2010-01-27	$55.95	$37.50	66.0%	18.9%	59.7%	15.8%	101.7%	0.0%	-12.9%	18.4K	-767.3K	-5.4K	0.05	10.32	N/A	N/A	12	1	846	115
2010-01-28	$55.35	$37.50	64.7%	18.5%	58.0%	14.7%	0.0%	0.0%	-12.0%	18.2K	-701.2K	-5.2K	0.00	7.76	N/A	N/A	23	0	845	115
2010-01-29	$55.20	$37.50	67.5%	19.3%	56.3%	17.0%	70.8%	0.0%	-14.4%	18.4K	-643.9K	-4.9K	0.00	6.91	N/A	N/A	10	0	828	115