ABAT Options History — February 2010 In February 2010, ABAT traded between $51.90 and $59.55. ATM implied volatility averaged 79.0%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded above realized volatility by 32.9% (HV 20d: 46.2%). 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 6 of 19 days. Put/call ratio averaged 0.24.
Notable Days 2010-02-01 : Highest Volume — 49 contracts2010-02-11 : Largest IV drop — 46.3% change2010-02-10 : Highest IV Rank — 53.7%2010-02-26 : Largest Expected Move — 26.5%Monthly Statistics Metric Avg Min Max Open Close Price $55.90 $51.90 $59.55 $55.65 $58.35 Max Pain $67.11 $37.50 $75.00 $37.50 $75.00 ATM IV 79.0% 60.7% 113.1% 76.8% 92.3% Expected Move 20.2% 15.6% 26.5% 22.0% 26.5% HV 20d 46.2% 40.9% 56.4% 56.4% 41.4% HV 60d 48.4% 47.8% 49.4% 48.7% 49.2% IV Rank 26.3% 11.5% 53.7% 24.5% 37.0% IV Percentile 42.4% 8.7% 86.9% 42.1% 67.5% Term Structure -9.1% -26.1% 19.6% -21.3% -22.8% VWIV 85.5% 58.1% 93.5% 91.4% 92.3% Bid-Ask Spread % 9.57 7.00 11.29 9.61 11.29 Gamma HHI 0.87 0.77 1.00 0.77 0.88 Net GEX 6.9K 2.9K 23.6K 19.2K 3.4K Net DEX -81.4K -622.4K 117.0K -583.6K 59.8K Net VEX -2.7K -5.2K -1.4K -4.7K -2.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.24 0.00 2.25 0.06 0.00 Total Volume 10.474 1 49 49 4 Total OI 917.579 779 989 942 779
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 2010-02-01 $55.65 $37.50 76.8% 22.0% 56.4% 24.5% 0.0% 0.0% -21.3% 19.2K -583.6K -4.7K 0.06 9.61 N/A N/A 46 3 827 115 2010-02-02 $55.35 $37.50 73.1% 21.0% 56.0% 21.5% 0.0% 0.0% -17.8% 20.4K -622.4K -5.2K 0.00 7.00 N/A N/A 1 0 865 115 2010-02-03 $55.50 $37.50 82.5% 23.7% 45.1% 29.1% 91.4% 0.0% -26.1% 20.6K -610.9K -5.2K 0.11 9.61 N/A N/A 6 1 865 115 2010-02-04 $52.50 $37.50 77.3% 22.2% 44.8% 24.9% 0.0% 0.0% -25.2% 3.1K 117.0K -1.6K 0.26 8.77 N/A N/A 11 3 862 116 2010-02-05 $54.15 $75.00 82.7% 15.6% 47.0% 29.2% 58.1% 0.0% 15.0% 3.5K 88.1K -1.8K 0.12 7.65 N/A N/A 17 2 856 115 2010-02-08 $51.90 $75.00 95.6% 17.7% 48.3% 39.7% 93.5% 0.0% 8.1% 2.9K 113.8K -1.4K 0.00 9.72 N/A N/A 4 0 851 113 2010-02-09 $52.80 $75.00 104.9% 16.8% 44.8% 47.1% 91.3% 0.0% 19.6% 3.2K 96.6K -1.6K 0.01 10.62 N/A N/A 5 0 847 113 2010-02-10 $53.10 $75.00 113.1% 16.6% 45.1% 53.7% 91.4% 0.0% 13.2% 3.1K 104.3K -1.6K 0.00 9.60 N/A N/A 2 0 846 113 2010-02-11 $54.75 $75.00 60.7% 17.4% 47.0% 11.5% 0.0% 0.0% -17.8% 3.1K -15.6K -2.1K 0.02 9.73 N/A N/A 8 0 846 113 2010-02-12 $54.45 $75.00 63.1% 18.1% 47.0% 13.4% 88.7% 0.0% 11.0% 3.5K 49.9K -1.9K 0.00 9.81 N/A N/A 2 0 846 113 2010-02-16 $55.35 $75.00 67.5% 19.3% 46.9% 17.0% 91.3% 0.0% 5.2% 3.8K 40.4K -1.9K 0.03 9.34 N/A N/A 4 0 846 113 2010-02-17 $57.00 $75.00 82.3% 23.6% 47.2% 29.0% 88.0% 0.0% -15.2% 3.3K -29.5K -2.1K 2.25 10.70 N/A N/A 6 13 847 113 2010-02-18 $59.55 $75.00 64.0% 18.4% 49.1% 14.2% 78.8% 0.0% -6.6% 23.6K -568.5K -4.6K 1.26 7.44 N/A N/A 12 16 847 123 2010-02-19 $58.65 $75.00 67.6% 19.4% 44.4% 17.1% 82.0% 0.0% -14.6% 2.9K 19.1K -2.7K 0.00 8.49 N/A N/A 2 0 853 136 2010-02-22 $59.55 $75.00 68.8% 19.7% 40.9% 18.1% 83.4% 0.0% -11.3% 3.0K 48.6K -2.6K 0.00 10.65 N/A N/A 20 0 656 131 2010-02-23 $57.90 $75.00 73.2% 21.0% 42.1% 21.6% 83.3% 0.0% -19.5% 3.1K 29.7K -2.6K 0.00 9.74 N/A N/A 6 0 648 131 2010-02-24 $56.85 $75.00 79.8% 22.9% 42.0% 26.9% 0.0% 0.0% -25.2% 3.0K 56.2K -2.5K 0.14 10.85 N/A N/A 1 0 649 131 2010-02-25 $58.80 $75.00 76.6% 21.9% 41.5% 24.3% 83.9% 0.0% -21.8% 3.3K 60.1K -2.5K 0.22 11.16 N/A N/A 3 1 648 131 2010-02-26 $58.35 $75.00 92.3% 26.5% 41.4% 37.0% 92.3% 0.0% -22.8% 3.4K 59.8K -2.5K 0.00 11.29 N/A N/A 4 0 648 131
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