ABAT Options History — March 2010

In March 2010, ABAT traded between $56.85 and $63.15. ATM implied volatility averaged 62.0%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 28.2% (HV 20d: 33.9%). Max pain ranged from $37.50 to $75.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.29.

Notable Days

  • 2010-03-15: Highest Volume — 104 contracts
  • 2010-03-10: Largest IV spike — 36.0% change
  • 2010-03-04: Highest IV Rank — 30.9%
  • 2010-03-04: Largest Expected Move — 24.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.31$56.85$63.15$60.00$58.50
Max Pain$44.02$37.50$75.00$75.00$37.50
ATM IV62.0%42.6%84.8%81.6%47.7%
Expected Move17.0%12.2%24.3%23.4%13.7%
HV 20d33.9%28.6%42.9%42.3%36.9%
HV 60d46.7%44.0%48.9%48.9%45.4%
IV Rank14.1%0.0%30.9%28.4%4.0%
IV Percentile19.6%0.0%58.3%52.0%2.0%
Term Structure-1.0%-33.4%29.8%-31.9%19.3%
VWIV80.2%40.4%122.2%93.9%78.6%
Bid-Ask Spread %15.088.6034.6010.868.60
Gamma HHI0.920.870.970.880.95
Net GEX5.2K3.7K8.1K3.7K8.1K
Net DEX-80.4K-347.7K47.5K47.5K-347.7K
Net VEX-3.6K-4.9K-2.6K-2.6K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.001.850.000.81
Total Volume18.4350104850
Total OI653.783336875779416

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$60.00$75.0081.6%23.4%42.3%28.4%93.9%0.0%-31.9%3.7K47.5K-2.6K0.0010.86N/AN/A80648131
2010-03-02$60.60$75.0076.8%22.0%42.4%24.5%92.7%0.0%-26.7%3.9K36.9K-2.6K0.0010.06N/AN/A40650131
2010-03-03$60.75$75.0082.8%23.7%42.2%29.3%95.3%0.0%-29.8%4.0K25.0K-2.6K0.0010.95N/AN/A130651131
2010-03-04$59.70$75.0084.8%24.3%42.9%30.9%0.0%0.0%-33.4%4.0K29.5K-2.6K0.739.95N/AN/A43650131
2010-03-05$60.30$37.5084.3%19.0%36.8%30.5%67.1%0.0%-9.2%4.2K16.6K-2.6K0.8232.38N/AN/A43649129
2010-03-08$60.30$37.5060.5%15.5%35.7%11.3%0.0%0.0%16.3%4.2K19.1K-2.6K0.759.83N/AN/A43650130
2010-03-09$60.00$37.5061.7%13.9%31.3%12.3%122.2%0.0%27.9%3.9K2.4K-2.6K0.2513.32N/AN/A51649133
2010-03-10$61.95$37.5083.9%16.2%32.3%30.2%0.0%0.0%-5.9%4.4K-14.3K-2.8K0.4634.60N/AN/A115650134
2010-03-11$61.50$37.5062.5%17.9%32.8%12.9%0.0%0.0%-6.3%4.4K-8.2K-2.8K0.0034.16N/AN/A10643132
2010-03-12$60.90$37.5049.9%14.3%32.1%2.8%0.0%0.0%24.7%4.4K-8.0K-2.8K0.0010.01N/AN/A00643132
2010-03-15$61.35$37.5042.7%12.2%31.9%0.0%77.5%0.0%24.8%4.4K-456-2.7K1.8513.73N/AN/A3767644132
2010-03-16$63.15$37.5052.6%15.1%32.7%7.8%40.4%0.0%18.9%4.9K12.9K-4.0K0.2413.29N/AN/A235677166
2010-03-17$61.95$37.5057.7%16.5%32.8%11.7%70.8%0.0%-6.9%5.2K7.5K-4.1K0.0734.32N/AN/A383688169
2010-03-18$60.15$37.5059.7%17.1%31.3%13.3%73.9%0.0%-9.8%5.6K1.8K-4.3K0.1611.08N/AN/A91701172
2010-03-19$60.30$37.5062.7%18.0%30.8%15.7%75.9%0.0%-14.6%5.6K-10.8K-4.3K0.2010.86N/AN/A71704171
2010-03-22$59.85$37.5064.1%18.4%30.5%16.8%74.4%0.0%-17.4%5.7K-204.0K-4.2K0.0811.23N/AN/A202219117
2010-03-23$60.30$37.5065.3%18.7%28.6%17.7%78.6%0.0%-16.1%6.4K-239.1K-4.5K0.0010.06N/AN/A70233119
2010-03-24$59.10$37.5047.1%13.5%28.8%3.4%0.0%0.0%22.8%5.9K-177.3K-4.3K0.2411.42N/AN/A31238119
2010-03-25$56.85$37.5048.9%14.0%29.7%4.8%0.0%0.0%-9.7%5.5K-109.5K-4.0K0.0111.01N/AN/A461241120
2010-03-26$58.20$37.5042.6%12.2%30.9%0.0%0.0%0.0%-9.6%7.0K-256.5K-4.6K0.0011.29N/AN/A70275120
2010-03-29$59.85$37.5051.0%14.6%30.9%6.6%0.0%0.0%20.2%7.4K-333.6K-4.8K0.0012.56N/AN/A50279120
2010-03-30$61.50$37.5055.9%16.0%32.2%10.4%0.0%0.0%29.8%7.9K-339.0K-4.8K0.0011.20N/AN/A220280120
2010-03-31$58.50$37.5047.7%13.7%36.9%4.0%0.0%0.0%19.3%8.1K-347.7K-4.9K0.818.60N/AN/A2822296120