ABAT Options History — June 2010

In June 2010, ABAT traded between $46.95 and $53.70. ATM implied volatility averaged 75.8%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded above realized volatility by 25.7% (HV 20d: 50.0%). 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 4 of 22 days. Put/call ratio averaged 0.54.

Notable Days

  • 2010-06-28: Highest Volume — 19 contracts
  • 2010-06-10: Largest IV drop — 42.4% change
  • 2010-06-07: Highest IV Rank — 45.4%
  • 2010-06-28: Largest Expected Move — 24.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.73$46.95$53.70$47.10$49.20
Max Pain$37.50$37.50$37.50$37.50$37.50
ATM IV75.8%56.0%98.0%79.3%76.9%
Expected Move20.1%15.6%24.3%22.7%22.0%
HV 20d50.0%42.4%60.8%59.9%49.8%
HV 60d45.3%43.1%46.7%43.1%46.7%
IV Rank27.2%11.0%45.4%30.1%28.1%
IV Percentile54.3%10.7%84.5%62.7%63.1%
Term Structure-17.5%-39.7%5.0%-7.3%-34.2%
VWIV63.4%61.6%65.2%65.2%61.6%
Bid-Ask Spread %26.1111.5763.2819.1611.57
Gamma HHI0.840.590.970.640.59
Net GEX4.0K1.6K5.9K2.9K1.8K
Net DEX-64.2K-254.1K135.8K110.7K63.0K
Net VEX-2.4K-3.5K-917-1.5K-917
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.006.000.000.00
Total Volume4.40901974
Total OI482.182367545535389

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$47.10$37.5079.3%22.7%59.9%30.1%0.0%0.0%-7.3%2.9K110.7K-1.5K0.0019.16N/AN/A07402133
2010-06-02$48.30$37.5068.2%19.6%60.8%21.0%65.2%0.0%-8.3%1.8K135.8K-1.2K0.0016.39N/AN/A10402139
2010-06-03$49.20$37.5079.3%22.7%59.1%30.1%0.0%0.0%-24.3%4.1K-168.7K-3.3K0.0017.80N/AN/A20402139
2010-06-04$47.55$37.5084.6%16.7%57.1%34.4%0.0%0.0%5.0%2.2K122.2K-1.3K0.3316.71N/AN/A10403139
2010-06-07$46.95$37.5098.0%20.3%57.3%45.4%0.0%0.0%-11.6%2.5K122.9K-1.4K0.3315.63N/AN/A00404140
2010-06-08$47.25$37.5084.3%16.6%49.0%34.2%0.0%0.0%0.1%1.6K135.4K-1.1K0.0018.24N/AN/A00404140
2010-06-09$48.45$37.5097.1%15.6%42.4%44.7%0.0%0.0%1.9%1.7K121.5K-1.1K0.0817.67N/AN/A20404139
2010-06-10$51.60$37.5056.0%16.1%48.7%11.0%0.0%0.0%-11.2%4.5K-225.6K-3.5K0.0018.38N/AN/A10403139
2010-06-11$53.70$37.5066.8%19.1%51.0%19.8%0.0%0.0%2.9%5.2K-240.4K-3.5K6.0017.52N/AN/A14401139
2010-06-14$52.50$37.5065.2%18.7%49.9%18.5%0.0%0.0%-23.6%5.1K-208.8K-3.2K0.0012.16N/AN/A130401135
2010-06-15$53.55$37.5060.6%17.4%50.3%14.8%0.0%0.0%-12.2%5.5K-254.1K-3.5K0.2216.13N/AN/A31410135
2010-06-16$53.10$37.5069.5%19.9%50.4%22.1%0.0%0.0%-32.4%5.6K-216.7K-3.4K0.4061.05N/AN/A31408133
2010-06-17$52.20$37.5069.7%20.0%45.8%22.2%0.0%0.0%-33.4%5.4K-154.5K-3.2K2.8060.57N/AN/A01405134
2010-06-18$53.70$37.5074.4%21.3%44.9%26.1%61.6%0.0%-25.3%5.8K-203.7K-3.4K0.3361.87N/AN/A83405133
2010-06-21$52.80$37.5077.3%22.2%44.7%28.5%0.0%0.0%-23.2%5.6K-97.6K-2.9K0.1061.16N/AN/A71252115
2010-06-22$52.50$37.5080.4%23.0%43.6%31.0%0.0%0.0%-39.7%5.7K-137.5K-3.1K0.0063.28N/AN/A20259116
2010-06-23$51.90$37.5073.9%21.2%43.9%25.6%0.0%0.0%-28.6%5.4K-161.5K-3.0K0.0012.63N/AN/A10261116
2010-06-24$50.55$37.5070.9%20.3%44.8%23.2%0.0%0.0%-20.4%5.2K-122.3K-3.0K0.0012.11N/AN/A40262116
2010-06-25$53.55$37.5073.1%21.0%47.8%25.0%0.0%0.0%-18.2%5.9K-207.7K-3.5K0.0013.48N/AN/A10263116
2010-06-28$51.60$37.5084.7%24.3%49.2%34.5%0.0%0.0%-13.7%2.5K113.7K-1.1K0.0015.32N/AN/A190263116
2010-06-29$48.90$37.5076.5%21.9%50.5%27.8%0.0%0.0%-26.8%1.9K62.5K-9290.2815.52N/AN/A51277116
2010-06-30$49.20$37.5076.9%22.0%49.8%28.1%0.0%0.0%-34.2%1.8K63.0K-9170.0011.57N/AN/A40274115