ABAT Options History — July 2010

In July 2010, ABAT traded between $46.05 and $53.85. ATM implied volatility averaged 83.0%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 39.3% (HV 20d: 43.6%). Max pain ranged from $37.50 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.21.

Notable Days

2010-07-26: Highest Volume — 9 contracts
2010-07-15: Largest IV drop — 70.8% change
2010-07-14: Highest IV Rank — 100.0%
2010-07-02: Largest Expected Move — 22.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.02	$46.05	$53.85	$47.55	$53.10
Max Pain	$60.00	$37.50	$75.00	$37.50	$37.50
ATM IV	83.0%	52.3%	179.3%	75.2%	76.2%
Expected Move	17.4%	12.9%	22.2%	21.6%	21.9%
HV 20d	43.6%	31.1%	51.4%	50.9%	31.1%
HV 60d	48.1%	47.1%	49.3%	47.1%	47.9%
IV Rank	31.9%	7.1%	100.0%	26.7%	24.6%
IV Percentile	52.6%	7.1%	100.0%	59.5%	61.5%
Term Structure	-15.9%	-35.8%	-2.2%	-27.5%	-35.8%
VWIV	64.1%	53.1%	78.1%	59.4%	78.1%
Bid-Ask Spread %	13.46	9.75	19.14	14.78	12.27
Gamma HHI	0.60	0.50	0.73	0.56	0.69
Net GEX	2.2K	1.3K	3.3K	2.0K	3.2K
Net DEX	30.8K	-64.7K	107.0K	90.8K	-27.4K
Net VEX	-948	-1.4K	-476	-1.1K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.21	0.00	2.00	0.71	0.06
Total Volume	1.952	0	9	2	1
Total OI	405.952	393	424	393	424

Daily Data (21 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
2010-07-01	$47.55	$37.50	75.2%	21.6%	50.9%	26.7%	0.0%	0.0%	-27.5%	2.0K	90.8K	-1.1K	0.71	14.78	N/A	N/A	1	1	278	115
2010-07-02	$46.35	$37.50	77.4%	22.2%	50.2%	28.5%	0.0%	0.0%	-20.6%	1.9K	107.0K	-1.1K	0.00	19.14	N/A	N/A	0	3	279	115
2010-07-06	$46.05	$0.00	84.2%	17.6%	50.1%	34.1%	0.0%	0.0%	-2.2%	1.9K	105.4K	-1.1K	0.45	12.43	N/A	N/A	1	1	279	118
2010-07-07	$47.55	$0.00	85.9%	12.9%	51.4%	35.5%	0.0%	0.0%	-3.9%	1.6K	77.9K	-879	0.00	15.43	N/A	N/A	0	0	279	118
2010-07-08	$48.00	$0.00	96.6%	13.7%	50.7%	44.2%	0.0%	0.0%	-11.4%	1.5K	75.8K	-792	0.50	14.79	N/A	N/A	0	0	279	118
2010-07-09	$48.30	$0.00	99.5%	13.6%	44.9%	46.6%	0.0%	0.0%	-4.7%	1.6K	72.0K	-838	0.00	14.89	N/A	N/A	0	0	279	117
2010-07-12	$48.75	$0.00	133.8%	14.9%	42.3%	74.7%	0.0%	0.0%	-13.2%	1.6K	70.4K	-768	0.00	13.50	N/A	N/A	7	0	279	117
2010-07-13	$50.10	$0.00	144.9%	14.8%	43.2%	92.8%	0.0%	0.0%	-5.5%	2.0K	35.3K	-860	0.00	13.35	N/A	N/A	3	0	285	117
2010-07-14	$49.65	$75.00	179.3%	15.5%	42.4%	100.0%	0.0%	0.0%	-14.0%	2.0K	28.9K	-839	2.00	13.35	N/A	N/A	0	0	288	117
2010-07-15	$50.25	$75.00	52.3%	15.0%	42.8%	7.1%	0.0%	0.0%	-5.7%	1.5K	34.9K	-632	0.00	13.24	N/A	N/A	1	0	288	117
2010-07-16	$48.30	$75.00	56.3%	16.1%	44.5%	10.1%	0.0%	0.0%	-16.0%	1.9K	38.5K	-822	0.00	12.70	N/A	N/A	0	0	288	117
2010-07-19	$49.20	$75.00	55.2%	15.8%	43.7%	9.2%	0.0%	0.0%	-15.2%	1.8K	37.2K	-768	0.00	15.92	N/A	N/A	0	0	288	117
2010-07-20	$50.25	$75.00	56.3%	16.1%	44.3%	10.0%	0.0%	0.0%	-15.2%	1.3K	26.0K	-476	0.00	13.35	N/A	N/A	2	0	288	117
2010-07-21	$49.95	$75.00	58.7%	16.8%	44.3%	11.8%	0.0%	0.0%	-9.5%	2.2K	22.1K	-918	0.00	11.11	N/A	N/A	2	0	289	117
2010-07-22	$51.75	$75.00	61.4%	17.6%	46.1%	13.7%	0.0%	0.0%	-17.3%	2.4K	12.5K	-903	0.00	12.81	N/A	N/A	2	0	292	117
2010-07-23	$52.50	$75.00	64.0%	18.3%	45.3%	15.6%	0.0%	0.0%	-18.4%	2.8K	-6.7K	-1.1K	0.00	12.63	N/A	N/A	2	0	294	117
2010-07-26	$53.85	$75.00	65.0%	18.6%	41.3%	16.4%	59.4%	0.0%	-8.9%	2.5K	-64.7K	-1.4K	0.00	13.48	N/A	N/A	9	0	295	117
2010-07-27	$53.55	$37.50	68.5%	19.7%	39.0%	19.0%	65.8%	0.0%	-20.7%	3.3K	-36.0K	-1.2K	0.01	9.75	N/A	N/A	5	0	303	117
2010-07-28	$52.50	$37.50	76.4%	21.9%	34.1%	24.8%	53.1%	0.0%	-34.8%	3.1K	-24.9K	-1.1K	0.00	11.41	N/A	N/A	0	0	306	117
2010-07-29	$52.95	$37.50	75.5%	21.6%	34.1%	24.1%	78.1%	0.0%	-34.8%	3.2K	-28.4K	-1.1K	0.00	12.27	N/A	N/A	0	0	306	117
2010-07-30	$53.10	$37.50	76.2%	21.9%	31.1%	24.6%	0.0%	0.0%	-35.8%	3.2K	-27.4K	-1.1K	0.06	12.27	N/A	N/A	1	0	307	117