ABAT Options History — August 2010

In August 2010, ABAT traded between $52.50 and $57.45. ATM implied volatility averaged 78.0%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 19.9%. IV traded above realized volatility by 46.1% (HV 20d: 32.0%). Max pain ranged from $37.50 to $75.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.14.

Notable Days

  • 2010-08-10: Highest Volume — 27 contracts
  • 2010-08-12: Largest IV drop — 45.5% change
  • 2010-08-10: Highest IV Rank — 57.0%
  • 2010-08-30: Largest Expected Move — 27.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.28$52.50$57.45$53.55$52.50
Max Pain$68.18$37.50$75.00$37.50$75.00
ATM IV78.0%47.9%120.4%78.6%81.2%
Expected Move19.9%13.7%27.6%22.5%23.3%
HV 20d32.0%26.2%37.2%28.9%37.2%
HV 60d41.3%39.1%46.5%46.5%39.5%
IV Rank25.9%3.9%57.0%26.4%28.2%
IV Percentile55.4%2.4%97.2%67.5%68.7%
Term Structure-9.3%-47.9%16.7%-39.5%-21.6%
VWIV71.1%52.5%109.4%58.6%81.2%
Bid-Ask Spread %13.489.6117.2912.2713.64
Gamma HHI0.790.680.910.700.87
Net GEX4.6K3.2K6.2K3.2K4.7K
Net DEX-78.9K-193.5K40.0K-34.6K-41.1K
Net VEX-1.7K-2.3K-1.0K-1.1K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.001.060.000.88
Total Volume7.68212743
Total OI461.136424485424475

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$53.55$37.5078.6%22.5%28.9%26.4%0.0%0.0%-39.5%3.2K-34.6K-1.1K0.0012.27N/AN/A40307117
2010-08-03$53.55$37.5080.8%23.2%28.5%28.0%0.0%0.0%-19.7%3.5K-32.5K-1.1K0.0010.96N/AN/A120310117
2010-08-04$53.55$37.5083.1%23.8%27.1%29.7%0.0%0.0%-30.8%3.9K-51.2K-1.3K0.0013.48N/AN/A40318117
2010-08-05$52.95$37.5090.5%25.9%27.8%35.0%0.0%0.0%-37.2%3.8K-39.5K-1.2K0.0013.48N/AN/A10320117
2010-08-06$52.80$75.0086.4%16.0%27.9%32.1%58.6%0.0%16.7%3.4K-38.1K-1.0K0.0013.33N/AN/A10321117
2010-08-09$53.25$75.00101.8%16.0%27.9%43.3%0.0%0.0%15.8%3.9K-89.6K-1.6K0.0012.27N/AN/A120322117
2010-08-10$54.75$75.00120.4%18.3%27.9%57.0%64.3%0.0%4.1%4.1K-119.9K-1.7K0.0017.29N/AN/A270323117
2010-08-11$53.10$75.00113.1%16.6%30.3%51.5%0.0%0.0%13.3%4.1K-52.1K-1.2K0.0514.53N/AN/A121332117
2010-08-12$52.50$75.0061.6%17.6%30.5%13.9%66.5%0.0%7.1%3.5K-31.9K-1.1K0.0714.35N/AN/A20336118
2010-08-13$52.80$75.0061.0%17.5%26.2%13.5%0.0%0.0%5.4%4.0K-42.8K-1.2K0.0015.33N/AN/A220337118
2010-08-16$56.70$75.0055.5%15.9%35.1%9.4%64.6%0.0%11.7%5.5K-174.0K-2.1K0.0215.49N/AN/A40356118
2010-08-17$57.45$75.0047.9%13.7%34.8%3.9%71.3%0.0%12.4%6.2K-193.5K-2.2K1.0611.76N/AN/A55356118
2010-08-18$57.00$75.0051.1%14.6%34.9%6.2%0.0%0.0%8.6%5.8K-139.6K-2.2K0.0012.26N/AN/A20353123
2010-08-19$55.50$75.0068.8%19.7%35.1%19.2%68.8%0.0%-24.0%5.2K-131.9K-2.2K0.309.61N/AN/A72354123
2010-08-20$55.35$75.0064.4%18.5%34.9%16.0%52.5%0.0%5.4%5.7K-75.1K-1.8K0.0311.79N/AN/A40358125
2010-08-23$55.80$75.0078.3%22.4%33.9%26.1%0.0%0.0%-25.1%5.4K-142.2K-2.3K0.0014.54N/AN/A30357125
2010-08-24$54.90$75.0072.8%20.9%34.5%22.1%71.4%0.0%-13.8%5.4K-121.8K-2.1K0.0013.33N/AN/A10359125
2010-08-25$54.00$75.0073.7%21.1%34.2%22.7%73.7%0.0%-15.2%5.4K-97.9K-2.1K0.6513.19N/AN/A11359125
2010-08-26$53.40$75.0079.0%22.6%34.4%26.6%0.0%0.0%-19.8%4.6K-13.6K-1.4K0.0013.42N/AN/A30358126
2010-08-27$54.75$75.0070.9%20.3%35.5%20.7%0.0%0.0%-11.0%5.4K-113.8K-2.1K0.0013.10N/AN/A220359126
2010-08-30$54.00$75.0096.1%27.6%35.8%39.2%109.4%0.0%-47.9%4.5K40.0K-1.3K0.0417.10N/AN/A80343126
2010-08-31$52.50$75.0081.2%23.3%37.2%28.2%81.2%0.0%-21.6%4.7K-41.1K-1.9K0.8813.64N/AN/A21349126