ABAT Options History — September 2010

In September 2010, ABAT traded between $50.40 and $54.75. ATM implied volatility averaged 78.8%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded above realized volatility by 45.2% (HV 20d: 33.6%). 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 2 of 21 days. Put/call ratio averaged 1.04.

Notable Days

2010-09-15: Highest Volume — 50 contracts
2010-09-09: Largest IV drop — 34.9% change
2010-09-28: Highest IV Rank — 38.7%
2010-09-28: Largest Expected Move — 27.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.62	$50.40	$54.75	$52.95	$53.85
Max Pain	$41.07	$37.50	$75.00	$75.00	$37.50
ATM IV	78.8%	58.0%	95.5%	87.8%	91.4%
Expected Move	21.4%	16.1%	27.4%	25.2%	26.2%
HV 20d	33.6%	27.5%	39.1%	37.3%	33.1%
HV 60d	35.8%	32.6%	39.6%	39.5%	32.6%
IV Rank	26.5%	11.3%	38.7%	33.1%	35.7%
IV Percentile	61.5%	13.5%	84.9%	79.8%	82.5%
Term Structure	-23.4%	-53.5%	7.7%	-35.0%	-41.0%
VWIV	84.2%	77.7%	90.8%	90.8%	77.7%
Bid-Ask Spread %	67.11	13.33	106.90	13.33	50.08
Gamma HHI	0.78	0.51	0.89	0.78	0.77
Net GEX	4.4K	1.4K	5.9K	3.5K	5.1K
Net DEX	-144.8K	-255.1K	58.7K	-107.9K	-176.8K
Net VEX	-1.7K	-2.4K	-749	-1.0K	-2.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.04	0.00	20.19	0.05	0.14
Total Volume	6.095	1	50	19	11
Total OI	365.571	241	474	446	252

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
2010-09-01	$52.95	$75.00	87.8%	25.2%	37.3%	33.1%	90.8%	0.0%	-35.0%	3.5K	-107.9K	-1.0K	0.05	13.33	N/A	N/A	18	1	349	97
2010-09-02	$54.60	$75.00	75.7%	21.7%	38.7%	24.2%	77.7%	0.0%	-30.9%	5.6K	-228.9K	-2.0K	0.31	13.62	N/A	N/A	4	1	351	97
2010-09-03	$54.75	$37.50	85.9%	16.1%	38.7%	31.7%	0.0%	0.0%	-9.2%	5.9K	-206.0K	-2.0K	0.00	48.65	N/A	N/A	1	0	352	98
2010-09-07	$53.85	$37.50	86.8%	16.8%	39.1%	32.3%	0.0%	0.0%	7.7%	4.1K	-117.1K	-1.1K	0.00	48.92	N/A	N/A	1	0	352	98
2010-09-08	$53.25	$37.50	89.1%	16.4%	37.9%	34.0%	0.0%	0.0%	-10.7%	5.4K	-190.1K	-1.9K	0.00	48.94	N/A	N/A	1	0	352	98
2010-09-09	$53.25	$37.50	58.0%	16.6%	36.3%	11.3%	0.0%	0.0%	-11.2%	5.4K	-194.2K	-1.9K	0.00	49.64	N/A	N/A	1	0	353	98
2010-09-10	$52.05	$37.50	59.6%	17.1%	37.0%	12.5%	0.0%	0.0%	4.0%	2.9K	-88.7K	-906	0.05	49.83	N/A	N/A	1	0	354	98
2010-09-13	$53.40	$37.50	70.6%	20.2%	38.1%	20.5%	0.0%	0.0%	-24.7%	5.5K	-193.2K	-1.8K	0.00	93.26	N/A	N/A	2	0	354	98
2010-09-14	$52.35	$37.50	77.0%	22.1%	28.1%	25.2%	0.0%	0.0%	-25.2%	5.1K	-163.0K	-1.6K	0.00	106.90	N/A	N/A	4	0	354	98
2010-09-15	$52.50	$37.50	77.6%	22.2%	27.5%	25.6%	0.0%	0.0%	-31.0%	5.3K	-168.3K	-1.8K	20.19	106.73	N/A	N/A	2	48	354	98
2010-09-16	$50.55	$37.50	82.1%	23.5%	30.0%	28.9%	0.0%	0.0%	-14.3%	1.7K	42.7K	-869	0.21	94.98	N/A	N/A	3	1	354	120
2010-09-17	$50.40	$37.50	79.3%	22.7%	29.0%	26.8%	0.0%	0.0%	-10.0%	1.4K	58.7K	-749	0.00	106.84	N/A	N/A	7	0	352	121
2010-09-20	$51.75	$37.50	77.1%	22.1%	31.0%	25.2%	0.0%	0.0%	-15.3%	4.2K	-121.7K	-1.8K	0.00	94.95	N/A	N/A	4	0	177	64
2010-09-21	$51.00	$37.50	76.8%	22.0%	30.9%	25.0%	0.0%	0.0%	-38.2%	4.1K	-106.9K	-1.6K	0.00	77.19	N/A	N/A	1	0	180	64
2010-09-22	$51.90	$37.50	67.6%	19.4%	31.6%	18.3%	0.0%	0.0%	-16.1%	4.2K	-212.2K	-2.3K	0.00	76.30	N/A	N/A	4	0	180	64
2010-09-23	$51.45	$37.50	77.8%	22.3%	31.2%	25.8%	0.0%	0.0%	-39.4%	4.3K	-126.9K	-1.7K	0.00	51.59	N/A	N/A	1	0	184	64
2010-09-24	$51.90	$37.50	77.1%	22.1%	31.3%	25.3%	0.0%	0.0%	-31.2%	4.4K	-122.8K	-1.7K	0.00	75.60	N/A	N/A	1	0	184	64
2010-09-27	$53.85	$37.50	76.0%	21.8%	32.9%	24.5%	0.0%	0.0%	-28.4%	4.7K	-255.1K	-2.4K	0.00	75.85	N/A	N/A	5	0	185	64
2010-09-28	$52.35	$37.50	95.5%	27.4%	34.0%	38.7%	0.0%	0.0%	-53.5%	4.5K	-207.0K	-2.2K	0.29	75.78	N/A	N/A	2	1	186	64
2010-09-29	$53.10	$37.50	86.7%	24.9%	32.9%	32.3%	0.0%	0.0%	-37.8%	4.9K	-154.4K	-1.8K	0.53	50.39	N/A	N/A	1	1	187	64
2010-09-30	$53.85	$37.50	91.4%	26.2%	33.1%	35.7%	0.0%	0.0%	-41.0%	5.1K	-176.8K	-2.0K	0.14	50.08	N/A	N/A	10	1	188	64