ABAT Options History — November 2010

In November 2010, ABAT traded between $56.85 and $64.20. ATM implied volatility averaged 54.4%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 26.9% (HV 20d: 27.5%). Max pain ranged from $37.50 to $37.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.48.

Notable Days

2010-11-30: Highest Volume — 67 contracts
2010-11-24: Largest IV spike — 46.9% change
2010-11-09: Highest IV Rank — 24.3%
2010-11-24: Largest Expected Move — 18.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.21	$56.85	$64.20	$58.35	$56.85
Max Pain	$37.50	$37.50	$37.50	$37.50	$37.50
ATM IV	54.4%	40.6%	73.9%	55.7%	51.7%
Expected Move	14.5%	9.7%	18.0%	16.0%	14.8%
HV 20d	27.5%	20.7%	51.4%	32.2%	51.4%
HV 60d	31.6%	29.6%	39.1%	34.0%	39.1%
IV Rank	10.2%	0.3%	24.3%	11.1%	8.3%
IV Percentile	15.2%	0.4%	52.4%	12.7%	11.9%
Term Structure	4.5%	-22.4%	32.3%	-0.4%	-9.1%
VWIV	63.7%	38.2%	94.3%	65.9%	57.6%
Bid-Ask Spread %	12.77	7.89	63.57	63.57	9.08
Gamma HHI	0.71	0.53	0.82	0.76	0.53
Net GEX	11.9K	4.5K	19.2K	11.0K	4.5K
Net DEX	-643.4K	-823.9K	-384.3K	-592.1K	-384.3K
Net VEX	-3.5K	-4.0K	-3.0K	-3.5K	-3.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.00	4.02	0.19	0.32
Total Volume	15.571	4	67	4	67
Total OI	440.714	388	493	388	493

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
2010-11-01	$58.35	$37.50	55.7%	16.0%	32.2%	11.1%	0.0%	0.0%	-0.4%	11.0K	-592.1K	-3.5K	0.19	63.57	N/A	N/A	3	1	307	81
2010-11-02	$58.80	$37.50	59.0%	16.9%	32.3%	13.5%	0.0%	0.0%	-21.3%	9.2K	-517.8K	-3.0K	0.27	11.95	N/A	N/A	4	1	309	81
2010-11-03	$58.95	$37.50	58.2%	16.7%	31.2%	12.9%	0.0%	0.0%	-22.4%	9.7K	-505.6K	-3.0K	0.00	13.56	N/A	N/A	11	0	311	81
2010-11-04	$60.15	$37.50	57.6%	16.5%	31.2%	12.5%	0.0%	0.0%	5.2%	11.3K	-664.3K	-3.6K	1.79	11.08	N/A	N/A	2	3	321	81
2010-11-05	$59.85	$37.50	58.2%	9.7%	26.8%	12.9%	65.9%	0.0%	32.3%	9.2K	-565.4K	-3.1K	0.00	9.73	N/A	N/A	20	0	320	85
2010-11-08	$60.45	$37.50	61.9%	14.8%	26.9%	15.6%	64.4%	0.0%	-3.8%	11.8K	-714.9K	-3.7K	0.01	7.89	N/A	N/A	13	0	335	85
2010-11-09	$58.50	$37.50	73.9%	16.2%	29.3%	24.3%	63.4%	0.0%	-5.6%	10.9K	-694.1K	-3.7K	0.02	8.35	N/A	N/A	9	0	342	85
2010-11-10	$59.85	$37.50	63.9%	10.3%	29.0%	17.0%	42.5%	0.0%	28.4%	10.1K	-630.8K	-3.2K	0.34	9.38	N/A	N/A	4	1	350	85
2010-11-11	$60.60	$37.50	53.6%	15.4%	29.0%	9.6%	64.7%	0.0%	-3.2%	12.3K	-779.1K	-3.9K	0.04	9.90	N/A	N/A	16	1	353	86
2010-11-12	$59.85	$37.50	40.9%	11.7%	29.3%	0.5%	38.2%	0.0%	21.5%	11.7K	-675.4K	-3.4K	0.09	10.17	N/A	N/A	12	1	360	87
2010-11-15	$60.45	$37.50	56.8%	16.3%	26.2%	11.9%	65.1%	0.0%	-2.2%	13.1K	-803.3K	-3.9K	0.23	9.90	N/A	N/A	9	2	368	88
2010-11-16	$60.00	$37.50	50.0%	14.3%	21.4%	7.1%	60.9%	0.0%	17.6%	13.5K	-728.7K	-3.8K	0.40	10.17	N/A	N/A	17	7	376	88
2010-11-17	$59.85	$37.50	58.8%	16.8%	20.7%	13.3%	69.5%	0.0%	-12.3%	13.5K	-704.3K	-3.9K	0.04	9.90	N/A	N/A	14	1	363	92
2010-11-18	$59.85	$37.50	40.6%	11.6%	20.7%	0.3%	47.8%	0.0%	24.8%	11.2K	-570.7K	-3.3K	4.02	11.87	N/A	N/A	4	15	365	92
2010-11-19	$60.75	$37.50	46.2%	13.2%	20.8%	4.3%	0.0%	0.0%	26.9%	13.4K	-638.4K	-3.8K	0.00	9.90	N/A	N/A	14	0	364	102
2010-11-22	$60.75	$37.50	48.6%	13.9%	20.7%	6.1%	63.2%	0.0%	3.4%	13.9K	-593.1K	-3.7K	0.33	10.64	N/A	N/A	5	2	351	101
2010-11-23	$60.30	$37.50	42.8%	12.3%	20.9%	1.8%	94.3%	0.0%	24.5%	5.2K	-464.9K	-3.0K	0.26	10.82	N/A	N/A	12	3	355	101
2010-11-24	$63.00	$37.50	62.8%	18.0%	25.8%	16.3%	72.6%	0.0%	-15.4%	16.7K	-729.3K	-4.0K	0.00	9.23	N/A	N/A	18	0	362	100
2010-11-26	$63.15	$37.50	56.7%	16.2%	25.8%	11.8%	85.8%	0.0%	-7.8%	18.9K	-823.9K	-4.0K	0.00	10.56	N/A	N/A	12	0	370	100
2010-11-29	$64.20	$37.50	44.9%	12.9%	25.9%	3.4%	57.6%	0.0%	13.2%	19.2K	-731.0K	-3.8K	1.80	10.56	N/A	N/A	8	15	379	100
2010-11-30	$56.85	$37.50	51.7%	14.8%	51.4%	8.3%	0.0%	0.0%	-9.1%	4.5K	-384.3K	-3.0K	0.32	9.08	N/A	N/A	51	16	379	114