ABAT Options History — December 2010

In December 2010, ABAT traded between $56.85 and $59.70. ATM implied volatility averaged 59.9%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 14.9% (HV 20d: 45.0%). 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 11 of 22 days. Put/call ratio averaged 0.17.

Notable Days

  • 2010-12-01: Highest Volume — 45 contracts
  • 2010-12-15: Largest IV drop — 59.6% change
  • 2010-12-10: Highest IV Rank — 53.1%
  • 2010-12-03: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.29$56.85$59.70$56.85$57.75
Max Pain$37.50$37.50$37.50$37.50$37.50
ATM IV59.9%39.2%114.1%58.6%50.0%
Expected Move12.7%10.2%17.3%16.8%14.3%
HV 20d45.0%16.1%51.6%51.3%16.1%
HV 60d37.2%35.6%39.0%38.9%35.6%
IV Rank14.5%0.0%53.1%13.2%7.7%
IV Percentile29.4%0.0%96.0%22.2%13.5%
Term Structure5.6%-16.3%29.3%-16.3%-2.3%
VWIV64.3%54.1%71.2%54.1%71.2%
Bid-Ask Spread %9.846.9511.879.466.95
Gamma HHI0.610.520.700.570.66
Net GEX10.0K5.9K12.2K5.9K11.7K
Net DEX-589.6K-789.1K-346.1K-407.7K-346.1K
Net VEX-4.6K-5.2K-3.3K-3.3K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.000.540.510.16
Total Volume14.636045459
Total OI574.727478688534509

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$56.85$37.5058.6%16.8%51.3%13.2%0.0%0.0%-16.3%5.9K-407.7K-3.3K0.519.46N/AN/A3015415119
2010-12-02$57.75$37.5059.2%17.0%51.6%13.7%0.0%0.0%-10.9%6.3K-481.7K-4.1K0.009.30N/AN/A160441134
2010-12-03$57.60$37.5060.5%17.3%51.0%14.6%0.0%0.0%-12.5%7.0K-494.5K-4.3K0.009.68N/AN/A120455134
2010-12-06$57.30$37.5066.3%11.3%51.0%18.7%54.1%0.0%24.3%7.5K-520.0K-4.2K0.029.17N/AN/A301465134
2010-12-07$57.60$37.5071.5%10.8%50.9%22.5%0.0%0.0%17.5%7.9K-586.7K-4.3K0.0110.04N/AN/A240488135
2010-12-08$57.60$37.5075.4%12.7%49.6%25.3%0.0%0.0%17.3%8.4K-703.9K-4.8K0.009.06N/AN/A70509135
2010-12-09$57.45$37.5078.9%11.8%48.8%27.8%0.0%0.0%23.2%8.8K-667.7K-4.7K0.4010.17N/AN/A21510135
2010-12-10$57.90$37.50114.1%10.3%48.7%53.1%0.0%0.0%28.1%9.1K-658.7K-4.8K0.069.19N/AN/A231511136
2010-12-13$59.70$37.5099.5%11.2%49.8%42.7%0.0%0.0%21.6%10.6K-782.3K-5.2K0.389.38N/AN/A41532136
2010-12-14$59.70$37.50106.4%10.2%49.7%47.6%0.0%0.0%29.3%11.0K-789.1K-5.0K0.5411.87N/AN/A63534138
2010-12-15$59.55$37.5043.0%12.3%49.6%2.0%0.0%0.0%12.1%10.8K-758.0K-5.1K0.0011.87N/AN/A150535139
2010-12-16$59.25$37.5039.4%11.3%49.7%0.0%0.0%0.0%16.1%11.9K-777.4K-5.1K0.159.38N/AN/A112549139
2010-12-17$59.40$37.5047.1%13.5%49.7%5.5%67.8%0.0%11.2%11.2K-770.5K-5.2K0.3310.44N/AN/A72543139
2010-12-20$58.95$37.5040.4%11.6%49.4%0.7%0.0%0.0%-3.0%11.5K-603.5K-4.9K0.2410.53N/AN/A174382102
2010-12-21$58.35$37.5039.2%11.2%49.5%0.0%0.0%0.0%-3.4%11.6K-564.4K-4.9K0.449.93N/AN/A73380105
2010-12-22$58.80$37.5041.3%11.8%49.6%1.5%0.0%0.0%1.7%11.3K-607.0K-4.9K0.009.51N/AN/A50382107
2010-12-23$57.90$37.5043.1%12.3%46.8%2.7%71.2%0.0%-4.2%11.7K-518.9K-4.6K0.0410.10N/AN/A201383107
2010-12-27$58.80$37.5045.3%13.0%47.3%4.3%0.0%0.0%-5.6%11.3K-525.9K-4.9K0.289.66N/AN/A21370108
2010-12-28$58.50$37.5045.1%12.9%46.7%4.2%0.0%0.0%-12.9%11.7K-485.7K-4.6K0.009.93N/AN/A60371108
2010-12-29$58.05$37.5048.9%14.0%16.7%6.9%0.0%0.0%-1.1%11.3K-480.2K-4.4K0.0410.10N/AN/A331373108
2010-12-30$57.60$37.5043.9%12.6%17.0%3.3%0.0%0.0%-7.7%12.2K-440.5K-4.3K0.2010.77N/AN/A00400109
2010-12-31$57.75$37.5050.0%14.3%16.1%7.7%0.0%0.0%-2.3%11.7K-346.1K-3.9K0.166.95N/AN/A81400109