ABAT Options History — January 2011 In January 2011, ABAT traded between $54.00 and $58.20. ATM implied volatility averaged 65.6%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 44.4% (HV 20d: 21.2%). Max pain ranged from $37.50 to $37.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.59.
Notable Days 2011-01-03 : Highest Volume — 33 contracts2011-01-28 : Largest IV spike — 92.5% change2011-01-11 : Highest IV Rank — 63.1%2011-01-31 : Largest Expected Move — 27.9%Monthly Statistics Metric Avg Min Max Open Close Price $56.51 $54.00 $58.20 $58.20 $55.95 Max Pain $37.50 $37.50 $37.50 $37.50 $37.50 ATM IV 65.6% 41.6% 127.6% 49.4% 97.5% Expected Move 15.7% 11.9% 27.9% 14.2% 27.9% HV 20d 21.2% 16.3% 23.7% 16.3% 23.6% HV 60d 33.8% 33.1% 35.4% 35.4% 33.5% IV Rank 18.8% 1.7% 63.1% 7.2% 41.6% IV Percentile 35.3% 2.8% 98.0% 12.7% 88.5% Term Structure 1.1% -43.9% 28.0% -3.5% -43.9% VWIV 60.9% 44.4% 68.8% 59.1% 68.8% Bid-Ask Spread % 9.62 7.56 10.92 10.60 10.14 Gamma HHI 0.64 0.55 0.72 0.64 0.69 Net GEX 10.8K 7.1K 13.7K 11.9K 8.3K Net DEX -382.0K -653.5K -80.7K -516.1K -208.1K Net VEX -3.8K -5.0K -1.9K -4.7K -2.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.59 0.00 5.66 0.00 0.00 Total Volume 11 2 33 33 13 Total OI 602.4 516 645 516 645
Daily Data (20 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 2011-01-03 $58.20 $37.50 49.4% 14.2% 16.3% 7.2% 0.0% 0.0% -3.5% 11.9K -516.1K -4.7K 0.00 10.60 N/A N/A 33 0 406 110 2011-01-04 $57.00 $37.50 50.0% 14.3% 17.9% 7.7% 0.0% 0.0% -11.1% 11.8K -330.2K -3.7K 2.29 9.30 N/A N/A 1 3 438 110 2011-01-05 $57.45 $37.50 50.3% 14.4% 18.0% 7.9% 0.0% 0.0% -11.9% 12.0K -452.8K -4.5K 5.66 9.63 N/A N/A 3 17 438 112 2011-01-06 $57.00 $37.50 59.4% 17.0% 18.2% 14.4% 0.0% 0.0% -13.3% 11.1K -391.1K -4.5K 1.02 9.96 N/A N/A 7 7 439 129 2011-01-07 $55.35 $37.50 106.4% 18.0% 20.9% 48.0% 59.1% 0.0% -6.0% 8.5K -163.8K -3.0K 0.00 9.51 N/A N/A 11 0 443 136 2011-01-10 $54.00 $37.50 112.9% 17.7% 22.1% 52.6% 66.7% 0.0% -5.9% 7.1K -80.7K -2.3K 0.03 8.03 N/A N/A 20 1 452 136 2011-01-11 $54.15 $37.50 127.6% 17.7% 18.2% 63.1% 0.0% 0.0% -13.3% 9.7K -288.4K -3.5K 2.14 10.42 N/A N/A 1 2 455 136 2011-01-12 $55.35 $37.50 120.7% 19.2% 20.5% 58.2% 0.0% 0.0% 17.7% 8.9K -176.9K -3.0K 0.05 9.02 N/A N/A 14 1 456 136 2011-01-13 $56.40 $37.50 45.2% 13.0% 22.1% 4.3% 44.4% 0.0% 15.6% 12.6K -532.0K -4.7K 0.16 10.14 N/A N/A 6 1 469 136 2011-01-14 $57.00 $37.50 47.4% 13.6% 22.5% 5.8% 0.0% 0.0% 16.4% 13.0K -567.7K -4.9K 0.00 10.14 N/A N/A 7 0 475 137 2011-01-18 $57.45 $37.50 43.4% 12.4% 22.7% 3.0% 0.0% 0.0% 28.0% 13.1K -578.2K -5.0K 0.00 10.92 N/A N/A 7 0 482 137 2011-01-19 $56.70 $37.50 41.6% 11.9% 23.0% 1.7% 0.0% 0.0% 21.9% 12.9K -502.4K -4.6K 0.00 7.56 N/A N/A 3 0 481 137 2011-01-20 $56.55 $37.50 41.6% 11.9% 22.8% 1.7% 65.7% 0.0% 24.0% 12.4K -459.6K -4.3K 0.00 9.20 N/A N/A 2 0 482 137 2011-01-21 $56.85 $37.50 43.6% 12.5% 22.7% 3.1% 0.0% 0.0% 26.4% 13.4K -653.5K -4.9K 0.02 9.87 N/A N/A 17 0 483 137 2011-01-24 $57.45 $37.50 43.8% 12.6% 22.5% 3.3% 68.8% 0.0% 27.5% 13.7K -557.2K -4.7K 0.10 10.34 N/A N/A 9 1 492 137 2011-01-25 $56.70 $37.50 46.3% 13.3% 22.1% 5.0% 0.0% 0.0% -13.5% 8.5K -253.2K -2.7K 0.34 8.97 N/A N/A 4 1 496 138 2011-01-26 $57.15 $37.50 49.0% 14.1% 22.3% 7.0% 0.0% 0.0% -6.7% 9.2K -369.9K -3.6K 0.00 10.61 N/A N/A 5 0 495 139 2011-01-27 $57.45 $37.50 46.6% 13.3% 22.3% 5.2% 0.0% 0.0% -7.1% 9.4K -401.4K -3.7K 0.00 8.99 N/A N/A 7 0 498 139 2011-01-28 $56.10 $37.50 89.6% 25.7% 23.7% 36.0% 0.0% 0.0% -19.9% 7.7K -156.9K -1.9K 0.05 8.97 N/A N/A 15 1 505 139 2011-01-31 $55.95 $37.50 97.5% 27.9% 23.6% 41.6% 0.0% 0.0% -43.9% 8.3K -208.1K -2.6K 0.00 10.14 N/A N/A 13 0 505 140
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