ABAT Options History — February 2011 In February 2011, ABAT traded between $55.80 and $59.10. ATM implied volatility averaged 61.9%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 37.7% (HV 20d: 24.2%). Max pain ranged from $37.50 to $75.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 2.90.
Notable Days 2011-02-15 : Highest Volume — 24 contracts2011-02-03 : Largest IV spike — 84.2% change2011-02-09 : Highest IV Rank — 58.8%2011-02-03 : Largest Expected Move — 27.9%Monthly Statistics Metric Avg Min Max Open Close Price $56.74 $55.80 $59.10 $57.15 $58.20 Max Pain $69.08 $37.50 $75.00 $37.50 $75.00 ATM IV 61.9% 41.4% 121.6% 56.6% 54.4% Expected Move 15.5% 11.8% 27.9% 16.2% 15.6% HV 20d 24.2% 18.3% 29.0% 24.8% 28.0% HV 60d 32.3% 22.9% 34.9% 33.5% 23.0% IV Rank 16.2% 1.6% 58.8% 12.4% 10.8% IV Percentile 34.3% 2.8% 97.2% 25.8% 26.2% Term Structure 2.7% -30.2% 25.2% 19.3% -3.5% VWIV 61.0% 35.1% 82.6% 61.9% 82.6% Bid-Ask Spread % 11.30 9.20 13.33 9.20 10.63 Gamma HHI 0.67 0.58 0.78 0.67 0.75 Net GEX 10.9K 8.7K 14.8K 14.7K 11.2K Net DEX -411.0K -682.0K -206.4K -601.4K -440.9K Net VEX -3.7K -5.4K -2.4K -5.2K -2.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.90 0.00 40.50 0.00 0.00 Total Volume 6.789 0 24 11 4 Total OI 677.579 655 698 655 690
Daily Data (19 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 2011-02-01 $57.15 $37.50 56.6% 16.2% 24.8% 12.4% 0.0% 0.0% 19.3% 14.7K -601.4K -5.2K 0.00 9.20 N/A N/A 11 0 515 140 2011-02-02 $56.40 $37.50 52.9% 15.2% 24.1% 9.7% 0.0% 0.0% 15.4% 14.8K -658.1K -5.3K 0.10 9.62 N/A N/A 3 0 522 140 2011-02-03 $56.10 $37.50 97.4% 27.9% 24.0% 41.5% 0.0% 0.0% -30.2% 12.9K -405.9K -3.5K 0.00 9.20 N/A N/A 0 0 522 140 2011-02-04 $56.40 $75.00 64.2% 17.8% 23.9% 17.8% 61.9% 0.0% -15.0% 14.4K -682.0K -5.4K 0.00 11.88 N/A N/A 4 0 523 140 2011-02-07 $55.80 $75.00 105.8% 14.9% 21.8% 47.5% 55.7% 0.0% 13.6% 8.8K -226.2K -2.5K 0.00 10.46 N/A N/A 5 0 523 140 2011-02-08 $56.85 $75.00 70.7% 11.8% 20.5% 22.5% 35.1% 0.0% 20.7% 9.3K -384.3K -3.7K 0.00 10.67 N/A N/A 4 0 521 140 2011-02-09 $56.25 $75.00 121.6% 16.2% 21.1% 58.8% 0.0% 0.0% -18.2% 9.4K -378.3K -3.6K 40.50 11.92 N/A N/A 0 5 523 140 2011-02-10 $55.80 $75.00 59.5% 17.1% 19.9% 14.5% 0.0% 0.0% -8.4% 8.7K -206.4K -2.4K 0.14 13.13 N/A N/A 9 1 523 145 2011-02-11 $55.95 $75.00 46.0% 13.2% 18.8% 4.9% 0.0% 0.0% 25.2% 8.8K -222.2K -2.5K 3.30 10.57 N/A N/A 2 7 527 146 2011-02-14 $56.10 $75.00 55.2% 15.8% 18.3% 11.4% 56.6% 0.0% -21.2% 8.9K -373.8K -3.7K 0.00 11.88 N/A N/A 1 0 525 153 2011-02-15 $58.05 $75.00 41.5% 11.9% 22.0% 1.6% 0.0% 0.0% 19.8% 9.7K -422.5K -3.9K 0.00 11.01 N/A N/A 24 0 525 153 2011-02-16 $59.10 $75.00 41.4% 11.9% 22.2% 1.6% 57.2% 0.0% 20.4% 13.8K -474.7K -4.3K 0.41 12.39 N/A N/A 5 2 538 153 2011-02-17 $56.40 $75.00 50.2% 14.4% 28.2% 7.8% 0.0% 0.0% 6.8% 9.9K -398.6K -4.0K 0.32 12.26 N/A N/A 4 1 539 154 2011-02-18 $57.15 $75.00 44.6% 12.8% 28.5% 3.8% 50.2% 0.0% 16.4% 10.2K -401.9K -4.1K 0.23 11.95 N/A N/A 4 1 543 155 2011-02-22 $56.40 $75.00 44.8% 12.8% 28.6% 4.0% 74.4% 0.0% 14.7% 9.9K -274.7K -3.1K 7.00 10.74 N/A N/A 2 14 541 154 2011-02-23 $55.95 $75.00 72.9% 20.9% 28.4% 24.0% 0.0% 0.0% -26.6% 9.8K -423.5K -4.0K 0.00 13.33 N/A N/A 3 0 543 149 2011-02-24 $56.55 $75.00 52.4% 15.0% 28.5% 9.4% 75.1% 0.0% 3.9% 10.5K -403.5K -3.2K 0.29 11.92 N/A N/A 4 1 545 149 2011-02-25 $57.45 $75.00 44.2% 12.7% 29.0% 3.5% 0.0% 0.0% -1.8% 11.0K -429.5K -3.2K 2.83 11.88 N/A N/A 2 6 547 148 2011-02-28 $58.20 $75.00 54.4% 15.6% 28.0% 10.8% 82.6% 0.0% -3.5% 11.2K -440.9K -2.7K 0.00 10.63 N/A N/A 4 0 548 142
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