ABAT Options History — March 2011

In March 2011, ABAT traded between $29.10 and $57.45. ATM implied volatility averaged 95.2%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 26.4%. IV traded above realized volatility by 49.7% (HV 20d: 45.4%). Max pain ranged from $37.50 to $75.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.57.

Notable Days

  • 2011-03-30: Highest Volume — 930 contracts
  • 2011-03-28: Largest IV spike — 56.7% change
  • 2011-03-31: Highest IV Rank — 98.8%
  • 2011-03-31: Largest Expected Move — 50.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.41$29.10$57.45$55.50$29.10
Max Pain$73.30$37.50$75.00$75.00$37.50
ATM IV95.2%54.0%177.6%71.5%177.6%
Expected Move26.4%14.5%50.9%20.5%50.9%
HV 20d45.4%24.5%198.4%33.0%197.6%
HV 60d33.6%24.6%117.1%24.8%117.1%
IV Rank39.9%10.6%98.8%23.0%98.8%
IV Percentile75.0%26.2%99.6%57.9%99.6%
Term Structure-6.0%-84.0%27.9%-6.9%-33.3%
VWIV112.7%44.1%170.2%88.5%162.9%
Bid-Ask Spread %29.238.3874.339.3715.56
Gamma HHI0.720.450.910.720.50
Net GEX8.6K-1.5K12.0K10.1K545
Net DEX-185.8K-527.3K1.5M-359.1K937.7K
Net VEX-3.6K-4.8K-1.5K-2.9K-4.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.007.991.690.68
Total Volume120.565293011277
Total OI796.4355671,4826861,358

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$55.50$75.0071.5%20.5%33.0%23.0%0.0%0.0%-6.9%10.1K-359.1K-2.9K1.699.37N/AN/A47544142
2011-03-02$55.65$75.0081.2%23.3%32.0%30.0%88.5%0.0%-24.7%10.2K-374.5K-2.9K0.4112.08N/AN/A114544141
2011-03-03$56.55$75.0062.8%18.0%32.3%16.8%0.0%0.0%-7.2%10.2K-384.3K-2.8K0.0013.33N/AN/A30542138
2011-03-04$55.65$0.0086.4%19.0%32.7%33.7%46.7%0.0%17.1%10.3K-377.0K-2.9K0.5911.46N/AN/A159542138
2011-03-07$56.40$75.0077.8%18.7%33.0%27.6%0.0%0.0%3.0%10.0K-393.3K-3.8K0.0048.33N/AN/A30550147
2011-03-08$56.85$75.0070.7%14.8%32.9%22.5%0.0%0.0%2.7%10.4K-368.2K-3.6K0.6748.32N/AN/A11550147
2011-03-09$57.45$75.0070.5%14.5%32.4%22.4%0.0%0.0%3.9%11.0K-311.6K-3.1K0.0648.92N/AN/A332550146
2011-03-10$57.30$75.0054.0%15.5%32.2%10.6%0.0%0.0%4.8%11.1K-453.7K-4.1K0.8149.17N/AN/A32568147
2011-03-11$56.10$75.0058.7%16.8%33.0%13.9%44.1%0.0%1.1%10.4K-228.1K-2.7K0.1347.63N/AN/A51571149
2011-03-14$57.00$75.0075.0%21.5%33.5%25.5%125.0%0.0%15.4%10.5K-497.1K-4.2K7.9927.40N/AN/A1079573150
2011-03-15$55.65$75.0098.3%28.2%34.6%42.1%119.3%0.0%27.9%8.7K-365.2K-4.3K0.6447.18N/AN/A3623576224
2011-03-16$54.75$75.0087.2%25.0%32.5%34.2%0.0%0.0%-30.4%10.6K-505.6K-4.7K0.6574.33N/AN/A106598225
2011-03-17$54.90$75.0082.8%23.7%31.6%31.1%54.4%0.0%20.5%9.7K-215.5K-3.3K3.0047.44N/AN/A27592224
2011-03-18$55.05$75.0083.5%23.9%27.3%31.6%0.0%0.0%14.0%9.6K-218.6K-3.2K1.0249.02N/AN/A66592222
2011-03-21$56.25$75.00117.9%33.8%28.0%56.2%148.3%0.0%-84.0%11.4K-411.4K-3.5K0.008.38N/AN/A180410157
2011-03-22$55.20$75.0089.3%25.6%28.4%35.7%0.0%0.0%5.3%10.3K-301.7K-2.8K0.0311.05N/AN/A251424157
2011-03-23$56.10$75.00117.3%33.6%28.9%55.7%153.8%0.0%-14.2%12.0K-527.3K-4.3K3.5327.45N/AN/A36128444158
2011-03-24$55.35$75.0085.9%24.6%29.0%33.3%78.3%0.0%14.3%10.6K-489.1K-4.4K0.329.73N/AN/A31446271
2011-03-25$54.90$75.0084.3%24.2%28.4%32.2%0.0%0.0%26.6%9.9K-475.5K-4.4K4.8810.43N/AN/A944448271
2011-03-28$53.85$75.00132.1%37.9%28.4%66.3%170.2%0.0%-25.9%1.6K-236.3K-1.5K2.9416.65N/AN/A192565452308
2011-03-29$52.65$75.00160.8%46.1%24.5%86.8%160.7%0.0%-39.0%-1.5K810.0K-3.2K4.0226.55N/AN/A51204594706
2011-03-30$30.15$75.00162.9%46.7%198.4%88.3%162.9%0.0%-29.0%-1.0K1.5M-4.7K2.1412.45N/AN/A296634636846
2011-03-31$29.10$37.50177.6%50.9%197.6%98.8%0.0%0.0%-33.3%545937.7K-4.8K0.6815.56N/AN/A165112673685