ABAT Options History — July 2011

In July 2011, ABAT traded between $14.40 and $24.60. ATM implied volatility averaged 122.2%, placing in the 52.2% IV rank vs the trailing year. The 30-day expected move averaged 32.4%. IV traded below realized volatility by 5.8% (HV 20d: 128.0%). Max pain ranged from $37.50 to $37.50. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.33.

Notable Days

2011-07-21: Highest Volume — 308 contracts
2011-07-07: Largest IV drop — 43.1% change
2011-07-06: Highest IV Rank — 98.1%
2011-07-01: Largest Expected Move — 49.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.38	$14.40	$24.60	$16.05	$19.95
Max Pain	$37.50	$37.50	$37.50	$37.50	$37.50
ATM IV	122.2%	89.3%	195.1%	172.3%	105.7%
Expected Move	32.4%	25.6%	49.4%	49.4%	30.3%
HV 20d	128.0%	105.8%	142.7%	123.4%	105.8%
HV 60d	93.5%	87.0%	101.1%	88.7%	100.0%
IV Rank	52.2%	31.5%	98.1%	83.7%	41.8%
IV Percentile	74.9%	56.7%	99.6%	98.0%	65.1%
Term Structure	40.1%	-74.2%	74.7%	-74.2%	56.1%
Bid-Ask Spread %	8.63	7.04	10.26	7.59	7.04
Gamma HHI	0.96	0.81	1.00	1.00	0.97
Net GEX	244	0	990	0	564
Net DEX	560.5K	370.8K	675.1K	600.9K	571.3K
Net VEX	-498	-2.0K	0	0	-697
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.33	0.00	2.72	0.23	0.17
Total Volume	29.15	0	308	1	12
Total OI	965.45	913	1,073	913	1,073

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
2011-07-01	$16.05	$37.50	172.3%	49.4%	123.4%	83.7%	0.0%	0.0%	-74.2%	0	600.9K	0	0.23	7.59	N/A	N/A	1	0	539	374
2011-07-05	$16.80	$37.50	182.5%	25.6%	125.3%	90.2%	0.0%	0.0%	74.7%	0	629.0K	0	1.63	9.01	N/A	N/A	2	3	540	374
2011-07-06	$16.50	$37.50	195.1%	29.5%	125.0%	98.1%	0.0%	0.0%	-2.5%	0	617.5K	0	0.00	9.01	N/A	N/A	4	0	541	374
2011-07-07	$16.05	$37.50	111.1%	31.8%	124.2%	45.2%	0.0%	0.0%	71.4%	0	600.7K	0	0.00	10.10	N/A	N/A	0	0	544	374
2011-07-08	$16.35	$37.50	114.1%	32.7%	124.5%	47.1%	0.0%	0.0%	68.2%	0	612.1K	0	0.38	9.21	N/A	N/A	3	1	544	374
2011-07-11	$15.00	$37.50	120.0%	34.4%	122.0%	50.8%	0.0%	0.0%	71.9%	0	561.6K	0	0.00	8.53	N/A	N/A	3	0	548	374
2011-07-12	$14.40	$37.50	128.6%	36.9%	122.1%	56.3%	0.0%	0.0%	-6.7%	0	539.1K	0	0.03	8.82	N/A	N/A	21	1	551	374
2011-07-13	$15.15	$37.50	124.3%	35.6%	123.5%	53.5%	0.0%	0.0%	-6.9%	0	567.2K	0	0.00	8.66	N/A	N/A	1	0	564	374
2011-07-14	$16.05	$37.50	121.1%	34.7%	124.3%	51.5%	0.0%	0.0%	-6.9%	0	588.7K	0	0.00	7.47	N/A	N/A	5	0	564	367
2011-07-15	$16.35	$37.50	114.0%	32.7%	124.1%	47.0%	0.0%	0.0%	72.8%	0	599.7K	0	2.72	10.26	N/A	N/A	10	27	568	367
2011-07-18	$17.70	$37.50	107.2%	30.7%	125.0%	42.8%	0.0%	0.0%	63.2%	0	649.2K	0	0.10	7.95	N/A	N/A	21	2	552	367
2011-07-19	$19.65	$37.50	89.3%	25.6%	129.4%	31.5%	0.0%	0.0%	58.6%	36	675.1K	-41	0.00	9.60	N/A	N/A	5	0	568	347
2011-07-20	$22.50	$37.50	100.7%	28.9%	137.1%	38.7%	0.0%	0.0%	56.7%	273	558.4K	-1.2K	0.03	9.12	N/A	N/A	66	2	570	347
2011-07-21	$24.60	$37.50	123.6%	35.4%	137.7%	53.1%	0.0%	0.0%	10.0%	564	489.7K	-1.6K	0.48	10.10	N/A	N/A	208	100	614	348
2011-07-22	$22.50	$37.50	95.2%	27.3%	141.7%	35.2%	0.0%	0.0%	74.4%	944	378.9K	-2.0K	0.23	7.75	N/A	N/A	36	8	694	343
2011-07-25	$21.45	$37.50	105.1%	30.1%	142.7%	41.5%	0.0%	0.0%	59.7%	977	370.8K	-1.9K	0.00	8.91	N/A	N/A	7	0	712	348
2011-07-26	$21.60	$37.50	98.2%	28.2%	142.6%	37.1%	0.0%	0.0%	53.9%	990	383.9K	-1.9K	0.00	8.21	N/A	N/A	24	0	710	348
2011-07-27	$19.80	$37.50	107.6%	30.9%	136.0%	43.0%	0.0%	0.0%	51.1%	529	547.4K	-724	0.03	7.14	N/A	N/A	7	0	720	348
2011-07-28	$19.20	$37.50	128.8%	36.9%	124.6%	56.3%	0.0%	0.0%	55.9%	0	668.3K	0	0.17	8.19	N/A	N/A	3	0	723	348
2011-07-29	$19.95	$37.50	105.7%	30.3%	105.8%	41.8%	0.0%	0.0%	56.1%	564	571.3K	-697	0.17	7.04	N/A	N/A	10	2	725	348