ABAT Options History — August 2011

In August 2011, ABAT traded between $16.65 and $22.80. ATM implied volatility averaged 138.5%, placing in the 60.1% IV rank vs the trailing year. The 30-day expected move averaged 40.4%. IV traded above realized volatility by 27.2% (HV 20d: 111.3%). Max pain ranged from $37.50 to $37.50. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.41.

Notable Days

  • 2011-08-15: Highest Volume — 135 contracts
  • 2011-08-04: Largest IV spike — 112.2% change
  • 2011-08-11: Highest IV Rank — 100.0%
  • 2011-08-10: Largest Expected Move — 62.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.17$16.65$22.80$20.85$20.85
Max Pain$37.50$37.50$37.50$37.50$37.50
ATM IV138.5%69.3%209.1%130.0%125.0%
Expected Move40.4%19.9%62.0%37.3%35.9%
HV 20d111.3%103.8%127.9%103.8%106.0%
HV 60d105.9%97.7%111.3%99.1%111.3%
IV Rank60.1%18.9%100.0%57.1%50.5%
IV Percentile79.2%35.3%100.0%83.3%75.8%
Term Structure-2.6%-65.0%56.5%51.7%-18.3%
Bid-Ask Spread %6.324.398.628.625.65
Gamma HHI0.970.831.000.960.95
Net GEX52701.1K5771.1K
Net DEX532.4K380.5K642.2K579.6K453.1K
Net VEX-704-2.0K0-734-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.0012.700.000.17
Total Volume20.087113587
Total OI1,141.6961,0791,2151,0821,168

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$20.85$37.50130.0%37.3%103.8%57.1%0.0%0.0%51.7%577579.6K-7340.008.62N/AN/A80735347
2011-08-02$19.95$37.50125.9%36.1%104.9%54.5%0.0%0.0%48.3%570558.3K-7230.718.62N/AN/A21733347
2011-08-03$19.50$37.5069.3%19.9%105.1%18.9%0.0%0.0%51.0%544550.1K-6890.058.19N/AN/A151733346
2011-08-04$17.25$37.50147.1%42.2%114.4%67.9%0.0%0.0%48.1%0595.9K00.148.49N/AN/A243741345
2011-08-05$18.15$37.50197.3%53.1%115.5%99.5%0.0%0.0%-43.4%496506.2K-6370.725.89N/AN/A2216742344
2011-08-08$16.95$37.50186.3%60.4%113.8%92.5%0.0%0.0%-59.1%0593.6K02.836.82N/AN/A310751350
2011-08-09$17.55$37.50183.1%58.4%112.9%90.5%0.0%0.0%-52.8%0623.6K00.026.65N/AN/A80751355
2011-08-10$16.65$37.50193.3%62.0%113.8%96.9%0.0%0.0%-65.0%0591.6K00.297.22N/AN/A10760355
2011-08-11$17.85$37.50209.1%60.0%114.7%100.0%0.0%0.0%-48.8%0634.3K01.286.38N/AN/A1620761355
2011-08-12$19.35$37.50134.1%38.4%117.7%55.8%0.0%0.0%-40.2%403538.8K-6431.954.95N/AN/A1834765358
2011-08-15$22.80$37.50166.2%47.7%127.9%74.7%0.0%0.0%-26.2%1.1K380.5K-2.0K0.285.53N/AN/A10530769373
2011-08-16$21.60$37.5098.6%28.3%125.1%35.0%0.0%0.0%42.8%952554.1K-1.2K0.095.68N/AN/A151846369
2011-08-17$20.40$37.50128.9%37.0%116.8%52.8%0.0%0.0%56.5%894523.0K-1.1K0.024.85N/AN/A40837368
2011-08-18$19.05$37.50100.9%28.9%113.3%36.3%0.0%0.0%47.5%813484.0K-1.0K0.004.72N/AN/A30839368
2011-08-19$18.75$37.5099.4%28.5%109.7%35.4%0.0%0.0%38.4%776466.7K-1.0K0.544.72N/AN/A10842367
2011-08-22$18.75$37.50117.8%33.8%108.8%46.2%0.0%0.0%-19.6%0637.0K00.715.66N/AN/A2820798340
2011-08-23$19.35$37.50161.8%46.4%109.5%72.1%0.0%0.0%6.6%1.0K440.5K-1.3K0.014.39N/AN/A50820348
2011-08-24$19.35$37.50115.7%33.2%105.2%45.0%0.0%0.0%-7.5%955423.8K-1.3K9.256.11N/AN/A02820348
2011-08-25$18.45$37.50122.4%35.1%106.0%49.0%0.0%0.0%-9.8%1642.2K012.705.30N/AN/A117820348
2011-08-26$18.30$37.50117.4%33.7%105.0%46.0%0.0%0.0%-11.7%1628.7K00.006.61N/AN/A60821344
2011-08-29$19.35$37.50130.0%37.3%105.7%53.4%0.0%0.0%-30.7%918413.4K-1.3K0.707.39N/AN/A64821344
2011-08-30$19.95$37.50125.9%36.1%105.3%51.0%0.0%0.0%-17.4%999426.1K-1.3K0.076.85N/AN/A50823344
2011-08-31$20.85$37.50125.0%35.9%106.0%50.5%0.0%0.0%-18.3%1.1K453.1K-1.3K0.175.65N/AN/A61824344