ABAT Options History — September 2011

In September 2011, ABAT traded between $15.15 and $20.25. ATM implied volatility averaged 129.0%, placing in the 52.8% IV rank vs the trailing year. The 30-day expected move averaged 33.3%. IV traded above realized volatility by 61.5% (HV 20d: 67.5%). Max pain ranged from $37.50 to $37.50. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 3.01.

Notable Days

2011-09-16: Highest Volume — 83 contracts
2011-09-12: Largest IV drop — 56.9% change
2011-09-09: Highest IV Rank — 90.1%
2011-09-29: Largest Expected Move — 43.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.29	$15.15	$20.25	$20.10	$15.15
Max Pain	$37.50	$37.50	$37.50	$37.50	$37.50
ATM IV	129.0%	83.0%	192.3%	119.0%	147.2%
Expected Move	33.3%	23.8%	43.7%	34.1%	42.2%
HV 20d	67.5%	50.9%	96.5%	96.5%	52.1%
HV 60d	103.8%	90.6%	111.0%	111.0%	91.2%
IV Rank	52.8%	25.8%	90.1%	46.9%	63.5%
IV Percentile	71.6%	41.7%	98.0%	68.7%	86.5%
Term Structure	6.9%	-37.6%	61.4%	-22.3%	-25.9%
Bid-Ask Spread %	8.71	7.03	10.99	7.03	7.91
Gamma HHI	0.99	0.94	1.00	0.95	1.00
Net GEX	193	0	1.1K	1.1K	0
Net DEX	406.7K	219.1K	694.3K	443.5K	219.1K
Net VEX	-244	-1.3K	0	-1.3K	0
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.01	0.00	23.05	0.43	0.00
Total Volume	12.143	0	83	0	3
Total OI	872.524	529	1,169	1,169	584

Daily Data (21 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
2011-09-01	$20.10	$37.50	119.0%	34.1%	96.5%	46.9%	0.0%	0.0%	-22.3%	1.1K	443.5K	-1.3K	0.00	7.03	N/A	N/A	0	0	826	343
2011-09-02	$20.25	$37.50	141.1%	40.5%	95.1%	60.0%	0.0%	0.0%	-25.0%	0	694.2K	0	0.43	7.31	N/A	N/A	0	0	826	343
2011-09-06	$19.20	$0.00	168.8%	31.1%	93.7%	76.3%	0.0%	0.0%	21.0%	936	400.0K	-1.3K	0.46	8.74	N/A	N/A	1	0	826	343
2011-09-07	$20.25	$0.00	153.6%	30.3%	94.6%	67.3%	0.0%	0.0%	36.3%	1	694.3K	0	0.00	8.90	N/A	N/A	0	2	826	343
2011-09-08	$19.50	$0.00	170.0%	27.5%	93.5%	76.9%	0.0%	0.0%	34.9%	1	665.5K	0	0.00	8.45	N/A	N/A	0	31	826	341
2011-09-09	$18.90	$0.00	192.3%	29.4%	91.5%	90.1%	0.0%	0.0%	22.7%	0	613.6K	0	23.05	8.19	N/A	N/A	1	31	826	325
2011-09-12	$19.05	$0.00	83.0%	23.8%	86.9%	25.8%	0.0%	0.0%	53.7%	0	613.4K	0	0.00	9.58	N/A	N/A	0	0	826	322
2011-09-13	$19.20	$0.00	98.9%	28.3%	61.6%	35.1%	0.0%	0.0%	48.3%	937	360.3K	-1.2K	0.33	10.15	N/A	N/A	7	2	826	322
2011-09-14	$19.50	$0.00	101.6%	29.1%	59.7%	36.7%	0.0%	0.0%	49.4%	1.1K	379.9K	-1.3K	0.00	10.99	N/A	N/A	0	0	827	321
2011-09-15	$19.35	$0.00	102.3%	29.3%	56.4%	37.1%	0.0%	0.0%	61.4%	0	621.9K	0	0.00	10.15	N/A	N/A	1	0	827	321
2011-09-16	$19.50	$37.50	117.8%	33.8%	50.9%	46.2%	0.0%	0.0%	40.0%	1	620.5K	0	16.90	8.19	N/A	N/A	5	78	829	318
2011-09-19	$18.90	$37.50	105.6%	30.3%	51.8%	39.0%	0.0%	0.0%	-24.4%	0	269.3K	0	0.00	8.19	N/A	N/A	9	0	387	142
2011-09-20	$18.15	$37.50	98.3%	28.2%	53.8%	34.7%	0.0%	0.0%	-9.0%	0	258.6K	0	0.00	8.19	N/A	N/A	7	0	393	142
2011-09-21	$17.40	$37.50	107.6%	30.8%	54.2%	40.2%	0.0%	0.0%	-10.5%	0	247.9K	0	0.94	8.49	N/A	N/A	2	2	393	142
2011-09-22	$16.95	$37.50	117.8%	33.8%	54.6%	46.2%	0.0%	0.0%	4.1%	0	244.9K	0	0.00	7.81	N/A	N/A	12	0	393	144
2011-09-23	$17.25	$37.50	133.5%	38.3%	53.0%	55.5%	0.0%	0.0%	-12.5%	0	249.2K	0	0.00	9.76	N/A	N/A	37	0	402	144
2011-09-26	$16.20	$37.50	115.8%	33.2%	57.0%	45.1%	0.0%	0.0%	-17.4%	0	234.0K	0	0.00	9.14	N/A	N/A	0	0	437	144
2011-09-27	$16.95	$37.50	141.8%	40.6%	55.6%	60.3%	0.0%	0.0%	-37.6%	0	244.1K	0	0.00	10.26	N/A	N/A	0	0	437	144
2011-09-28	$16.50	$37.50	141.0%	40.4%	54.3%	59.9%	0.0%	0.0%	-20.0%	0	237.6K	0	0.04	8.12	N/A	N/A	19	1	437	144
2011-09-29	$15.90	$37.50	152.4%	43.7%	51.2%	66.6%	0.0%	0.0%	-22.6%	0	230.0K	0	0.02	7.47	N/A	N/A	4	0	436	145
2011-09-30	$15.15	$37.50	147.2%	42.2%	52.1%	63.5%	0.0%	0.0%	-25.9%	0	219.1K	0	0.00	7.91	N/A	N/A	3	0	439	145