ABAT Options History — October 2011

In October 2011, ABAT traded between $14.25 and $16.35. ATM implied volatility averaged 152.1%, placing in the 66.4% IV rank vs the trailing year. The 30-day expected move averaged 40.2%. IV traded above realized volatility by 95.9% (HV 20d: 56.2%). Max pain ranged from $37.50 to $37.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.12.

Notable Days

  • 2011-10-26: Highest Volume — 33 contracts
  • 2011-10-13: Largest IV drop — 39.6% change
  • 2011-10-12: Highest IV Rank — 92.9%
  • 2011-10-05: Largest Expected Move — 51.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.49$14.25$16.35$14.85$14.25
Max Pain$37.50$37.50$37.50$37.50$37.50
ATM IV152.1%118.3%197.0%172.4%163.5%
Expected Move40.2%32.2%51.0%49.4%46.9%
HV 20d56.2%43.2%61.8%51.5%60.0%
HV 60d80.8%71.0%91.2%91.2%71.5%
IV Rank66.4%46.5%92.9%78.4%73.1%
IV Percentile82.8%61.1%98.8%95.2%90.1%
Term Structure-34.2%-64.2%-3.6%-33.9%-59.5%
Bid-Ask Spread %8.387.1710.017.807.17
Gamma HHI1.001.001.001.001.00
Net GEX00000
Net DEX213.7K195.7K224.5K214.7K195.7K
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.120.001.470.090.29
Total Volume6.762033159
Total OI581.143562591587562

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$14.85$37.50172.4%49.4%51.5%78.4%0.0%0.0%-33.9%0214.7K00.097.80N/AN/A141442145
2011-10-04$14.55$37.50173.0%49.6%49.5%78.7%0.0%0.0%-37.6%0210.4K01.478.44N/AN/A68436145
2011-10-05$14.55$37.50178.0%51.0%43.2%81.7%0.0%0.0%-40.9%0199.9K00.007.80N/AN/A10440137
2011-10-06$15.75$37.50161.8%46.4%54.1%72.2%0.0%0.0%-64.2%0216.4K00.208.27N/AN/A00440137
2011-10-07$16.05$0.00164.0%32.2%54.5%73.4%0.0%0.0%-3.6%0220.4K00.007.47N/AN/A30440137
2011-10-10$15.75$0.00186.9%36.3%54.3%86.9%0.0%0.0%-48.1%0216.3K00.007.47N/AN/A30443137
2011-10-11$16.05$0.00191.5%37.3%54.9%89.6%0.0%0.0%-48.2%0220.4K00.008.77N/AN/A70444137
2011-10-12$16.35$0.00197.0%35.3%55.1%92.9%0.0%0.0%-48.5%0224.5K00.008.39N/AN/A140447137
2011-10-13$15.75$0.00119.0%34.1%56.0%47.0%0.0%0.0%-7.1%0216.3K00.008.27N/AN/A20444137
2011-10-14$15.90$0.00121.8%34.9%56.1%48.6%0.0%0.0%-7.7%0218.4K00.008.27N/AN/A10446137
2011-10-17$15.00$0.00118.3%33.9%58.2%46.5%0.0%0.0%-31.3%0206.0K00.007.97N/AN/A00446137
2011-10-18$15.60$0.00126.8%36.3%59.8%51.5%0.0%0.0%-31.2%0214.2K00.008.77N/AN/A30446137
2011-10-19$16.20$0.00133.4%38.2%60.4%55.4%0.0%0.0%-11.6%0222.5K00.008.27N/AN/A40448137
2011-10-20$15.75$0.00132.2%37.9%60.5%54.7%0.0%0.0%-13.1%0216.3K00.009.48N/AN/A00450137
2011-10-21$16.35$0.00138.9%39.8%61.8%58.7%0.0%0.0%-13.5%0224.5K00.0010.01N/AN/A60450137
2011-10-24$15.45$0.00139.0%39.9%61.1%58.7%0.0%0.0%-39.6%0212.2K00.008.27N/AN/A30454137
2011-10-25$15.15$0.00138.1%39.6%58.7%58.2%0.0%0.0%-42.1%0208.1K00.008.77N/AN/A00454137
2011-10-26$15.15$0.00140.9%40.4%58.1%59.8%0.0%0.0%-44.0%0208.1K00.028.77N/AN/A321454137
2011-10-27$15.45$0.00147.8%42.4%57.4%63.9%0.0%0.0%-45.2%0212.2K00.018.77N/AN/A220436137
2011-10-28$15.30$0.00149.2%42.8%54.8%64.7%0.0%0.0%-47.8%0210.1K00.008.77N/AN/A20426137
2011-10-31$14.25$0.00163.5%46.9%60.0%73.1%0.0%0.0%-59.5%0195.7K00.297.17N/AN/A72425137