ABAT Options History — November 2011

In November 2011, ABAT traded between $13.95 and $15.60. ATM implied volatility averaged 150.1%, placing in the 65.2% IV rank vs the trailing year. The 30-day expected move averaged 39.0%. IV traded above realized volatility by 92.9% (HV 20d: 57.2%). Max pain ranged from $37.50 to $37.50. Net GEX was positive for 0 of 10 trading days. Term structure was in contango for 7 of 10 days. Put/call ratio averaged 0.87.

Notable Days

  • 2011-11-08: Highest Volume — 5 contracts
  • 2011-11-08: Largest IV spike — 69.8% change
  • 2011-11-08: Highest IV Rank — 92.9%
  • 2011-11-01: Largest Expected Move — 52.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.76$13.95$15.60$13.95$14.40
Max Pain$37.50$37.50$37.50$37.50$37.50
ATM IV150.1%112.0%197.0%183.7%126.0%
Expected Move39.0%32.1%52.7%52.7%36.1%
HV 20d57.2%52.6%60.7%60.1%58.9%
HV 60d62.5%54.9%70.4%70.4%56.1%
IV Rank65.2%42.8%92.9%85.0%51.1%
IV Percentile74.2%46.8%98.8%95.2%63.9%
Term Structure5.8%-70.7%46.3%-64.1%28.9%
Bid-Ask Spread %7.335.429.088.456.67
Gamma HHI1.001.001.001.001.00
Net GEX00000
Net DEX207.5K194.6K220.8K194.6K203.8K
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.005.400.000.00
Total Volume1.40510
Total OI559.7557564558563

Daily Data (10 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$13.95$0.00183.7%52.7%60.1%85.0%0.0%0.0%-64.1%0194.6K00.008.45N/AN/A10419139
2011-11-02$14.25$0.00172.8%49.6%60.7%78.6%0.0%0.0%-66.6%0198.7K00.009.08N/AN/A00418139
2011-11-03$14.25$0.00178.2%51.1%52.7%81.8%0.0%0.0%-70.7%0198.7K00.008.45N/AN/A00418139
2011-11-04$14.55$37.50180.5%35.4%52.9%83.2%0.0%0.0%46.3%0202.9K00.677.17N/AN/A21418139
2011-11-07$14.55$37.50116.1%33.3%52.6%45.2%0.0%0.0%40.8%0204.9K00.006.15N/AN/A00418141
2011-11-08$15.60$37.50197.0%32.9%58.3%92.9%0.0%0.0%36.9%0219.6K05.405.42N/AN/A14419141
2011-11-09$15.15$37.50112.0%32.1%58.6%42.8%0.0%0.0%36.4%0214.4K00.006.74N/AN/A10419142
2011-11-10$15.60$37.50117.9%33.8%58.3%46.3%0.0%0.0%35.2%0220.8K00.007.61N/AN/A30419142
2011-11-11$15.30$37.50116.7%33.4%58.6%45.6%0.0%0.0%35.5%0216.5K00.007.61N/AN/A10422142
2011-11-14$14.40$37.50126.0%36.1%58.9%51.1%0.0%0.0%28.9%0203.8K00.006.67N/AN/A00421142