AVNT Options History — September 2020

In September 2020, AVNT traded between $24.84 and $27.83. ATM implied volatility averaged 59.5%. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 17.4% (HV 20d: 42.1%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2020-09-03: Highest Volume — 238 contracts
  • 2020-09-08: Largest IV spike — 130.3% change
  • 2020-09-21: Largest Expected Move — 21.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.88$24.84$27.83$26.64$26.41
Max Pain$27.14$25.00$30.00$25.00$25.00
ATM IV59.5%40.6%93.4%55.4%47.1%
Expected Move16.9%13.5%21.8%15.9%13.5%
HV 20d42.1%37.0%50.2%37.0%48.1%
Term Structure2.6%-29.1%27.5%14.9%-1.7%
VWIV60.0%37.3%114.6%48.9%40.2%
Skew 25d15.9%-50.1%32.1%13.3%28.7%
Skew 10d7.3%-55.1%88.4%-36.4%-34.0%
Call IV 25d54.2%31.4%106.4%42.8%31.4%
Put IV 25d70.1%49.9%137.8%56.1%60.1%
Bid-Ask Spread %123.4793.81142.84104.59142.19
Gamma HHI0.490.330.600.400.44
Net GEX2.1K-13.9K44.5K32.0K-6.5K
Net DEX-591.6K-1.6M315.6K-808.3K93.9K
Net VEX-4.5K-5.7K-3.9K-5.7K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.007.640.250.00
Total Volume28.286023853
Total OI1,401.2868381,8561,713878

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$26.64$25.0055.4%15.9%37.0%0.0%48.9%13.3%14.9%32.0K-808.3K-5.7K0.25104.59N/AN/A41934779
2020-09-02$27.83$25.0056.7%16.2%38.7%0.0%93.6%31.4%-10.7%27.2K-940.8K-5.7K0.00116.45N/AN/A90934780
2020-09-03$26.92$25.0058.3%20.7%41.0%0.0%0.0%-50.1%25.4%34.0K-840.2K-5.5K0.04133.96N/AN/A22810941780
2020-09-04$27.78$25.0040.6%14.1%41.0%0.0%0.0%-0.6%3.3%18.0K-1.6M-4.3K0.00132.33N/AN/A3001,049787
2020-09-08$27.21$25.0093.4%18.0%39.7%0.0%0.0%22.5%-2.7%-10.2K-1.4M-4.2K0.00125.47N/AN/A101,049787
2020-09-09$27.56$25.0050.9%14.6%39.3%0.0%0.0%20.6%-0.5%31.9K-1.2M-5.5K0.00137.43N/AN/A001,049787
2020-09-10$26.98$25.0062.5%17.9%40.1%0.0%37.3%28.8%4.7%-12.5K-1.4M-4.1K0.00135.85N/AN/A301,049787
2020-09-11$26.81$25.0055.8%16.0%38.6%0.0%0.0%20.8%0.6%44.5K-1.1M-5.0K0.00141.10N/AN/A041,052787
2020-09-14$27.36$25.0063.6%18.2%38.8%0.0%70.0%23.1%14.2%-12.3K-1.5M-4.0K0.32124.46N/AN/A2581,052790
2020-09-15$27.68$30.0049.7%14.3%38.7%0.0%44.7%3.8%19.7%-8.9K-1.5M-4.1K0.00130.74N/AN/A0201,049797
2020-09-16$27.66$30.0069.1%19.8%38.6%0.0%114.6%-4.9%-6.1%-9.8K-1.5M-4.2K0.22131.77N/AN/A50111,049807
2020-09-17$27.71$30.0051.4%14.7%38.4%0.0%83.3%0.5%27.5%-7.3K114.9K-4.6K0.33118.71N/AN/A31500812
2020-09-18$27.39$30.0064.3%18.4%38.8%0.0%43.0%22.3%2.5%-8.8K35.4K-4.0K0.46142.84N/AN/A2411498799
2020-09-21$25.55$30.0076.2%21.8%46.3%0.0%48.0%19.8%-29.1%-10.3K215.3K-4.4K0.00137.89N/AN/A10245639
2020-09-22$25.68$30.0064.3%18.4%43.7%0.0%44.3%31.1%-3.5%-13.0K249.0K-4.4K0.00101.66N/AN/A70244644
2020-09-23$24.84$30.0063.1%18.1%45.0%0.0%0.0%32.1%-12.3%-13.9K315.6K-4.5K7.64108.98N/AN/A1184248644
2020-09-24$25.12$30.0056.0%16.0%44.3%0.0%0.0%29.6%-20.8%-13.1K231.9K-4.1K0.0093.81N/AN/A00248590
2020-09-25$26.80$30.0064.7%18.5%49.5%0.0%51.6%24.2%-3.2%-8.2K103.5K-4.2K0.0098.80N/AN/A110248590
2020-09-28$27.45$25.0052.3%15.0%50.2%0.0%40.2%17.6%13.7%-6.0K26.3K-3.9K0.00127.81N/AN/A340257590
2020-09-29$27.11$25.0054.2%15.5%48.6%0.0%0.0%19.5%18.6%-3.5K28.6K-4.1K0.00105.96N/AN/A00288590
2020-09-30$26.41$25.0047.1%13.5%48.1%0.0%0.0%28.7%-1.7%-6.5K93.9K-4.0K0.00142.19N/AN/A30288590