AVTR Options History — September 2010 In September 2010, AVTR traded between $17.98 and $19.14. ATM implied volatility averaged 43.9%. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 0.8% (HV 20d: 44.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.24.
Notable Days 2010-09-01 : Highest Volume — 20 contracts2010-09-28 : Largest IV spike — 35.8% change2010-09-16 : Largest Expected Move — 14.5%Monthly Statistics Metric Avg Min Max Open Close Price $18.63 $17.98 $19.14 $18.00 $19.08 Max Pain $19.76 $17.50 $20.00 $17.50 $20.00 ATM IV 43.9% 27.9% 50.7% 50.0% 38.2% Expected Move 12.6% 8.0% 14.5% 14.3% 10.9% HV 20d 44.6% 30.0% 64.8% 64.8% 30.0% HV 60d 51.1% 49.9% 53.3% 53.3% 50.4% Term Structure 2.6% -1.4% 14.3% -0.2% 5.2% VWIV 43.0% 39.3% 49.5% 44.8% 39.7% Skew 25d 8.2% 1.4% 13.6% 5.3% 9.7% Skew 10d 8.4% -6.4% 19.1% 4.1% 13.9% Call IV 25d 39.7% 34.4% 43.6% 40.0% 41.6% Put IV 25d 47.9% 38.0% 53.6% 45.2% 51.3% Bid-Ask Spread % 89.55 76.62 109.38 100.72 107.33 Gamma HHI 0.34 0.26 0.40 0.29 0.35 Net GEX -819 -2.0K 683 -630 -1.9K Net DEX 33.6K 14.3K 60.3K 42.0K 35.6K Net VEX -695 -753 -655 -688 -682 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.24 0.00 0.67 0.00 0.67 Total Volume 4.286 0 20 20 0 Total OI 237.143 218 265 234 223
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 2010-09-01 $18.00 $17.50 50.0% 14.3% 64.8% 0.0% 0.0% 5.3% -0.2% -630 42.0K -688 0.00 100.72 N/A N/A 20 0 111 123 2010-09-02 $17.98 $17.50 47.4% 13.6% 61.3% 0.0% 0.0% 5.8% 2.5% -229 37.1K -709 0.00 99.91 N/A N/A 0 0 125 123 2010-09-03 $18.29 $20.00 45.3% 13.6% 61.8% 0.0% 44.8% 9.8% 2.1% 123 29.7K -715 0.00 76.62 N/A N/A 0 6 125 123 2010-09-07 $18.06 $20.00 47.9% 13.4% 60.9% 0.0% 0.0% 6.2% 3.2% -95 39.4K -669 0.00 82.70 N/A N/A 0 0 125 122 2010-09-08 $18.07 $20.00 46.6% 14.2% 57.7% 0.0% 49.5% 10.7% 0.2% -60 39.9K -663 0.17 84.02 N/A N/A 6 1 125 122 2010-09-09 $18.75 $20.00 47.6% 13.7% 52.2% 0.0% 0.0% 2.8% 0.4% 683 15.9K -696 0.00 79.87 N/A N/A 0 0 124 121 2010-09-10 $18.73 $20.00 47.6% 13.7% 51.8% 0.0% 0.0% 1.4% 0.3% 491 14.9K -698 0.00 78.24 N/A N/A 0 0 124 121 2010-09-13 $18.80 $20.00 42.2% 12.1% 50.5% 0.0% 41.7% 12.2% 3.3% 483 14.3K -678 0.00 78.01 N/A N/A 3 0 124 121 2010-09-14 $18.50 $20.00 49.7% 14.2% 50.9% 0.0% 0.0% 10.5% 0.2% -525 23.9K -667 0.00 80.74 N/A N/A 0 0 124 121 2010-09-15 $18.73 $20.00 50.4% 14.4% 46.8% 0.0% 0.0% 11.4% -0.7% -427 23.8K -660 0.00 82.16 N/A N/A 0 20 124 121 2010-09-16 $18.64 $20.00 50.7% 14.5% 46.4% 0.0% 0.0% 11.9% -1.4% -1.1K 38.0K -734 0.00 83.61 N/A N/A 0 0 124 141 2010-09-17 $18.40 $20.00 49.6% 14.2% 32.0% 0.0% 0.0% 11.0% -0.1% -1.1K 45.3K -718 0.00 80.44 N/A N/A 0 0 124 141 2010-09-20 $19.04 $20.00 38.5% 11.0% 33.9% 0.0% 39.3% 9.8% 3.2% -1.3K 28.3K -734 0.60 85.17 N/A N/A 5 3 103 120 2010-09-21 $19.00 $20.00 40.0% 11.5% 32.1% 0.0% 39.7% 3.2% 3.8% -967 26.6K -753 0.00 86.07 N/A N/A 20 0 108 123 2010-09-22 $19.02 $20.00 39.8% 11.4% 32.1% 0.0% 0.0% 5.8% 4.1% -1.7K 33.0K -719 0.00 88.27 N/A N/A 0 0 95 123 2010-09-23 $18.36 $20.00 47.4% 13.6% 34.2% 0.0% 0.0% 13.6% 1.8% -1.8K 60.3K -655 0.00 95.52 N/A N/A 0 1 95 123 2010-09-24 $19.14 $20.00 36.0% 10.3% 37.0% 0.0% 0.0% 5.4% 5.8% -1.9K 33.3K -711 0.67 101.94 N/A N/A 3 2 95 124 2010-09-27 $18.83 $20.00 27.9% 8.0% 37.1% 0.0% 0.0% 9.1% 14.3% -2.0K 49.4K -667 0.00 109.38 N/A N/A 0 0 98 125 2010-09-28 $18.96 $20.00 37.9% 10.9% 32.0% 0.0% 0.0% 10.6% 4.5% -1.7K 38.2K -691 0.00 104.33 N/A N/A 0 0 98 125 2010-09-29 $18.93 $20.00 40.5% 11.6% 31.8% 0.0% 0.0% 7.0% 2.2% -1.7K 36.9K -687 0.00 95.51 N/A N/A 0 0 98 125 2010-09-30 $19.08 $20.00 38.2% 10.9% 30.0% 0.0% 0.0% 9.7% 5.2% -1.9K 35.6K -682 0.00 107.33 N/A N/A 0 0 98 125
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