AVTR Options History — November 2010

Name: AVTR Options Analytics - November 2010
Creator: Options Analysis Suite

In November 2010, AVTR traded between $17.42 and $19.79. ATM implied volatility averaged 39.8%. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 3.2% (HV 20d: 36.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 11 of 16 trading days. Term structure was in contango for 12 of 16 days. Put/call ratio averaged 1.67.

Notable Days

2010-11-10: Highest Volume — 49 contracts
2010-11-10: Largest IV spike — 26.3% change
2010-11-02: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.72	$17.42	$19.79	$17.80	$18.57
Max Pain	$19.46	$17.50	$20.00	$20.00	$17.50
ATM IV	39.8%	29.6%	45.6%	42.8%	43.1%
Expected Move	11.7%	10.5%	13.1%	12.3%	12.4%
HV 20d	36.6%	19.0%	48.1%	19.7%	48.1%
HV 60d	37.5%	34.3%	41.1%	41.1%	36.1%
Term Structure	1.3%	-0.6%	3.9%	0.5%	2.1%
VWIV	39.0%	36.5%	43.6%	36.5%	43.6%
Skew 25d	5.8%	-4.2%	14.1%	6.9%	14.1%
Skew 10d	8.5%	0.9%	16.3%	10.1%	10.9%
Call IV 25d	34.0%	29.0%	40.3%	36.3%	29.0%
Put IV 25d	39.8%	25.5%	45.9%	43.2%	43.1%
Bid-Ask Spread %	96.80	88.13	105.54	103.36	102.20
Gamma HHI	0.44	0.40	0.51	0.41	0.40
Net GEX	1.6K	-1.2K	4.7K	687	-623
Net DEX	-10.2K	-93.4K	76.4K	20.3K	26.1K
Net VEX	-1.1K	-1.3K	-920	-920	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.67	0.00	11.67	0.67	0.00
Total Volume	13	0	49	1	3
Total OI	337.188	263	430	263	395

Daily Data (16 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
2010-11-01	$17.80	$20.00	42.8%	12.3%	19.7%	0.0%	0.0%	6.9%	0.5%	687	20.3K	-920	0.00	103.36	N/A	N/A	0	1	148	115
2010-11-02	$18.05	$20.00	45.6%	13.1%	19.0%	0.0%	0.0%	9.0%	-0.6%	849	12.8K	-925	0.00	101.03	N/A	N/A	0	0	148	115
2010-11-03	$18.31	$20.00	45.4%	13.0%	19.5%	0.0%	0.0%	11.9%	-0.6%	1.1K	3.9K	-940	0.00	102.45	N/A	N/A	0	0	148	115
2010-11-04	$19.62	$20.00	36.5%	10.5%	31.7%	0.0%	36.5%	0.1%	1.3%	2.4K	-59.5K	-1.0K	0.67	105.54	N/A	N/A	15	10	148	115
2010-11-05	$19.44	$0.00	32.8%	10.9%	31.8%	0.0%	0.0%	10.0%	3.4%	3.2K	-54.9K	-1.1K	0.00	92.82	N/A	N/A	10	0	158	125
2010-11-08	$19.69	$0.00	37.3%	11.1%	32.1%	0.0%	38.9%	13.8%	0.9%	4.0K	-73.7K	-1.1K	0.75	89.60	N/A	N/A	4	3	168	125
2010-11-09	$18.85	$20.00	29.6%	11.0%	35.9%	0.0%	0.0%	6.6%	1.0%	2.9K	-26.0K	-1.0K	0.00	88.13	N/A	N/A	9	0	172	127
2010-11-10	$19.79	$20.00	37.3%	10.5%	39.9%	0.0%	36.7%	-4.2%	3.9%	4.5K	-85.8K	-1.1K	1.13	98.84	N/A	N/A	23	26	172	127
2010-11-11	$19.71	$20.00	38.4%	11.0%	39.9%	0.0%	0.0%	1.0%	2.2%	4.7K	-93.4K	-1.2K	0.83	99.56	N/A	N/A	18	15	189	150
2010-11-12	$18.96	$20.00	39.4%	11.3%	42.3%	0.0%	0.0%	5.8%	1.9%	3.8K	-38.3K	-1.2K	11.67	90.32	N/A	N/A	3	35	202	160
2010-11-15	$18.81	$20.00	41.0%	11.8%	42.4%	0.0%	0.0%	4.5%	-0.3%	1.3K	2.4K	-1.3K	0.00	90.68	N/A	N/A	0	1	202	195
2010-11-16	$18.14	$20.00	41.5%	11.9%	43.6%	0.0%	0.0%	-0.2%	1.8%	-909	45.0K	-1.2K	0.00	90.59	N/A	N/A	20	0	202	196
2010-11-17	$17.42	$20.00	43.6%	12.5%	45.4%	0.0%	43.6%	1.6%	-0.1%	-1.0K	76.4K	-1.2K	0.00	97.70	N/A	N/A	0	12	222	196
2010-11-18	$18.00	$17.50	43.1%	12.4%	47.2%	0.0%	0.0%	8.8%	0.1%	-1.2K	53.7K	-1.3K	0.00	100.10	N/A	N/A	0	0	222	208
2010-11-19	$18.39	$17.50	40.0%	11.5%	47.9%	0.0%	0.0%	2.6%	3.8%	-807	27.4K	-1.3K	0.00	95.83	N/A	N/A	0	0	222	208
2010-11-22	$18.57	$17.50	43.1%	12.4%	48.1%	0.0%	0.0%	14.1%	2.1%	-623	26.1K	-1.3K	0.00	102.20	N/A	N/A	3	0	187	208