AVTR Options History — January 2011

In January 2011, AVTR traded between $18.75 and $21.65. ATM implied volatility averaged 38.0%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 11.6% (HV 20d: 49.5%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.78.

Notable Days

2011-01-13: Highest Volume — 100 contracts
2011-01-10: Largest IV spike — 21.6% change
2011-01-10: Highest IV Rank — 58.0%
2011-01-19: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.13	$18.75	$21.65	$19.54	$19.97
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	38.0%	31.3%	42.5%	37.6%	37.1%
Expected Move	10.9%	9.0%	12.2%	10.8%	10.6%
HV 20d	49.5%	44.9%	54.4%	51.0%	46.5%
HV 60d	38.3%	36.1%	40.7%	36.1%	39.5%
IV Rank	40.0%	13.4%	58.0%	18.1%	36.4%
IV Percentile	18.2%	2.3%	37.5%	4.8%	13.9%
Term Structure	2.3%	-2.1%	10.8%	1.0%	6.5%
VWIV	36.9%	23.7%	42.8%	37.6%	36.5%
Skew 25d	2.9%	-5.2%	9.3%	3.5%	1.4%
Skew 10d	3.7%	-5.9%	11.0%	-0.2%	4.2%
Call IV 25d	35.2%	27.1%	41.5%	38.6%	33.2%
Put IV 25d	38.2%	30.7%	44.8%	42.1%	34.5%
Bid-Ask Spread %	93.25	81.99	106.14	89.52	101.51
Gamma HHI	0.42	0.32	0.56	0.43	0.32
Net GEX	3.7K	458	9.2K	2.2K	1.6K
Net DEX	-162.4K	-375.3K	13.8K	-75.3K	-116.8K
Net VEX	-1.2K	-1.2K	-1.0K	-1.1K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.00	5.00	0.00	0.00
Total Volume	16.05	0	100	7	1
Total OI	446.85	341	534	442	341

Daily Data (20 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
2011-01-03	$19.54	$20.00	37.6%	10.8%	51.0%	0.0%	37.6%	3.5%	1.0%	2.2K	-75.3K	-1.1K	0.00	89.52	N/A	N/A	7	0	229	213
2011-01-04	$18.80	$20.00	32.5%	9.3%	53.0%	18.1%	0.0%	5.1%	3.1%	798	13.8K	-1.0K	0.00	91.27	N/A	N/A	10	0	232	213
2011-01-05	$18.97	$20.00	38.2%	11.0%	52.4%	41.0%	0.0%	7.6%	1.1%	1.5K	-21.2K	-1.1K	0.00	100.60	N/A	N/A	0	0	234	213
2011-01-06	$18.75	$20.00	31.3%	9.0%	52.4%	13.4%	23.7%	2.6%	10.8%	1.0K	1.8K	-1.1K	5.00	106.14	N/A	N/A	3	15	234	213
2011-01-07	$19.29	$20.00	35.0%	11.4%	52.3%	28.1%	0.0%	9.3%	1.1%	1.3K	-31.6K	-1.1K	0.00	83.42	N/A	N/A	20	0	234	228
2011-01-10	$20.21	$20.00	42.5%	11.7%	54.4%	58.0%	40.7%	5.5%	0.2%	3.5K	-182.2K	-1.1K	0.56	84.27	N/A	N/A	18	10	254	228
2011-01-11	$20.38	$20.00	42.1%	11.8%	54.3%	56.4%	0.0%	4.9%	-1.1%	5.0K	-223.7K	-1.2K	0.00	82.98	N/A	N/A	0	0	265	223
2011-01-12	$20.66	$20.00	40.8%	11.8%	49.0%	51.0%	36.4%	4.9%	-0.4%	6.0K	-258.9K	-1.1K	0.00	87.55	N/A	N/A	16	0	265	223
2011-01-13	$20.90	$20.00	41.6%	11.9%	48.9%	54.2%	0.0%	-1.9%	-0.9%	5.5K	-320.5K	-1.0K	1.00	84.70	N/A	N/A	50	50	273	223
2011-01-14	$21.60	$20.00	38.8%	11.1%	49.9%	43.0%	0.0%	1.3%	0.0%	6.2K	-375.3K	-1.2K	3.33	83.12	N/A	N/A	6	20	283	243
2011-01-18	$21.65	$20.00	37.2%	10.7%	46.5%	36.7%	0.0%	5.5%	2.4%	6.2K	-372.6K	-1.1K	0.00	81.99	N/A	N/A	1	0	277	248
2011-01-19	$20.40	$20.00	42.5%	12.2%	49.4%	57.8%	42.8%	-3.3%	-2.1%	7.9K	-250.7K	-1.2K	0.00	94.03	N/A	N/A	2	0	277	248
2011-01-20	$20.31	$20.00	41.0%	11.8%	49.4%	52.0%	40.9%	-5.2%	-0.2%	9.2K	-245.6K	-1.2K	0.27	91.06	N/A	N/A	11	3	279	248
2011-01-21	$19.67	$20.00	40.6%	11.6%	48.7%	50.1%	0.0%	-2.7%	-0.2%	8.7K	-106.2K	-1.2K	3.00	97.78	N/A	N/A	10	30	283	251
2011-01-24	$20.00	$20.00	36.4%	10.4%	48.9%	33.5%	0.0%	1.2%	5.6%	458	-99.3K	-1.2K	0.00	100.17	N/A	N/A	5	0	176	165
2011-01-25	$19.81	$20.00	36.5%	10.5%	46.9%	34.1%	36.5%	-0.4%	5.1%	672	-96.4K	-1.2K	0.00	99.49	N/A	N/A	10	0	181	165
2011-01-26	$20.70	$20.00	36.1%	10.4%	45.7%	32.6%	0.0%	7.6%	5.1%	1.9K	-172.0K	-1.2K	0.00	101.23	N/A	N/A	3	0	191	165
2011-01-27	$20.77	$20.00	35.9%	10.3%	44.9%	31.5%	0.0%	8.6%	4.7%	2.1K	-175.7K	-1.2K	0.00	101.56	N/A	N/A	1	0	194	165
2011-01-28	$20.20	$20.00	36.0%	10.3%	46.2%	32.0%	0.0%	3.1%	5.1%	2.0K	-140.5K	-1.2K	0.90	102.62	N/A	N/A	10	9	195	165
2011-01-31	$19.97	$20.00	37.1%	10.6%	46.5%	36.4%	0.0%	1.4%	6.5%	1.6K	-116.8K	-1.2K	0.00	101.51	N/A	N/A	1	0	185	156