AVTR Options History — February 2011 In February 2011, AVTR traded between $19.88 and $22.10. ATM implied volatility averaged 38.2%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 4.3% (HV 20d: 33.9%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2011-02-15 : Highest Volume — 30 contracts2011-02-10 : Largest IV spike — 41.2% change2011-02-22 : Highest IV Rank — 58.3%2011-02-22 : Largest Expected Move — 12.2%Monthly Statistics Metric Avg Min Max Open Close Price $21.11 $19.88 $22.10 $19.88 $21.30 Max Pain $20.00 $20.00 $20.00 $20.00 $20.00 ATM IV 38.2% 29.6% 42.6% 37.4% 35.0% Expected Move 11.4% 10.0% 12.2% 10.7% 10.0% HV 20d 33.9% 22.8% 43.0% 43.0% 22.8% HV 60d 39.7% 39.5% 40.2% 39.5% 40.1% IV Rank 41.0% 6.7% 58.3% 37.6% 28.1% IV Percentile 24.0% 0.7% 47.2% 16.6% 8.0% Term Structure -0.4% -3.5% 5.0% 4.0% -2.1% VWIV 40.9% 39.3% 42.2% 41.7% 39.3% Skew 25d 4.1% -2.5% 7.5% 1.4% 2.7% Skew 10d 7.1% 2.8% 13.1% 7.6% 8.2% Call IV 25d 36.3% 31.3% 41.5% 40.5% 41.5% Put IV 25d 40.4% 35.5% 44.3% 42.0% 44.2% Bid-Ask Spread % 89.89 81.42 102.28 100.33 94.92 Gamma HHI 0.34 0.32 0.42 0.32 0.42 Net GEX 3.8K 1.6K 8.4K 1.6K 8.4K Net DEX -211.6K -306.3K -109.2K -109.2K -266.8K Net VEX -1.0K -1.1K -901 -1.1K -1.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 5.947 0 30 0 23 Total OI 352.316 340 381 340 381
Daily Data (19 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 2011-02-01 $19.88 $20.00 37.4% 10.7% 43.0% 37.6% 0.0% 1.4% 4.0% 1.6K -109.2K -1.1K 0.00 100.33 N/A N/A 0 0 184 156 2011-02-02 $19.91 $20.00 37.0% 10.6% 40.4% 36.2% 0.0% 1.4% 4.0% 1.6K -110.4K -1.1K 0.00 102.28 N/A N/A 0 0 184 156 2011-02-03 $20.15 $20.00 36.2% 10.4% 40.5% 32.9% 0.0% 4.2% 5.0% 1.7K -126.6K -1.1K 0.00 102.17 N/A N/A 0 0 184 156 2011-02-04 $19.91 $20.00 37.9% 11.7% 40.5% 39.4% 0.0% 4.8% -0.9% 1.6K -111.2K -1.1K 0.00 82.01 N/A N/A 0 0 184 156 2011-02-07 $20.52 $20.00 36.0% 11.9% 40.7% 32.0% 41.7% 5.0% -1.0% 1.9K -153.4K -1.1K 0.00 81.42 N/A N/A 2 0 184 156 2011-02-08 $20.91 $20.00 34.6% 11.9% 37.8% 26.6% 0.0% -0.6% -0.9% 2.1K -186.6K -1.0K 0.00 82.78 N/A N/A 0 0 186 156 2011-02-09 $20.74 $20.00 29.6% 11.9% 37.9% 6.7% 41.4% -2.5% -0.5% 2.0K -180.1K -1.0K 0.00 86.23 N/A N/A 2 0 186 156 2011-02-10 $21.18 $20.00 41.8% 12.0% 38.3% 54.8% 0.0% 3.1% -3.0% 2.4K -205.1K -998 0.00 81.68 N/A N/A 0 0 186 156 2011-02-11 $21.47 $20.00 36.6% 10.5% 38.4% 34.6% 0.0% 5.9% 2.1% 2.5K -227.6K -947 0.00 81.56 N/A N/A 0 0 186 156 2011-02-14 $21.62 $20.00 36.0% 10.3% 36.6% 32.3% 0.0% 7.5% 2.4% 2.6K -238.1K -907 0.00 82.30 N/A N/A 0 0 186 156 2011-02-15 $21.51 $20.00 41.7% 12.0% 36.7% 54.6% 42.2% 6.4% -3.5% 2.7K -235.8K -901 0.00 86.10 N/A N/A 30 0 186 156 2011-02-16 $21.62 $20.00 40.3% 11.5% 29.3% 48.9% 0.0% 5.8% -2.7% 4.9K -264.2K -957 0.00 89.55 N/A N/A 0 0 216 156 2011-02-17 $22.04 $20.00 40.5% 11.6% 29.7% 49.8% 40.0% 7.3% -1.2% 5.0K -291.7K -938 0.00 95.17 N/A N/A 7 0 216 156 2011-02-18 $22.10 $20.00 38.2% 10.9% 26.5% 40.8% 0.0% 6.6% 0.3% 5.8K -306.3K -938 0.00 93.70 N/A N/A 11 0 223 156 2011-02-22 $21.60 $20.00 42.6% 12.2% 28.0% 58.3% 0.0% 3.5% -3.1% 5.5K -240.4K -937 0.00 93.94 N/A N/A 15 0 206 138 2011-02-23 $21.30 $20.00 42.4% 12.1% 28.3% 57.2% 0.0% 3.5% -2.5% 6.2K -238.7K -999 0.00 90.49 N/A N/A 10 0 220 138 2011-02-24 $21.65 $20.00 42.6% 12.2% 24.6% 58.3% 0.0% 5.6% -2.7% 6.7K -266.1K -1.1K 0.00 90.97 N/A N/A 0 0 230 138 2011-02-25 $21.59 $20.00 40.5% 11.6% 24.6% 49.9% 0.0% 6.5% -0.7% 6.8K -261.7K -1.0K 0.00 90.33 N/A N/A 13 0 230 138 2011-02-28 $21.30 $20.00 35.0% 10.0% 22.8% 28.1% 39.3% 2.7% -2.1% 8.4K -266.8K -1.1K 0.00 94.92 N/A N/A 23 0 243 138
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