AVTR Options History — March 2011

In March 2011, AVTR traded between $19.32 and $21.73. ATM implied volatility averaged 40.5%, placing in the 49.8% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 10.0% (HV 20d: 30.5%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 3.32.

Notable Days

  • 2011-03-11: Highest Volume — 51 contracts
  • 2011-03-07: Largest IV spike — 16.2% change
  • 2011-03-07: Highest IV Rank — 70.7%
  • 2011-03-16: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.46$19.32$21.73$21.44$19.79
Max Pain$17.83$17.50$20.00$20.00$17.50
ATM IV40.5%35.8%45.8%41.0%36.5%
Expected Move11.5%10.3%12.3%11.7%10.5%
HV 20d30.5%22.0%34.4%22.2%34.0%
HV 60d38.3%33.0%42.0%40.1%33.0%
IV Rank49.8%31.4%70.7%51.8%34.1%
IV Percentile35.5%8.2%70.2%37.8%14.0%
Term Structure1.2%-4.0%4.7%-1.9%3.6%
VWIV40.1%36.3%42.8%36.6%42.8%
Skew 25d6.0%-3.3%12.9%3.6%0.4%
Skew 10d12.0%2.3%30.8%6.9%2.3%
Call IV 25d34.3%28.6%42.5%40.6%35.1%
Put IV 25d40.3%31.1%47.2%44.3%35.5%
Bid-Ask Spread %93.1671.80104.8096.32104.42
Gamma HHI0.340.300.410.400.33
Net GEX5.8K2.4K8.4K8.2K5.9K
Net DEX-174.0K-285.6K-60.0K-281.3K-116.0K
Net VEX-1.1K-1.3K-928-1.2K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.320.0015.000.000.00
Total Volume1105100
Total OI409.696351462401420

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$21.44$20.0041.0%11.7%22.2%51.8%0.0%3.6%-1.9%8.2K-281.3K-1.2K0.0096.32N/AN/A00263138
2011-03-02$21.47$20.0042.0%12.1%22.0%56.0%0.0%4.5%-2.8%8.2K-285.6K-1.2K0.0098.02N/AN/A00263138
2011-03-03$21.45$20.0042.4%12.2%22.1%57.5%0.0%0.8%-2.9%8.4K-285.2K-1.2K0.00100.28N/AN/A00263138
2011-03-04$21.34$17.5039.4%10.7%22.0%45.4%36.6%10.3%2.5%8.1K-278.9K-1.2K0.0076.27N/AN/A200263138
2011-03-07$20.76$17.5045.8%11.9%24.0%70.7%0.0%8.8%0.2%6.7K-206.8K-1.1K1.0078.12N/AN/A2020246138
2011-03-08$21.73$17.5040.1%10.5%26.9%48.2%36.3%12.3%3.3%8.0K-275.0K-92815.0071.80N/AN/A230228123
2011-03-09$21.72$17.5040.5%12.0%26.2%49.9%42.7%10.8%-4.0%7.4K-263.9K-9960.0073.62N/AN/A100228142
2011-03-10$20.62$17.5042.9%12.3%32.4%59.3%0.0%6.4%2.5%6.0K-185.7K-1.0K1.9077.94N/AN/A1019238142
2011-03-11$19.88$17.5041.9%12.0%33.8%55.6%42.1%12.9%0.4%5.4K-136.0K-9872.1989.29N/AN/A1635246129
2011-03-14$19.63$17.5042.7%12.2%33.3%58.5%42.8%12.7%0.9%4.8K-110.5K-1.1K10.0093.04N/AN/A110261152
2011-03-15$19.32$17.5042.6%12.2%33.3%58.1%0.0%11.1%0.1%3.1K-70.8K-1.1K9.7588.08N/AN/A439260162
2011-03-16$19.36$17.5042.9%12.3%33.4%59.5%0.0%9.4%-0.3%2.4K-60.0K-1.3K0.0091.62N/AN/A00264197
2011-03-17$19.57$17.5041.1%11.8%33.7%52.5%0.0%-3.3%2.0%2.5K-72.6K-1.2K0.0098.91N/AN/A10264197
2011-03-18$19.76$17.5041.6%11.9%32.9%54.3%0.0%-1.6%1.4%2.8K-89.1K-1.3K0.0098.88N/AN/A00265197
2011-03-21$20.24$17.5041.8%12.0%34.4%55.0%0.0%2.8%0.8%3.7K-135.7K-1.2K0.0097.56N/AN/A100218187
2011-03-22$20.19$17.5039.1%11.2%33.7%44.4%0.0%3.9%3.1%4.8K-145.2K-1.2K0.0099.99N/AN/A00228187
2011-03-23$20.10$17.5040.1%11.5%33.5%48.5%0.0%2.7%1.8%4.5K-131.9K-1.2K0.0097.41N/AN/A00228187
2011-03-24$20.33$17.5037.8%10.8%33.2%39.4%0.0%5.0%3.6%5.4K-157.8K-1.2K0.0098.17N/AN/A00228187
2011-03-25$20.63$17.5035.8%10.3%33.8%31.4%0.0%7.0%4.7%6.5K-191.9K-1.1K0.00103.44N/AN/A10228187
2011-03-28$20.61$17.5037.1%10.6%33.5%36.4%0.0%7.3%3.2%6.8K-198.8K-1.1K0.00104.33N/AN/A50228187
2011-03-29$20.40$17.5038.5%11.0%33.5%42.0%0.0%6.2%2.3%6.6K-176.2K-1.1K0.00100.47N/AN/A00233187
2011-03-30$20.13$17.5037.5%10.7%33.7%37.9%0.0%3.5%3.2%6.3K-146.3K-1.1K0.00104.80N/AN/A00233187
2011-03-31$19.79$17.5036.5%10.5%34.0%34.1%0.0%0.4%3.6%5.9K-116.0K-1.1K0.00104.42N/AN/A00233187