AVTR Options History — May 2011

In May 2011, AVTR traded between $16.01 and $17.98. ATM implied volatility averaged 46.8%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 15.9% (HV 20d: 30.9%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2011-05-10: Highest Volume — 40 contracts
2011-05-17: Largest IV spike — 198.7% change
2011-05-17: Highest IV Rank — 100.0%
2011-05-17: Largest Expected Move — 39.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.84	$16.01	$17.98	$17.98	$17.79
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	46.8%	33.4%	136.0%	44.5%	37.6%
Expected Move	13.7%	10.8%	39.0%	12.8%	10.8%
HV 20d	30.9%	23.2%	42.3%	26.3%	42.3%
HV 60d	30.0%	27.7%	34.4%	28.0%	34.4%
IV Rank	18.8%	6.0%	100.0%	18.1%	9.0%
IV Percentile	53.0%	5.2%	100.0%	66.7%	18.9%
Term Structure	-1.6%	-31.9%	9.2%	-0.6%	9.2%
VWIV	45.4%	40.7%	52.7%	44.8%	40.7%
Skew 25d	4.3%	-6.5%	17.8%	7.5%	10.2%
Skew 10d	9.9%	-2.3%	18.2%	9.9%	8.9%
Call IV 25d	42.7%	27.2%	151.2%	36.3%	32.8%
Put IV 25d	47.1%	33.2%	153.9%	43.8%	43.0%
Bid-Ask Spread %	103.51	89.60	173.66	103.35	101.50
Gamma HHI	0.37	0.29	0.46	0.30	0.35
Net GEX	-2.0K	-2.9K	-338	-1.5K	-2.9K
Net DEX	80.9K	26.2K	120.1K	26.2K	53.8K
Net VEX	-547	-742	-396	-742	-505
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	3.238	0	40	0	0
Total OI	279.143	268	286	280	277

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	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-05-02	$17.98	$17.50	44.5%	12.8%	26.3%	18.1%	0.0%	7.5%	-0.6%	-1.5K	26.2K	-742	103.35	N/A	N/A	0	0	149	131
2011-05-03	$17.98	$17.50	44.7%	12.8%	23.2%	18.3%	0.0%	7.7%	0.3%	-1.5K	29.5K	-739	102.39	N/A	N/A	0	0	149	131
2011-05-04	$17.31	$17.50	44.8%	12.8%	25.1%	18.4%	44.8%	2.5%	-0.6%	-1.6K	54.8K	-673	104.06	N/A	N/A	4	0	149	131
2011-05-05	$17.03	$17.50	43.0%	12.3%	25.3%	16.5%	0.0%	-2.1%	1.1%	-1.6K	68.4K	-635	104.93	N/A	N/A	0	3	149	131
2011-05-06	$17.01	$17.50	42.3%	12.5%	23.4%	15.7%	0.0%	11.7%	-1.2%	-1.7K	70.4K	-625	90.97	N/A	N/A	0	0	149	131
2011-05-09	$17.25	$17.50	42.3%	12.4%	24.3%	15.7%	43.2%	0.0%	-0.7%	-1.8K	62.5K	-639	99.50	N/A	N/A	0	2	149	131
2011-05-10	$16.74	$17.50	33.4%	12.5%	25.7%	6.0%	0.0%	8.7%	-0.6%	-2.0K	89.4K	-557	89.60	N/A	N/A	0	40	149	132
2011-05-11	$16.21	$17.50	39.4%	13.0%	26.9%	12.5%	0.0%	2.8%	0.4%	-1.9K	106.1K	-495	89.97	N/A	N/A	0	0	149	132
2011-05-12	$16.97	$17.50	43.3%	12.4%	32.7%	16.8%	0.0%	9.0%	-0.6%	-2.1K	80.2K	-575	96.27	N/A	N/A	0	0	149	132
2011-05-13	$17.23	$17.50	46.8%	13.4%	32.1%	20.6%	0.0%	-0.6%	-5.6%	-1.9K	62.9K	-604	95.83	N/A	N/A	5	0	149	132
2011-05-16	$16.66	$17.50	45.5%	13.1%	33.4%	19.2%	0.0%	4.2%	-4.4%	-2.2K	92.7K	-515	93.69	N/A	N/A	0	1	154	132
2011-05-17	$16.21	$17.50	136.0%	39.0%	32.7%	100.0%	52.7%	2.8%	-31.9%	-338	45.0K	-672	173.66	N/A	N/A	0	1	154	132
2011-05-18	$16.52	$17.50	42.9%	12.3%	33.7%	13.9%	0.0%	3.5%	-1.3%	-2.1K	102.5K	-479	99.96	N/A	N/A	0	0	154	132
2011-05-19	$16.33	$17.50	41.7%	12.0%	33.5%	12.8%	0.0%	3.7%	-0.3%	-2.3K	107.7K	-452	97.27	N/A	N/A	0	0	154	132
2011-05-20	$16.19	$17.50	43.4%	12.4%	33.4%	14.4%	0.0%	7.7%	3.6%	-2.2K	113.7K	-434	102.03	N/A	N/A	0	0	154	132
2011-05-23	$16.01	$17.50	44.9%	12.9%	33.4%	15.7%	0.0%	17.8%	-1.3%	-2.1K	120.1K	-396	106.54	N/A	N/A	0	0	136	132
2011-05-24	$16.17	$17.50	43.9%	12.6%	34.0%	14.8%	0.0%	11.3%	0.6%	-2.2K	117.8K	-405	108.98	N/A	N/A	2	0	136	132
2011-05-25	$16.62	$17.50	42.3%	12.1%	36.1%	13.3%	0.0%	-6.5%	-1.1%	-2.6K	102.1K	-445	104.32	N/A	N/A	0	0	137	132
2011-05-26	$16.74	$17.50	40.5%	11.6%	36.2%	11.7%	40.7%	-6.3%	-0.1%	-2.8K	99.6K	-453	101.57	N/A	N/A	10	0	137	132
2011-05-27	$16.72	$17.50	39.3%	11.3%	35.3%	10.6%	0.0%	-5.0%	1.4%	-2.3K	94.5K	-457	107.39	N/A	N/A	0	0	145	132
2011-05-31	$17.79	$17.50	37.6%	10.8%	42.3%	9.0%	0.0%	10.2%	9.2%	-2.9K	53.8K	-505	101.50	N/A	N/A	0	0	145	132