AVTR Options History — June 2011 In June 2011, AVTR traded between $15.11 and $16.76. ATM implied volatility averaged 40.6%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 3.9% (HV 20d: 44.5%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2011-06-27 : Highest Volume — 25 contracts2011-06-28 : Largest IV spike — 34.9% change2011-06-20 : Highest IV Rank — 16.9%2011-06-20 : Largest Expected Move — 13.2%Monthly Statistics Metric Avg Min Max Open Close Price $15.65 $15.11 $16.76 $16.76 $15.21 Max Pain $19.77 $17.50 $20.00 $17.50 $20.00 ATM IV 40.6% 30.6% 46.2% 42.1% 37.8% Expected Move 11.9% 8.8% 13.2% 12.1% 10.8% HV 20d 44.5% 39.9% 52.5% 47.2% 42.3% HV 60d 35.1% 33.1% 39.2% 36.0% 38.8% IV Rank 11.7% 2.6% 16.9% 13.2% 9.2% IV Percentile 41.5% 2.0% 79.3% 45.2% 21.3% Term Structure 3.7% -1.6% 13.2% -1.6% 7.8% VWIV 42.7% 29.6% 66.2% 32.2% 66.2% Skew 25d 5.5% -4.8% 12.2% -4.8% 6.3% Skew 10d 9.2% 2.0% 16.2% 10.1% 10.3% Call IV 25d 35.6% 31.1% 42.2% 42.2% 38.3% Put IV 25d 41.1% 31.7% 46.3% 37.5% 44.6% Bid-Ask Spread % 95.92 87.51 112.87 107.96 100.10 Gamma HHI 0.49 0.39 0.62 0.42 0.62 Net GEX -738 -2.4K 1.9K -2.4K 1.7K Net DEX 148.3K 96.0K 177.1K 96.0K 143.4K Net VEX -280 -433 -224 -433 -242 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 3.636 0 25 0 5 Total OI 289.5 277 311 277 286
Daily Data (22 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 2011-06-01 $16.76 $17.50 42.1% 12.1% 47.2% 13.2% 0.0% -4.8% -1.6% -2.4K 96.0K -433 0.00 107.96 N/A N/A 0 0 145 132 2011-06-02 $16.20 $17.50 35.7% 10.2% 46.9% 7.2% 32.2% 0.7% 8.7% -2.0K 119.6K -362 0.00 112.87 N/A N/A 0 1 145 132 2011-06-03 $15.87 $20.00 34.3% 12.6% 47.0% 5.9% 43.8% 1.8% 1.6% -1.7K 133.2K -308 0.00 87.51 N/A N/A 0 2 145 132 2011-06-06 $15.89 $20.00 36.9% 12.5% 47.1% 8.3% 0.0% 1.8% 2.6% -1.9K 134.3K -303 0.00 88.38 N/A N/A 0 0 145 134 2011-06-07 $15.75 $20.00 36.0% 12.4% 46.6% 7.6% 0.0% 1.8% 3.6% -1.5K 141.9K -268 0.00 90.06 N/A N/A 0 0 145 134 2011-06-08 $15.41 $20.00 45.6% 12.5% 46.1% 16.4% 0.0% 7.6% 2.0% -790 147.4K -245 0.00 93.05 N/A N/A 0 0 145 134 2011-06-09 $15.60 $20.00 44.5% 12.8% 45.2% 15.4% 0.0% 10.0% 0.9% -1.1K 146.5K -245 0.00 92.58 N/A N/A 0 0 145 134 2011-06-10 $15.42 $20.00 43.0% 12.3% 41.6% 13.9% 0.0% 7.7% 2.1% -635 150.5K -224 0.00 91.34 N/A N/A 0 20 145 134 2011-06-13 $15.40 $20.00 42.9% 12.3% 41.0% 13.9% 0.0% 7.0% 3.1% -885 164.7K -280 0.00 93.10 N/A N/A 0 0 145 154 2011-06-14 $15.63 $20.00 41.8% 12.0% 40.2% 12.9% 41.9% 8.3% 4.4% -1.1K 163.9K -283 0.00 94.54 N/A N/A 0 2 145 154 2011-06-15 $15.11 $20.00 44.1% 12.6% 40.8% 15.0% 0.0% 4.8% 2.1% -548 168.1K -259 0.00 90.50 N/A N/A 0 0 145 154 2011-06-16 $15.11 $20.00 44.8% 12.9% 39.9% 15.7% 0.0% 4.9% 2.4% -552 163.4K -258 0.00 93.80 N/A N/A 0 0 145 151 2011-06-17 $15.34 $20.00 45.4% 13.0% 40.4% 16.2% 0.0% 7.5% 1.1% -755 162.1K -266 0.00 93.05 N/A N/A 0 0 145 151 2011-06-20 $15.86 $20.00 46.2% 13.2% 42.4% 16.9% 0.0% 12.2% -0.7% -1.6K 155.3K -279 0.00 92.66 N/A N/A 10 0 135 151 2011-06-21 $16.04 $20.00 41.8% 12.0% 42.4% 12.9% 0.0% 10.8% 2.9% -1.7K 147.5K -301 0.00 96.81 N/A N/A 0 0 145 151 2011-06-22 $15.36 $20.00 41.5% 11.9% 44.9% 12.6% 0.0% 7.4% 2.4% 108 162.1K -249 0.00 94.38 N/A N/A 0 0 145 151 2011-06-23 $15.88 $20.00 42.3% 12.1% 45.5% 13.3% 0.0% 9.7% 3.7% -921 153.9K -276 0.00 97.70 N/A N/A 0 15 145 151 2011-06-24 $15.18 $20.00 39.9% 11.4% 47.8% 11.1% 0.0% 6.0% 3.8% 412 177.1K -276 0.00 96.22 N/A N/A 0 0 145 166 2011-06-27 $16.06 $20.00 31.9% 9.2% 52.5% 3.8% 29.6% 1.7% 12.7% -1.1K 161.9K -294 0.00 103.06 N/A N/A 0 25 145 166 2011-06-28 $15.67 $20.00 43.1% 12.4% 47.2% 14.1% 0.0% 7.6% 2.5% 798 135.3K -265 0.00 95.81 N/A N/A 0 0 145 141 2011-06-29 $15.65 $20.00 30.6% 8.8% 42.8% 2.6% 0.0% -0.5% 13.2% 1.9K 134.3K -248 0.00 104.72 N/A N/A 0 0 145 141 2011-06-30 $15.21 $20.00 37.8% 10.8% 42.3% 9.2% 66.2% 6.3% 7.8% 1.7K 143.4K -242 0.00 100.10 N/A N/A 0 5 145 141
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