AVTR Options History — July 2011

In July 2011, AVTR traded between $15.15 and $16.23. ATM implied volatility averaged 40.9%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 2.3% (HV 20d: 43.2%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.17.

Notable Days

2011-07-07: Highest Volume — 55 contracts
2011-07-05: Largest IV spike — 43.4% change
2011-07-13: Highest IV Rank — 17.3%
2011-07-06: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.56	$15.15	$16.23	$15.56	$15.30
Max Pain	$17.63	$17.50	$20.00	$20.00	$17.50
ATM IV	40.9%	30.0%	46.6%	30.0%	42.9%
Expected Move	12.1%	8.6%	12.9%	8.6%	12.3%
HV 20d	43.2%	36.6%	47.8%	42.8%	37.6%
HV 60d	40.4%	38.9%	42.3%	39.2%	41.8%
IV Rank	12.1%	2.0%	17.3%	2.0%	13.9%
IV Percentile	44.3%	1.6%	82.1%	1.6%	57.1%
Term Structure	2.4%	-0.8%	13.8%	13.8%	1.5%
Skew 25d	5.2%	-6.8%	11.4%	-4.2%	5.9%
Skew 10d	7.1%	-5.3%	12.3%	10.6%	9.0%
Call IV 25d	35.5%	28.9%	45.1%	34.4%	37.9%
Put IV 25d	40.7%	30.3%	43.9%	30.3%	43.9%
Bid-Ask Spread %	101.25	90.18	109.00	105.16	104.64
Gamma HHI	0.45	0.37	0.58	0.52	0.39
Net GEX	1.2K	-672	3.7K	2.4K	-178
Net DEX	84.6K	25.4K	152.9K	136.0K	31.8K
Net VEX	-348	-462	-220	-238	-433
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.17	0.00	1.00	0.00	0.00
Total Volume	7.3	0	55	0	1
Total OI	224.75	137	310	286	163

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
2011-07-01	$15.56	$20.00	30.0%	8.6%	42.8%	2.0%	0.0%	-4.2%	13.8%	2.4K	136.0K	-238	0.00	105.16	N/A	N/A	0	0	145	141
2011-07-05	$15.16	$17.50	43.0%	12.7%	43.7%	14.0%	0.0%	-6.8%	0.6%	1.9K	143.3K	-223	0.00	92.84	N/A	N/A	0	0	145	141
2011-07-06	$15.46	$17.50	35.6%	12.9%	44.3%	7.2%	0.0%	9.0%	1.1%	2.7K	140.4K	-221	0.00	96.78	N/A	N/A	0	0	145	141
2011-07-07	$15.89	$17.50	35.4%	12.3%	44.6%	7.0%	0.0%	2.3%	3.7%	1.7K	129.0K	-220	0.00	93.76	N/A	N/A	0	55	145	141
2011-07-08	$15.79	$17.50	35.7%	12.1%	44.5%	7.3%	0.0%	2.3%	3.2%	1.8K	145.2K	-273	0.00	98.11	N/A	N/A	10	0	145	155
2011-07-11	$15.43	$17.50	38.6%	12.3%	45.1%	9.9%	0.0%	-3.6%	2.4%	3.3K	146.6K	-285	0.00	90.18	N/A	N/A	0	0	155	155
2011-07-12	$15.23	$17.50	44.9%	12.6%	45.4%	15.7%	0.0%	5.6%	1.6%	3.7K	152.9K	-286	0.00	101.06	N/A	N/A	0	0	155	155
2011-07-13	$15.48	$17.50	46.6%	12.5%	45.4%	17.3%	0.0%	8.5%	1.9%	3.2K	144.0K	-277	0.00	100.65	N/A	N/A	0	0	155	155
2011-07-14	$15.44	$17.50	42.6%	12.2%	43.7%	13.7%	0.0%	8.5%	3.0%	3.5K	108.6K	-273	0.00	101.39	N/A	N/A	0	30	155	132
2011-07-15	$15.50	$17.50	43.1%	12.4%	43.7%	14.1%	0.0%	8.9%	2.2%	2.4K	104.3K	-355	0.00	101.48	N/A	N/A	0	20	155	142
2011-07-18	$15.27	$17.50	43.5%	12.5%	43.8%	14.5%	0.0%	7.0%	1.2%	-672	50.0K	-380	0.00	102.39	N/A	N/A	0	0	57	80
2011-07-19	$16.23	$17.50	41.3%	11.8%	47.5%	12.4%	0.0%	4.4%	2.5%	-354	38.7K	-411	0.00	102.69	N/A	N/A	5	0	57	80
2011-07-20	$15.94	$17.50	41.7%	12.0%	47.8%	12.8%	0.0%	11.4%	2.0%	-366	39.1K	-423	0.00	103.87	N/A	N/A	1	0	62	80
2011-07-21	$16.17	$17.50	39.1%	11.2%	45.2%	10.4%	0.0%	10.3%	5.0%	-243	36.4K	-429	0.00	109.00	N/A	N/A	20	0	63	80
2011-07-22	$15.64	$17.50	41.7%	12.0%	45.4%	12.8%	0.0%	8.5%	1.5%	-19	25.4K	-462	0.00	102.96	N/A	N/A	0	0	83	80
2011-07-25	$15.55	$17.50	43.3%	12.4%	42.4%	14.2%	0.0%	8.8%	-0.2%	-19	25.4K	-457	0.00	104.59	N/A	N/A	0	0	83	80
2011-07-26	$15.37	$17.50	43.3%	12.4%	37.2%	14.2%	0.0%	6.3%	0.8%	-163	31.9K	-438	1.00	103.36	N/A	N/A	2	2	83	80
2011-07-27	$15.15	$17.50	43.5%	12.5%	36.6%	14.5%	0.0%	4.4%	-0.8%	-213	34.1K	-428	0.00	104.04	N/A	N/A	0	0	83	80
2011-07-28	$15.62	$17.50	42.2%	12.1%	38.3%	13.2%	0.0%	7.4%	1.9%	-76	27.9K	-444	0.00	106.12	N/A	N/A	0	0	83	80
2011-07-29	$15.30	$17.50	42.9%	12.3%	37.6%	13.9%	0.0%	5.9%	1.5%	-178	31.8K	-433	0.00	104.64	N/A	N/A	1	0	83	80