AVTR Options History — August 2011

In August 2011, AVTR traded between $9.43 and $14.90. ATM implied volatility averaged 66.9%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded above realized volatility by 13.5% (HV 20d: 53.4%). Max pain ranged from $10.00 to $17.50. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.78.

Notable Days

  • 2011-08-08: Highest Volume — 107 contracts
  • 2011-08-26: Largest IV spike — 145.8% change
  • 2011-08-10: Highest IV Rank — 100.0%
  • 2011-08-10: Largest Expected Move — 46.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.68$9.43$14.90$14.90$10.22
Max Pain$13.26$10.00$17.50$17.50$12.50
ATM IV66.9%28.8%163.4%44.0%61.8%
Expected Move18.3%8.3%46.8%12.6%17.7%
HV 20d53.4%37.8%65.2%37.8%65.0%
HV 60d47.7%42.0%51.5%42.0%51.0%
IV Rank30.5%0.7%100.0%14.9%25.0%
IV Percentile83.4%0.8%100.0%69.0%93.7%
Term Structure-9.2%-48.8%4.1%-0.7%-12.9%
VWIV60.4%52.3%71.8%52.3%61.8%
Skew 25d6.8%-7.5%21.0%2.7%11.4%
Skew 10d9.8%-28.4%23.9%4.4%20.6%
Call IV 25d57.6%40.8%165.8%41.7%57.6%
Put IV 25d64.4%42.2%161.6%44.4%69.0%
Bid-Ask Spread %110.4095.11200.00106.33109.26
Gamma HHI0.600.331.000.430.96
Net GEX-2.3K-4.0K-311-311-4.0K
Net DEX114.9K10.6K168.1K40.0K152.1K
Net VEX-380-659-50-397-317
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.002.800.190.00
Total Volume17.5650107020
Total OI297.82620381164381

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$14.90$17.5044.0%12.6%37.8%14.9%0.0%2.7%-0.7%-31140.0K-3970.00106.33N/AN/A008480
2011-08-02$14.25$17.5042.0%12.0%39.9%13.1%0.0%-2.1%1.3%-41550.6K-3590.00109.76N/AN/A078480
2011-08-03$14.30$17.5041.9%12.0%39.1%13.0%0.0%-0.9%0.1%-55054.6K-3850.00110.85N/AN/A008487
2011-08-04$13.90$17.5033.4%9.6%38.1%5.2%0.0%21.0%4.1%-62561.5K-3500.0097.85N/AN/A0558487
2011-08-05$13.07$12.5072.4%15.6%42.8%41.2%0.0%3.1%-3.2%-2.1K99.2K-3770.0095.11N/AN/A0084142
2011-08-08$12.34$12.5090.1%18.2%45.9%57.5%52.3%8.5%-7.2%-1.8K105.0K-3410.00105.70N/AN/A010784142
2011-08-09$12.99$12.5084.9%17.2%51.0%52.7%54.2%12.5%-5.3%-3.3K119.5K-4480.19106.83N/AN/A16384249
2011-08-10$11.85$12.50163.4%46.8%58.1%100.0%0.0%-4.3%-48.8%-96785.5K-6590.00167.95N/AN/A00100252
2011-08-11$12.04$12.5062.8%18.0%58.9%25.8%0.0%1.5%-4.9%-2.9K136.6K-4790.00104.60N/AN/A00100252
2011-08-12$11.82$12.5061.1%17.5%58.6%24.5%61.1%16.3%-5.3%-2.9K144.3K-4551.6798.30N/AN/A1220100252
2011-08-15$11.96$12.5059.3%17.0%59.3%23.2%59.3%-0.8%-6.5%-2.9K132.7K-4810.00102.18N/AN/A20112252
2011-08-16$11.74$12.5062.2%17.8%52.6%25.3%0.0%-7.5%-6.7%-2.7K138.8K-4640.00100.44N/AN/A015113252
2011-08-17$11.75$12.5060.3%17.3%53.0%23.9%0.0%-4.1%-5.2%-2.9K138.3K-4790.00100.77N/AN/A10113257
2011-08-18$11.17$12.5073.1%20.9%53.2%33.4%62.5%11.1%-14.1%-3.2K151.7K-4170.0099.59N/AN/A045114257
2011-08-19$10.42$12.5072.3%20.7%56.0%32.8%0.0%18.9%-12.3%-2.9K152.5K-3150.00101.08N/AN/A030114237
2011-08-22$10.00$12.5072.9%20.9%56.2%33.3%71.8%14.1%-12.7%-2.8K168.1K-3372.80100.33N/AN/A1028104257
2011-08-23$10.35$12.5072.0%20.6%59.6%32.6%0.0%14.5%-13.4%-2.9K131.8K-3540.00104.76N/AN/A00114227
2011-08-24$10.08$12.5073.1%20.9%59.6%33.4%0.0%11.2%-13.9%-2.7K137.6K-3300.00104.87N/AN/A00114227
2011-08-25$9.69$10.0028.8%8.3%56.8%0.7%0.0%0.0%0.0%-47410.6K-500.00200.00N/AN/A00020
2011-08-26$9.43$12.5070.9%20.3%56.8%31.8%0.0%-1.9%-12.7%-2.1K144.2K-2880.00107.27N/AN/A015121227
2011-08-29$10.03$12.5072.7%20.8%64.4%33.1%0.0%10.5%-13.9%-3.0K141.1K-3510.00104.06N/AN/A00121242
2011-08-30$10.23$12.5063.5%18.2%65.2%26.3%0.0%12.6%-7.1%-3.5K146.7K-3000.00101.27N/AN/A018121242
2011-08-31$10.22$12.5061.8%17.7%65.0%25.0%61.8%11.4%-12.9%-4.0K152.1K-3170.00109.26N/AN/A200121260