AVTR Options History — September 2011

In September 2011, AVTR traded between $8.18 and $10.29. ATM implied volatility averaged 56.6%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded below realized volatility by 2.3% (HV 20d: 58.9%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2011-09-16: Highest Volume — 93 contracts
2011-09-06: Largest IV spike — 49.8% change
2011-09-27: Highest IV Rank — 26.3%
2011-09-27: Largest Expected Move — 18.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.43	$8.18	$10.29	$10.05	$8.18
Max Pain	$10.60	$10.00	$12.50	$12.50	$10.00
ATM IV	56.6%	39.8%	63.4%	56.4%	61.0%
Expected Move	15.5%	11.4%	18.2%	16.2%	17.5%
HV 20d	58.9%	51.1%	64.9%	64.9%	61.4%
HV 60d	53.5%	50.8%	55.5%	51.0%	55.5%
IV Rank	21.2%	8.8%	26.3%	21.1%	24.5%
IV Percentile	86.0%	29.8%	94.4%	92.1%	90.9%
Term Structure	2.2%	-8.5%	16.8%	-8.5%	15.0%
VWIV	50.0%	46.6%	53.3%	53.3%	46.6%
Skew 25d	-1.1%	-27.5%	11.3%	8.8%	11.3%
Skew 10d	-3.7%	-24.9%	16.7%	16.7%	11.2%
Call IV 25d	56.0%	42.8%	82.4%	58.4%	55.7%
Put IV 25d	54.9%	45.4%	67.1%	67.1%	67.0%
Bid-Ask Spread %	110.38	100.84	200.00	112.21	107.99
Gamma HHI	0.74	0.45	1.00	0.98	0.45
Net GEX	-2.5K	-7.5K	48	-3.7K	48
Net DEX	96.3K	-20	162.4K	149.8K	79.3K
Net VEX	-206	-313	0	-313	-106
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	6.952	0	93	0	0
Total OI	318.762	11	421	396	278

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
2011-09-01	$10.05	$12.50	56.4%	16.2%	64.9%	21.1%	0.0%	8.8%	-8.5%	-3.7K	149.8K	-313	112.21	N/A	N/A	0	0	136	260
2011-09-02	$9.91	$12.50	39.8%	11.4%	62.6%	8.8%	0.0%	0.0%	0.0%	8	-20	0	200.00	N/A	N/A	0	0	11	0
2011-09-06	$9.77	$12.50	59.6%	14.8%	60.5%	23.4%	0.0%	3.9%	-0.8%	-3.7K	158.7K	-300	106.10	N/A	N/A	0	0	136	260
2011-09-07	$10.12	$12.50	57.4%	13.7%	58.5%	21.8%	0.0%	5.1%	2.2%	-4.5K	148.8K	-286	107.00	N/A	N/A	0	0	136	260
2011-09-08	$9.80	$12.50	61.5%	14.5%	51.1%	24.8%	53.3%	3.2%	1.2%	-3.5K	159.1K	-288	105.17	N/A	N/A	25	0	136	260
2011-09-09	$9.16	$10.00	61.6%	13.9%	54.1%	24.9%	0.0%	-2.5%	2.7%	-2.5K	162.4K	-240	109.22	N/A	N/A	0	0	161	260
2011-09-12	$9.50	$10.00	56.0%	16.3%	56.9%	20.7%	0.0%	-1.0%	-3.5%	-3.7K	134.1K	-270	103.74	N/A	N/A	0	3	161	235
2011-09-13	$10.13	$10.00	62.1%	15.3%	62.4%	25.3%	0.0%	7.2%	-0.1%	-6.0K	91.9K	-291	104.15	N/A	N/A	5	0	161	232
2011-09-14	$10.24	$10.00	52.9%	15.3%	62.7%	18.5%	0.0%	8.8%	-2.1%	-7.5K	77.5K	-250	104.48	N/A	N/A	0	0	161	232
2011-09-15	$10.29	$10.00	59.4%	17.0%	62.7%	23.3%	0.0%	-3.0%	-6.3%	-7.1K	70.1K	-247	103.59	N/A	N/A	0	0	161	232
2011-09-16	$9.69	$10.00	58.8%	16.9%	63.7%	22.8%	0.0%	-10.8%	-4.1%	-5.6K	132.0K	-240	102.04	N/A	N/A	0	93	161	232
2011-09-19	$9.70	$10.00	62.0%	17.8%	59.3%	25.2%	0.0%	-4.7%	-2.1%	-595	66.1K	-215	100.84	N/A	N/A	0	0	138	130
2011-09-20	$9.24	$10.00	57.4%	16.5%	60.0%	21.8%	0.0%	-12.2%	1.6%	-507	72.2K	-176	105.12	N/A	N/A	0	0	138	130
2011-09-21	$9.24	$10.00	58.3%	16.7%	58.3%	22.5%	0.0%	-12.4%	1.1%	-513	73.2K	-172	105.07	N/A	N/A	0	0	138	130
2011-09-22	$8.98	$10.00	44.6%	12.8%	58.4%	12.4%	0.0%	7.8%	16.8%	-509	74.7K	-155	107.62	N/A	N/A	0	0	138	130
2011-09-23	$8.88	$10.00	44.7%	12.8%	57.1%	12.4%	0.0%	6.6%	16.0%	-477	75.8K	-147	107.51	N/A	N/A	0	0	138	130
2011-09-26	$8.98	$10.00	57.3%	16.4%	56.7%	21.7%	0.0%	-8.6%	-4.0%	-434	74.9K	-156	107.15	N/A	N/A	0	0	138	130
2011-09-27	$9.07	$10.00	63.4%	18.2%	51.7%	26.3%	0.0%	-5.3%	-7.2%	-480	72.7K	-172	104.36	N/A	N/A	10	0	138	130
2011-09-28	$8.44	$10.00	55.3%	15.8%	55.9%	20.2%	0.0%	-27.5%	16.2%	-254	74.3K	-150	104.53	N/A	N/A	0	0	148	130
2011-09-29	$8.73	$10.00	58.8%	16.8%	58.0%	22.8%	46.6%	2.3%	10.7%	-304	75.3K	-142	110.04	N/A	N/A	0	10	148	130
2011-09-30	$8.18	$10.00	61.0%	17.5%	61.4%	24.5%	0.0%	11.3%	15.0%	48	79.3K	-106	107.99	N/A	N/A	0	0	148	130