AVTR Options History — October 2011

In October 2011, AVTR traded between $7.74 and $10.00. ATM implied volatility averaged 57.8%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded below realized volatility by 30.0% (HV 20d: 87.8%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2011-10-28: Highest Volume — 25 contracts
2011-10-05: Largest IV drop — 35.5% change
2011-10-04: Highest IV Rank — 49.3%
2011-10-03: Largest Expected Move — 23.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.95	$7.74	$10.00	$7.74	$9.50
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	57.8%	43.8%	94.7%	80.7%	53.2%
Expected Move	16.4%	12.5%	23.1%	23.1%	15.2%
HV 20d	87.8%	63.4%	92.2%	63.4%	86.2%
HV 60d	69.3%	56.2%	72.9%	56.2%	72.5%
IV Rank	22.1%	11.7%	49.3%	39.0%	18.7%
IV Percentile	83.7%	66.3%	98.8%	98.0%	80.2%
Term Structure	1.0%	-7.4%	11.2%	-3.9%	-1.2%
VWIV	53.6%	53.6%	53.6%	53.6%	53.6%
Skew 25d	2.8%	-7.1%	18.6%	8.8%	3.3%
Skew 10d	15.3%	-0.8%	30.6%	12.6%	3.5%
Call IV 25d	61.7%	45.2%	182.4%	71.5%	58.1%
Put IV 25d	64.5%	48.4%	178.3%	80.3%	61.4%
Bid-Ask Spread %	110.25	95.69	145.95	107.32	113.36
Gamma HHI	0.50	0.40	0.69	0.46	0.47
Net GEX	-124	-867	371	117	371
Net DEX	59.7K	28.4K	72.7K	72.7K	42.5K
Net VEX	-151	-267	-87	-87	-216
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	4	0	25	0	1
Total OI	235	145	278	268	182

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
2011-10-03	$7.74	$10.00	80.7%	23.1%	63.4%	39.0%	0.0%	8.8%	-3.9%	117	72.7K	-87	107.32	N/A	N/A	0	0	148	120
2011-10-04	$9.15	$10.00	94.7%	0.0%	89.9%	49.3%	0.0%	-4.1%	0.0%	-268	28.4K	-267	145.95	N/A	N/A	0	0	148	120
2011-10-05	$8.68	$10.00	61.1%	17.5%	90.3%	24.5%	0.0%	6.2%	9.7%	-216	68.1K	-121	105.61	N/A	N/A	10	0	148	120
2011-10-06	$8.52	$10.00	59.9%	17.2%	90.0%	23.6%	0.0%	4.1%	5.5%	9	65.2K	-132	105.07	N/A	N/A	0	0	158	120
2011-10-07	$8.09	$0.00	58.6%	19.3%	88.8%	22.7%	0.0%	0.1%	-3.2%	365	68.8K	-108	95.69	N/A	N/A	0	0	158	120
2011-10-10	$8.24	$0.00	60.5%	19.3%	87.8%	24.1%	0.0%	-1.5%	-4.9%	239	68.8K	-100	97.06	N/A	N/A	10	0	158	120
2011-10-11	$8.25	$0.00	60.4%	19.3%	83.8%	24.0%	0.0%	18.6%	-7.2%	213	67.9K	-105	105.90	N/A	N/A	8	0	148	120
2011-10-12	$8.84	$0.00	56.4%	17.0%	88.2%	21.1%	0.0%	-7.1%	-3.5%	-272	64.2K	-141	108.88	N/A	N/A	0	0	140	120
2011-10-13	$8.77	$0.00	50.2%	14.4%	88.1%	16.5%	0.0%	5.0%	11.2%	-213	65.4K	-131	113.31	N/A	N/A	0	0	140	120
2011-10-14	$9.00	$0.00	52.1%	14.9%	86.6%	17.9%	0.0%	4.5%	10.9%	-435	64.3K	-148	113.92	N/A	N/A	0	0	140	120
2011-10-17	$8.78	$0.00	43.8%	12.5%	86.9%	11.7%	0.0%	3.0%	8.1%	-236	65.0K	-124	113.96	N/A	N/A	0	10	140	120
2011-10-18	$9.49	$0.00	58.7%	16.8%	90.0%	22.7%	0.0%	-0.1%	-4.9%	-867	58.0K	-164	104.98	N/A	N/A	0	0	140	120
2011-10-19	$9.01	$0.00	49.3%	14.1%	92.0%	15.8%	0.0%	3.9%	10.4%	-317	63.3K	-138	113.12	N/A	N/A	0	0	140	120
2011-10-20	$9.13	$0.00	59.7%	17.1%	91.5%	23.5%	0.0%	-2.9%	-7.4%	-351	60.4K	-158	107.30	N/A	N/A	0	0	140	120
2011-10-21	$9.26	$0.00	55.7%	16.0%	91.5%	20.6%	0.0%	-2.4%	-4.1%	-315	62.1K	-148	111.65	N/A	N/A	8	0	140	120
2011-10-24	$9.41	$0.00	53.6%	15.4%	91.6%	19.0%	53.6%	2.2%	-0.9%	-271	57.9K	-164	112.48	N/A	N/A	10	0	53	92
2011-10-25	$9.14	$10.00	44.4%	12.7%	92.2%	12.2%	0.0%	8.0%	10.5%	-22	54.8K	-170	114.61	N/A	N/A	0	0	63	92
2011-10-26	$9.12	$10.00	51.7%	14.8%	88.2%	17.6%	0.0%	-5.1%	-3.5%	-99	54.0K	-174	109.73	N/A	N/A	0	0	63	92
2011-10-27	$9.74	$10.00	52.8%	15.1%	90.3%	18.4%	0.0%	4.8%	0.9%	-34	53.6K	-179	109.51	N/A	N/A	2	0	63	92
2011-10-28	$10.00	$10.00	57.5%	16.5%	86.6%	21.8%	0.0%	8.5%	-3.2%	-1	48.6K	-195	105.79	N/A	N/A	25	0	65	92
2011-10-31	$9.50	$10.00	53.2%	15.2%	86.2%	18.7%	0.0%	3.3%	-1.2%	371	42.5K	-216	113.36	N/A	N/A	1	0	90	92