AVTR Options History — November 2011

In November 2011, AVTR traded between $5.94 and $9.18. ATM implied volatility averaged 60.8%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 6.4% (HV 20d: 54.5%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.08.

Notable Days

2011-11-30: Highest Volume — 51 contracts
2011-11-28: Largest IV spike — 47.7% change
2011-11-29: Highest IV Rank — 36.2%
2011-11-29: Largest Expected Move — 22.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.83	$5.94	$9.18	$9.05	$5.94
Max Pain	$8.27	$7.50	$10.00	$10.00	$10.00
ATM IV	60.8%	46.1%	77.0%	49.9%	75.0%
Expected Move	17.5%	13.2%	22.1%	14.3%	21.5%
HV 20d	54.5%	41.7%	65.6%	65.6%	41.7%
HV 60d	69.2%	68.3%	72.3%	72.3%	69.0%
IV Rank	24.2%	13.3%	36.2%	16.3%	34.6%
IV Percentile	86.0%	72.2%	97.2%	77.4%	96.4%
Term Structure	-3.4%	-28.6%	10.1%	8.5%	9.5%
VWIV	67.3%	64.1%	70.5%	70.5%	64.1%
Skew 25d	6.4%	-11.2%	18.9%	10.4%	1.0%
Skew 10d	19.9%	1.9%	30.8%	19.4%	1.9%
Call IV 25d	58.4%	44.4%	74.6%	50.6%	74.6%
Put IV 25d	64.8%	43.3%	78.3%	61.1%	75.6%
Bid-Ask Spread %	115.82	96.90	200.00	114.25	110.78
Gamma HHI	0.46	0.32	1.00	0.41	0.33
Net GEX	155	-22	402	270	135
Net DEX	53.8K	26.3K	69.4K	43.3K	49.1K
Net VEX	-120	-223	0	-213	-37
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.08	0.00	0.42	0.00	0.42
Total Volume	6	0	51	0	51
Total OI	202.762	67	234	182	211

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	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-11-01	$9.05	$10.00	49.9%	14.3%	65.6%	16.3%	0.0%	10.4%	8.5%	270	43.3K	-213	0.00	114.25	N/A	N/A	0	0	90	92
2011-11-02	$9.15	$10.00	50.5%	14.5%	62.8%	16.7%	0.0%	12.3%	9.5%	289	44.2K	-213	0.00	114.94	N/A	N/A	0	0	90	92
2011-11-03	$9.18	$10.00	48.9%	14.0%	62.3%	15.4%	0.0%	-5.6%	10.1%	300	44.0K	-213	0.00	114.44	N/A	N/A	17	0	90	92
2011-11-04	$9.04	$0.00	52.8%	16.3%	59.2%	18.2%	70.5%	15.3%	-3.6%	402	42.6K	-223	0.00	96.90	N/A	N/A	0	3	107	92
2011-11-07	$8.86	$7.50	58.7%	16.8%	59.7%	22.6%	0.0%	-7.8%	-4.1%	331	52.6K	-174	0.00	110.67	N/A	N/A	0	7	107	95
2011-11-08	$9.10	$7.50	56.0%	16.6%	60.2%	20.6%	0.0%	-4.3%	-3.6%	312	52.0K	-211	0.00	108.38	N/A	N/A	0	0	107	102
2011-11-09	$8.82	$7.50	63.6%	17.4%	56.5%	26.2%	0.0%	-11.2%	-8.3%	197	56.2K	-186	0.00	106.63	N/A	N/A	0	0	107	102
2011-11-10	$8.75	$7.50	46.1%	13.2%	56.5%	13.3%	0.0%	-1.1%	7.2%	84	60.0K	-166	0.00	113.83	N/A	N/A	0	0	107	102
2011-11-11	$8.82	$7.50	54.6%	15.7%	55.7%	19.6%	0.0%	1.7%	9.5%	38	60.4K	-168	0.00	113.71	N/A	N/A	25	0	107	102
2011-11-14	$8.20	$7.50	73.5%	21.1%	60.8%	33.6%	0.0%	18.9%	-13.9%	-11	68.7K	-101	0.00	107.19	N/A	N/A	0	0	122	102
2011-11-15	$8.04	$7.50	63.1%	18.1%	52.9%	25.8%	0.0%	13.5%	-5.1%	-22	69.4K	-87	0.00	110.09	N/A	N/A	10	0	122	102
2011-11-16	$7.73	$7.50	67.5%	19.3%	51.7%	29.1%	0.0%	14.6%	-10.0%	71	63.3K	-99	0.00	102.82	N/A	N/A	0	0	132	102
2011-11-17	$7.46	$7.50	64.2%	18.4%	52.0%	26.7%	64.1%	13.0%	-1.6%	75	61.2K	-94	0.00	103.83	N/A	N/A	0	3	132	102
2011-11-18	$7.46	$0.00	66.9%	19.2%	51.4%	28.7%	0.0%	13.3%	-6.7%	120	61.0K	-89	0.00	106.81	N/A	N/A	0	0	132	99
2011-11-21	$7.22	$0.00	70.1%	20.1%	50.9%	31.0%	0.0%	9.7%	-10.4%	119	60.1K	-80	0.00	107.27	N/A	N/A	0	0	107	99
2011-11-22	$6.71	$0.00	56.9%	16.3%	55.0%	21.3%	0.0%	14.8%	-1.0%	114	57.8K	-65	0.00	114.35	N/A	N/A	10	0	107	99
2011-11-23	$6.38	$0.00	54.0%	15.5%	56.1%	19.1%	0.0%	0.0%	0.0%	143	57.1K	-27	0.00	151.38	N/A	N/A	0	0	117	99
2011-11-25	$6.26	$10.00	51.7%	14.8%	46.6%	17.4%	0.0%	0.0%	0.0%	0	26.3K	0	0.00	200.00	N/A	N/A	0	0	25	42
2011-11-28	$6.23	$0.00	76.4%	21.9%	43.5%	35.7%	0.0%	9.5%	-21.9%	152	50.9K	-40	0.00	112.02	N/A	N/A	0	0	117	94
2011-11-29	$6.00	$0.00	77.0%	22.1%	42.6%	36.2%	0.0%	3.0%	-28.6%	138	49.9K	-35	0.00	111.84	N/A	N/A	0	0	117	94
2011-11-30	$5.94	$0.00	75.0%	21.5%	41.7%	34.6%	0.0%	1.0%	9.5%	135	49.1K	-37	0.42	110.78	N/A	N/A	36	15	117	94