AVTR Options History — December 2011

In December 2011, AVTR traded between $5.85 and $7.18. ATM implied volatility averaged 62.4%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 7.7% (HV 20d: 70.1%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.60.

Notable Days

2011-12-29: Highest Volume — 70 contracts
2011-12-07: Largest IV spike — 43.7% change
2011-12-14: Highest IV Rank — 51.2%
2011-12-01: Largest Expected Move — 22.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.77	$5.85	$7.18	$5.85	$7.18
Max Pain	$10.79	$10.00	$12.50	$12.50	$12.50
ATM IV	62.4%	43.7%	97.4%	77.0%	46.2%
Expected Move	15.1%	11.9%	22.1%	22.1%	13.2%
HV 20d	70.1%	40.0%	80.4%	40.0%	73.1%
HV 60d	72.0%	63.3%	75.2%	68.4%	63.3%
IV Rank	25.4%	11.5%	51.2%	36.1%	13.3%
IV Percentile	78.3%	52.4%	98.8%	96.8%	61.5%
Term Structure	7.9%	-21.7%	18.9%	12.4%	11.3%
VWIV	69.6%	60.9%	78.4%	60.9%	78.4%
Skew 25d	10.1%	-2.0%	18.9%	-2.0%	18.9%
Skew 10d	7.6%	-3.2%	20.5%	-3.2%	20.5%
Call IV 25d	55.1%	42.3%	79.8%	79.8%	54.0%
Put IV 25d	65.2%	54.6%	83.1%	77.7%	72.9%
Bid-Ask Spread %	110.05	103.59	113.91	112.30	112.61
Gamma HHI	0.56	0.25	0.70	0.44	0.70
Net GEX	576	131	1.1K	151	1.1K
Net DEX	33.0K	5.1K	41.7K	40.2K	5.1K
Net VEX	-119	-158	-82	-82	-117
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.00	1.80	0.00	1.80
Total Volume	5.762	0	70	0	0
Total OI	272.81	234	293	242	234

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
2011-12-01	$5.85	$0.00	77.0%	22.1%	40.0%	36.1%	0.0%	-2.0%	12.4%	151	40.2K	-82	0.00	112.30	N/A	N/A	0	0	133	109
2011-12-02	$6.31	$0.00	68.0%	19.5%	52.5%	29.5%	0.0%	10.5%	-21.7%	165	41.2K	-89	0.00	113.91	N/A	N/A	0	0	133	109
2011-12-05	$6.74	$12.50	63.8%	13.9%	60.5%	26.4%	0.0%	1.0%	6.5%	146	40.2K	-105	0.00	108.16	N/A	N/A	0	0	133	109
2011-12-06	$6.62	$12.50	67.5%	11.9%	60.5%	29.1%	0.0%	12.3%	18.9%	173	41.7K	-90	0.00	109.98	N/A	N/A	0	0	133	109
2011-12-07	$6.61	$12.50	97.0%	14.8%	58.7%	50.9%	0.0%	8.8%	15.5%	135	40.0K	-105	0.00	113.65	N/A	N/A	0	0	133	109
2011-12-08	$6.28	$12.50	86.9%	14.0%	59.8%	43.5%	0.0%	5.8%	13.7%	165	40.9K	-86	0.00	110.67	N/A	N/A	0	1	133	109
2011-12-09	$7.18	$12.50	64.7%	17.4%	80.4%	27.0%	60.9%	6.7%	-0.2%	131	40.2K	-110	0.00	106.80	N/A	N/A	49	0	133	110
2011-12-12	$7.07	$10.00	72.8%	18.2%	80.1%	33.0%	0.0%	7.5%	-0.6%	652	25.9K	-158	0.00	104.38	N/A	N/A	0	0	182	110
2011-12-13	$6.83	$10.00	89.3%	18.3%	77.3%	45.2%	0.0%	5.2%	-3.8%	613	26.8K	-156	0.00	103.59	N/A	N/A	0	0	182	110
2011-12-14	$6.99	$10.00	97.4%	15.0%	78.0%	51.2%	0.0%	5.2%	9.0%	756	30.1K	-142	0.00	109.17	N/A	N/A	0	0	182	110
2011-12-15	$6.93	$10.00	61.7%	17.7%	77.1%	24.8%	0.0%	2.4%	-0.0%	652	28.5K	-149	0.00	106.02	N/A	N/A	0	0	182	110
2011-12-16	$6.81	$10.00	49.7%	14.3%	76.4%	16.0%	0.0%	11.0%	17.8%	685	30.4K	-137	0.00	110.72	N/A	N/A	0	0	182	110
2011-12-19	$6.48	$10.00	46.1%	13.2%	78.0%	13.3%	0.0%	9.1%	12.9%	650	35.2K	-113	0.00	109.51	N/A	N/A	0	0	182	110
2011-12-20	$6.75	$10.00	45.8%	13.1%	79.2%	13.0%	0.0%	12.3%	6.7%	759	33.3K	-125	0.00	111.75	N/A	N/A	0	0	182	110
2011-12-21	$6.72	$10.00	44.6%	12.8%	74.8%	12.2%	0.0%	15.6%	9.7%	759	34.1K	-124	0.00	110.21	N/A	N/A	0	0	182	110
2011-12-22	$7.00	$10.00	43.7%	12.5%	73.6%	11.5%	0.0%	13.3%	11.7%	922	31.5K	-125	0.00	112.50	N/A	N/A	1	0	182	110
2011-12-23	$7.11	$10.00	46.6%	13.3%	73.1%	13.6%	0.0%	16.9%	15.8%	886	29.6K	-127	0.00	112.32	N/A	N/A	0	0	183	110
2011-12-27	$6.97	$10.00	46.0%	13.2%	73.6%	13.2%	0.0%	16.7%	12.1%	929	31.9K	-119	0.00	111.10	N/A	N/A	0	0	183	110
2011-12-28	$6.78	$10.00	47.4%	13.6%	72.9%	14.3%	0.0%	17.9%	10.7%	819	33.3K	-118	0.00	110.03	N/A	N/A	0	0	183	110
2011-12-29	$6.90	$10.00	49.3%	14.1%	72.8%	15.7%	78.4%	16.3%	8.2%	865	32.4K	-117	1.80	111.75	N/A	N/A	25	45	183	110
2011-12-30	$7.18	$12.50	46.2%	13.2%	73.1%	13.3%	0.0%	18.9%	11.3%	1.1K	5.1K	-117	0.00	112.61	N/A	N/A	0	0	159	75