AVTR Options History — January 2012

In January 2012, AVTR traded between $7.17 and $10.15. ATM implied volatility averaged 47.0%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 4.4% (HV 20d: 51.4%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.03.

Notable Days

2012-01-20: Highest Volume — 17 contracts
2012-01-11: Largest IV spike — 26.4% change
2012-01-11: Highest IV Rank — 23.6%
2012-01-09: Largest Expected Move — 16.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.66	$7.17	$10.15	$7.45	$9.78
Max Pain	$11.50	$10.00	$12.50	$12.50	$10.00
ATM IV	47.0%	37.1%	60.1%	54.6%	48.3%
Expected Move	13.8%	10.6%	16.9%	15.7%	13.8%
HV 20d	51.4%	39.1%	69.7%	69.7%	43.5%
HV 60d	62.0%	59.2%	64.6%	63.7%	59.7%
IV Rank	14.0%	6.6%	23.6%	19.6%	14.9%
IV Percentile	52.2%	13.5%	79.8%	70.6%	61.5%
Term Structure	5.7%	-3.6%	15.5%	-3.6%	0.0%
VWIV	46.6%	46.6%	46.6%	46.6%	46.6%
Skew 25d	6.2%	-21.0%	24.4%	11.5%	2.9%
Skew 10d	16.2%	-4.5%	66.8%	25.4%	10.0%
Call IV 25d	49.8%	36.2%	77.9%	65.4%	44.5%
Put IV 25d	56.1%	41.0%	83.4%	76.9%	47.4%
Bid-Ask Spread %	110.00	102.27	117.17	106.91	110.00
Gamma HHI	0.49	0.26	0.76	0.72	0.43
Net GEX	871	444	1.8K	1.2K	717
Net DEX	-35.0K	-72.0K	6.3K	526	-69.1K
Net VEX	-99	-131	-67	-107	-131
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.03	0.00	0.13	0.00	0.00
Total Volume	3.15	0	17	0	0
Total OI	199.5	120	246	234	131

Daily Data (20 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
2012-01-03	$7.45	$12.50	54.6%	15.7%	69.7%	19.6%	0.0%	11.5%	-3.6%	1.2K	526	-107	0.00	106.91	N/A	N/A	0	0	159	75
2012-01-04	$7.32	$12.50	57.2%	16.4%	66.8%	21.5%	0.0%	17.8%	1.3%	1.1K	2.3K	-112	0.00	110.61	N/A	N/A	0	0	159	75
2012-01-05	$7.30	$12.50	47.0%	13.5%	66.4%	14.0%	0.0%	24.4%	13.3%	1.2K	4.0K	-107	0.00	113.07	N/A	N/A	0	0	159	75
2012-01-06	$7.20	$0.00	48.9%	16.3%	66.7%	15.3%	0.0%	6.5%	2.3%	1.2K	5.4K	-108	0.00	104.28	N/A	N/A	0	0	159	75
2012-01-09	$7.17	$0.00	50.3%	16.9%	63.5%	16.4%	0.0%	6.8%	-0.6%	1.2K	6.3K	-100	0.00	102.27	N/A	N/A	12	0	159	75
2012-01-10	$7.62	$0.00	47.5%	16.7%	47.3%	14.3%	0.0%	11.4%	-0.0%	1.8K	-10.7K	-109	0.00	105.13	N/A	N/A	0	7	171	75
2012-01-11	$8.02	$0.00	60.1%	16.7%	49.7%	23.6%	0.0%	-21.0%	-1.8%	1.4K	-20.9K	-97	0.00	107.06	N/A	N/A	0	0	171	75
2012-01-12	$8.58	$0.00	51.8%	14.9%	51.8%	17.5%	0.0%	19.3%	14.3%	680	-32.5K	-88	0.00	107.05	N/A	N/A	0	0	171	75
2012-01-13	$8.59	$0.00	48.0%	13.8%	51.7%	14.7%	0.0%	-2.8%	2.9%	704	-33.2K	-86	0.00	110.66	N/A	N/A	16	0	171	75
2012-01-17	$8.51	$0.00	42.4%	12.2%	51.7%	10.6%	0.0%	0.9%	15.2%	725	-32.5K	-82	0.00	110.68	N/A	N/A	0	0	171	75
2012-01-18	$8.80	$0.00	38.6%	11.1%	51.3%	7.8%	0.0%	8.6%	15.5%	445	-36.2K	-67	0.00	111.55	N/A	N/A	0	0	171	75
2012-01-19	$8.80	$0.00	40.6%	11.7%	46.0%	9.2%	0.0%	3.1%	11.2%	444	-36.1K	-75	0.00	113.19	N/A	N/A	0	0	171	75
2012-01-20	$9.10	$0.00	37.1%	10.6%	45.5%	6.6%	0.0%	11.9%	13.8%	465	-38.8K	-75	0.13	112.37	N/A	N/A	15	2	171	75
2012-01-23	$9.41	$0.00	41.9%	12.0%	45.4%	10.1%	0.0%	-0.4%	13.8%	618	-63.9K	-96	0.00	113.02	N/A	N/A	0	0	104	16
2012-01-24	$9.62	$0.00	39.1%	11.2%	44.5%	8.1%	0.0%	2.3%	11.9%	634	-64.8K	-107	0.00	117.17	N/A	N/A	0	0	104	16
2012-01-25	$9.81	$0.00	45.9%	13.1%	44.5%	13.1%	0.0%	3.6%	2.5%	661	-67.7K	-106	0.00	114.29	N/A	N/A	0	0	104	16
2012-01-26	$9.89	$0.00	47.4%	13.6%	42.6%	14.3%	0.0%	4.4%	-0.4%	669	-68.5K	-106	0.00	113.54	N/A	N/A	0	0	104	16
2012-01-27	$10.11	$0.00	46.6%	13.4%	39.1%	13.6%	46.6%	7.1%	1.3%	720	-71.4K	-106	0.00	109.14	N/A	N/A	0	1	104	16
2012-01-30	$10.15	$10.00	46.9%	13.4%	39.5%	13.9%	0.0%	6.6%	1.6%	672	-72.0K	-107	0.00	108.06	N/A	N/A	10	0	104	17
2012-01-31	$9.78	$10.00	48.3%	13.8%	43.5%	14.9%	0.0%	2.9%	0.0%	717	-69.1K	-131	0.00	110.00	N/A	N/A	0	0	114	17