AVTR Options History — September 2019

In September 2019, AVTR traded between $13.78 and $17.26. ATM implied volatility averaged 36.6%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 4.7% (HV 20d: 41.3%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.71.

Notable Days

  • 2019-09-26: Highest Volume — 788 contracts
  • 2019-09-10: Largest IV spike — 70.3% change
  • 2019-09-11: Highest IV Rank — 18.0%
  • 2019-09-11: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.59$13.78$17.26$17.26$14.69
Max Pain$17.13$15.00$20.00$15.00$15.00
ATM IV36.6%23.2%46.3%34.6%38.8%
Expected Move10.7%8.8%13.3%9.9%11.1%
HV 20d41.3%34.7%52.5%38.0%52.5%
HV 60d37.0%32.8%43.2%33.7%43.2%
IV Rank11.3%1.9%18.0%9.8%12.8%
IV Percentile20.6%0.8%54.8%11.9%25.4%
Term Structure4.5%-11.2%10.8%1.2%7.5%
VWIV36.4%25.5%43.0%34.6%42.2%
Skew 25d5.8%-7.0%18.4%-6.8%18.4%
Skew 10d5.9%-11.8%29.1%-10.8%29.1%
Call IV 25d31.0%22.9%37.0%36.9%33.1%
Put IV 25d36.8%28.8%51.4%30.1%51.4%
Bid-Ask Spread %92.4987.4499.5894.1891.47
Gamma HHI0.340.290.430.390.34
Net GEX22.6K-55.3K235.1K179.1K-39.3K
Net DEX593.1K-2.3M2.6M-2.3M1.5M
Net VEX-23.1K-28.5K-17.6K-28.5K-21.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.710.4315.180.960.67
Total Volume249.33678892140
Total OI10,168.39,14711,1909,63910,126

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$17.26$15.0034.6%9.9%38.0%9.8%34.6%-6.8%1.2%179.1K-2.3M-28.5K0.9694.18N/AN/A47455,2784,361
2019-09-04$17.23$15.0032.7%9.4%34.9%8.5%0.0%-7.0%0.3%185.7K-2.1M-27.5K1.1194.80N/AN/A27305,2454,406
2019-09-05$17.18$15.0032.7%9.2%34.9%8.5%0.0%12.3%3.3%190.0K-2.1M-27.6K0.4388.57N/AN/A35155,2624,421
2019-09-06$17.22$15.0026.5%8.8%34.7%4.2%25.5%12.6%5.0%235.1K-2.1M-26.5K5.7787.44N/AN/A472715,2674,436
2019-09-09$16.27$20.0023.2%9.0%40.3%1.9%31.2%5.1%5.3%37.4K444.2K-24.1K1.4492.76N/AN/A721045,2954,732
2019-09-10$15.48$20.0039.6%11.6%42.2%13.3%40.3%4.9%0.6%21.7K1.0M-23.0K4.7296.71N/AN/A1195625,3544,680
2019-09-11$15.41$20.0046.3%13.3%42.2%18.0%36.8%2.8%-11.2%2.2K1.1M-23.9K1.7397.65N/AN/A1763045,4665,012
2019-09-12$15.30$17.5038.2%11.0%39.5%12.4%32.4%-1.6%5.9%-19.8K1.3M-24.5K2.1691.24N/AN/A19415,7975,287
2019-09-13$14.97$17.5037.8%10.8%39.5%12.1%43.0%18.0%3.8%-30.4K1.7M-23.7K0.6191.20N/AN/A129795,7805,306
2019-09-16$15.20$17.5039.6%11.4%37.1%13.4%39.6%9.6%4.4%-26.8K1.5M-23.2K15.1889.74N/AN/A335015,8465,344
2019-09-17$16.07$17.5040.4%11.6%42.0%13.9%36.7%7.1%5.5%1.2K70.4K-24.3K1.1790.55N/AN/A1541805,8775,007
2019-09-18$15.53$17.5040.5%11.6%42.7%14.0%32.2%2.5%10.8%-9.7K796.2K-21.7K3.1896.69N/AN/A842675,9174,941
2019-09-19$15.57$17.5037.5%10.8%41.4%11.9%37.9%10.3%5.9%-19.9K689.7K-21.6K0.5399.58N/AN/A30165,9945,102
2019-09-20$15.24$17.5039.1%11.2%41.5%13.0%39.1%6.6%5.3%-36.1K1.1M-20.9K4.7191.93N/AN/A7336,0205,091
2019-09-23$15.62$17.5037.1%10.6%42.3%11.6%34.9%11.3%6.4%-26.6K976.6K-21.9K1.5790.91N/AN/A14224,1894,958
2019-09-24$15.23$17.5038.2%11.0%42.8%12.4%38.2%7.3%7.1%-38.8K1.3M-21.4K4.0990.87N/AN/A22904,1974,979
2019-09-25$14.80$17.5039.0%11.2%43.4%13.0%38.4%0.7%4.2%-49.2K1.8M-19.4K0.7787.59N/AN/A1691304,2184,938
2019-09-26$13.81$17.5033.5%9.6%48.6%9.1%35.0%-6.5%10.3%-55.3K2.6M-17.6K0.9493.52N/AN/A4073814,3504,914
2019-09-27$13.78$15.0036.9%10.6%45.1%11.5%37.3%8.1%9.5%-48.2K2.4M-19.1K2.4192.33N/AN/A541304,7475,226
2019-09-30$14.69$15.0038.8%11.1%52.5%12.8%42.2%18.4%7.5%-39.3K1.5M-21.6K0.6791.47N/AN/A84564,7795,347