AVTR Options History — December 2019

In December 2019, AVTR traded between $16.54 and $18.54. ATM implied volatility averaged 40.9%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 3.8% (HV 20d: 37.1%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.75.

Notable Days

  • 2019-12-20: Highest Volume — 1,641 contracts
  • 2019-12-20: Largest IV spike — 26.0% change
  • 2019-12-20: Highest IV Rank — 37.0%
  • 2019-12-20: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.02$16.54$18.54$16.91$18.21
Max Pain$18.45$15.00$20.00$17.50$20.00
ATM IV40.9%37.6%48.9%43.5%40.4%
Expected Move11.6%10.8%14.0%12.5%11.6%
HV 20d37.1%29.8%46.9%43.1%29.8%
HV 60d41.3%34.7%45.5%45.5%34.7%
IV Rank26.5%22.2%37.0%29.8%25.8%
IV Percentile31.6%17.9%61.5%40.5%33.3%
Term Structure-1.0%-22.2%2.8%-1.8%-1.7%
VWIV37.9%22.1%57.2%38.0%22.1%
Skew 25d4.8%-1.9%19.7%8.2%19.7%
Skew 10d10.2%-6.3%33.7%14.7%33.7%
Call IV 25d36.0%25.8%42.1%37.4%25.8%
Put IV 25d40.8%34.6%47.3%45.6%45.5%
Bid-Ask Spread %84.3471.4992.5380.6792.53
Gamma HHI0.460.370.570.390.51
Net GEX258.4K160.7K454.4K188.1K267.6K
Net DEX-6.5M-8.8M-2.9M-4.0M-5.2M
Net VEX-24.8K-28.5K-20.5K-28.4K-20.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.0011.000.003.00
Total Volume128.09511,6415844
Total OI14,118.66711,97815,11814,69112,077

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$16.91$17.5043.5%12.5%43.1%29.8%38.0%8.2%-1.8%188.1K-4.0M-28.4K0.0080.67N/AN/A5808,2296,462
2019-12-03$16.54$17.5043.7%12.5%44.0%30.2%43.3%5.2%-1.6%160.7K-2.9M-26.9K0.0080.05N/AN/A6008,2286,462
2019-12-04$17.43$17.5042.7%12.2%46.9%28.9%33.2%-0.8%-2.4%227.5K-5.2M-28.5K0.1671.49N/AN/A5598,2786,462
2019-12-05$17.53$15.0042.3%12.1%45.7%28.3%0.0%3.5%-0.7%240.0K-5.6M-27.6K0.1780.65N/AN/A618,3156,466
2019-12-06$18.23$15.0040.9%11.1%46.5%26.6%36.5%5.8%2.2%267.7K-7.6M-27.0K1.6981.91N/AN/A1392358,3176,467
2019-12-09$18.12$15.0043.5%11.7%40.6%29.9%0.0%7.3%0.3%275.7K-7.2M-27.6K1.6779.22N/AN/A15258,2936,700
2019-12-10$18.54$15.0045.4%11.7%40.3%32.4%38.8%7.1%0.1%271.6K-8.5M-26.3K0.7080.33N/AN/A20148,2986,702
2019-12-11$18.52$17.5039.6%11.3%38.6%24.8%39.5%1.4%1.8%282.3K-8.6M-25.7K0.0079.80N/AN/A1008,3126,706
2019-12-12$18.27$17.5040.7%11.7%38.2%26.2%36.7%6.5%1.1%295.9K-7.9M-25.7K1.1383.05N/AN/A53608,3136,706
2019-12-13$18.15$20.0038.4%11.0%38.2%23.2%33.7%5.4%1.6%310.5K-7.5M-25.3K11.0081.87N/AN/A1118,3146,766
2019-12-16$18.49$20.0037.9%10.9%38.2%22.7%0.0%4.6%2.3%278.6K-8.4M-25.5K0.0082.38N/AN/A018,3126,769
2019-12-17$18.47$20.0038.6%11.1%33.6%23.5%35.7%1.7%2.8%225.3K-8.8M-24.6K0.5080.01N/AN/A218,3126,769
2019-12-18$18.18$20.0038.1%10.9%34.2%22.8%57.2%-1.9%1.2%248.7K-8.3M-24.0K6.2989.20N/AN/A7448,3126,769
2019-12-19$17.85$20.0038.8%11.1%35.3%23.8%39.0%6.3%0.8%454.4K-7.2M-22.8K2.2590.09N/AN/A498,3136,804
2019-12-20$18.09$20.0048.9%14.0%35.0%37.0%33.8%-0.3%-22.2%174.6K-8.1M-23.5K0.0491.24N/AN/A1,571708,3126,806
2019-12-23$18.21$20.0037.6%10.8%30.3%22.2%37.5%3.9%-0.3%258.2K-5.5M-22.2K0.1685.82N/AN/A62107,5024,476
2019-12-24$18.21$20.0039.3%11.3%29.9%24.4%39.5%-0.3%-2.1%247.8K-5.0M-24.0K2.0088.72N/AN/A127,5504,478
2019-12-26$18.15$20.0039.0%11.2%30.0%24.0%39.7%-1.0%-0.5%258.6K-5.3M-21.8K2.5089.59N/AN/A257,5514,478
2019-12-27$18.23$20.0040.1%11.5%29.9%25.5%40.3%7.8%-1.1%256.7K-5.5M-22.0K1.6791.54N/AN/A27457,5534,480
2019-12-30$18.05$20.0040.0%11.5%30.3%25.3%22.1%10.9%-1.3%235.6K-4.8M-20.7K0.1091.09N/AN/A1017,5734,500
2019-12-31$18.21$20.0040.4%11.6%29.8%25.8%0.0%19.7%-1.7%267.6K-5.2M-20.5K3.0092.53N/AN/A11337,5774,500