AVTR Options History — January 2020

In January 2020, AVTR traded between $17.84 and $19.19. ATM implied volatility averaged 35.1%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 12.3% (HV 20d: 22.8%). 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 14 of 21 days. Put/call ratio averaged 24.80.

Notable Days

  • 2020-01-30: Highest Volume — 829 contracts
  • 2020-01-10: Largest IV spike — 127.6% change
  • 2020-01-02: Highest IV Rank — 53.5%
  • 2020-01-02: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.59$17.84$19.19$18.45$18.45
Max Pain$15.60$15.00$20.00$20.00$17.50
ATM IV35.1%20.6%61.6%61.6%41.6%
Expected Move10.3%7.8%17.7%17.7%11.9%
HV 20d22.8%18.8%28.3%28.3%25.5%
HV 60d34.7%33.3%35.5%34.8%33.3%
IV Rank19.0%0.1%53.5%53.5%27.5%
IV Percentile21.1%0.4%88.5%88.5%44.4%
Term Structure-0.8%-31.1%12.2%-31.1%-5.4%
VWIV33.8%22.9%42.4%38.0%40.6%
Skew 25d2.7%-9.6%14.6%14.6%-1.2%
Skew 10d4.1%-11.7%20.0%7.0%1.6%
Call IV 25d32.2%21.7%41.6%38.4%41.6%
Put IV 25d34.9%20.8%52.9%52.9%40.4%
Bid-Ask Spread %83.7670.62113.14113.1488.44
Gamma HHI0.520.440.590.540.53
Net GEX311.0K245.0K364.0K294.0K266.5K
Net DEX-6.1M-7.6M-4.1M-6.1M-5.6M
Net VEX-19.3K-21.1K-17.7K-21.1K-19.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio24.800.00413.5011.50413.50
Total Volume131.4291829255
Total OI12,360.38111,96413,05412,12212,801

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$18.45$20.0061.6%17.7%28.3%53.5%38.0%14.6%-31.1%294.0K-6.1M-21.1K11.50113.14N/AN/A2237,5884,534
2020-01-03$18.40$20.0038.4%11.0%22.3%23.2%38.7%13.1%0.7%277.5K-5.7M-20.6K3.0095.93N/AN/A13397,5924,520
2020-01-06$18.55$15.0034.6%10.7%22.4%18.4%36.8%6.3%1.5%309.1K-5.9M-19.3K0.0377.24N/AN/A15257,5924,485
2020-01-07$18.89$15.0030.0%9.7%18.8%12.3%34.3%7.6%1.1%351.9K-6.9M-20.1K7.1576.70N/AN/A13937,6904,490
2020-01-08$18.76$15.0020.6%9.6%18.8%0.1%34.0%5.0%1.2%304.1K-6.3M-19.2K1.0070.62N/AN/A1851857,6954,577
2020-01-09$18.27$15.0021.1%9.7%19.6%0.8%33.3%-1.8%2.7%267.8K-5.2M-19.3K4.3870.80N/AN/A8357,7914,777
2020-01-10$18.19$15.0048.1%9.8%19.7%35.9%34.0%-2.4%1.2%293.3K-5.0M-19.5K3.4072.80N/AN/A5177,7914,812
2020-01-13$18.14$15.0034.9%9.5%19.1%18.7%33.1%-0.4%1.1%276.7K-4.8M-18.3K0.5374.24N/AN/A49267,7964,823
2020-01-14$17.84$15.0034.2%9.4%19.9%17.8%22.9%7.0%0.1%245.0K-4.1M-17.7K0.0579.60N/AN/A5637,8444,848
2020-01-15$18.46$15.0032.1%9.2%22.5%15.1%32.9%-1.4%-0.2%290.4K-5.5M-17.7K0.0185.85N/AN/A43957,8204,847
2020-01-16$18.99$15.0030.2%8.7%24.6%12.6%29.9%1.6%1.0%340.8K-7.2M-19.8K0.3375.66N/AN/A45158,1334,844
2020-01-17$19.19$15.0027.2%7.8%23.9%8.7%27.3%4.2%4.2%358.0K-7.6M-20.3K0.8885.15N/AN/A17158,2054,849
2020-01-21$19.11$15.0030.0%8.6%22.8%12.3%30.2%-9.6%12.2%353.4K-7.5M-19.3K0.0095.24N/AN/A10807,1884,776
2020-01-22$18.97$15.0029.4%8.4%22.8%11.6%29.8%1.4%1.8%364.0K-7.2M-19.2K0.2784.77N/AN/A1137,2854,776
2020-01-23$18.74$15.0031.8%9.1%23.3%14.7%32.1%-0.5%1.6%342.5K-6.6M-18.8K0.0082.80N/AN/A7907,2804,776
2020-01-24$18.68$15.0032.7%9.4%23.3%15.9%32.8%0.7%1.5%338.3K-6.4M-19.1K0.3485.59N/AN/A89307,2634,776
2020-01-27$18.28$15.0042.0%12.0%24.7%27.9%0.0%1.1%-4.2%288.0K-5.7M-19.4K0.0082.52N/AN/A017,3434,801
2020-01-28$18.60$15.0041.3%11.8%25.4%27.0%42.4%7.8%-2.3%313.3K-6.4M-19.3K0.0088.84N/AN/A01587,3434,801
2020-01-29$18.81$15.0036.9%10.6%25.3%21.3%0.0%2.4%-3.9%338.1K-6.9M-19.0K0.0082.73N/AN/A207,3434,859
2020-01-30$18.53$15.0039.4%11.3%25.9%24.5%39.4%2.0%-2.2%317.8K-6.1M-18.5K413.5090.40N/AN/A28277,3554,859
2020-01-31$18.45$17.5041.6%11.9%25.5%27.5%40.6%-1.2%-5.4%266.5K-5.6M-19.1K0.0088.44N/AN/A057,3575,444