AVTR Options History — March 2020

In March 2020, AVTR traded between $8.04 and $16.07. ATM implied volatility averaged 80.8%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 22.5%. IV traded below realized volatility by 27.9% (HV 20d: 108.8%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 3.88.

Notable Days

  • 2020-03-19: Highest Volume — 762 contracts
  • 2020-03-19: Largest IV spike — 427.0% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-12: Largest Expected Move — 50.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.24$8.04$16.07$15.80$12.36
Max Pain$15.34$15.00$17.50$17.50$15.00
ATM IV80.8%20.1%176.3%49.9%92.9%
Expected Move22.5%5.8%50.5%14.3%26.6%
HV 20d108.8%47.0%164.8%47.0%164.8%
HV 60d69.1%33.7%98.8%35.4%98.8%
IV Rank47.9%0.0%100.0%38.2%46.6%
IV Percentile86.7%0.0%100.0%79.0%96.4%
Term Structure-8.9%-40.1%27.9%-7.5%-34.5%
VWIV75.8%20.1%124.5%27.2%123.0%
Skew 25d12.0%-111.2%67.9%8.1%9.5%
Skew 10d32.2%-12.2%79.4%22.3%-12.2%
Call IV 25d73.3%28.4%142.5%43.4%58.9%
Put IV 25d85.3%17.3%177.6%51.5%68.5%
Bid-Ask Spread %104.3587.49127.1387.49119.33
Gamma HHI0.360.290.440.300.37
Net GEX-12.8K-20.2K-3.0K-13.7K-16.8K
Net DEX1.0M109.4K1.7M398.7K844.3K
Net VEX-11.6K-13.2K-8.8K-12.4K-13.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.880.0018.671.000.04
Total Volume137.5453762488
Total OI5,4324,7736,2924,7735,224

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$15.80$17.5049.9%14.3%47.0%38.2%0.0%8.1%-7.5%-13.7K398.7K-12.4K1.0087.49N/AN/A222,7092,064
2020-03-03$15.99$17.5053.1%15.2%47.2%42.4%27.2%18.3%-19.5%-3.0K109.4K-12.8K0.38109.20N/AN/A1352,7112,063
2020-03-04$16.07$17.5038.5%11.0%47.0%23.4%0.0%-2.9%-12.7%-20.2K275.0K-12.3K2.33105.47N/AN/A12282,7212,068
2020-03-05$15.36$15.0071.5%16.2%47.6%66.3%44.0%5.9%-15.8%-6.8K398.2K-12.8K0.11105.80N/AN/A281312,7282,096
2020-03-06$15.03$15.0049.8%15.3%47.4%38.1%35.7%6.7%-17.5%-9.2K588.7K-12.5K0.2094.08N/AN/A1533,0142,121
2020-03-09$12.81$15.00102.0%19.0%65.4%100.0%0.0%12.7%0.1%-9.8K1.3M-9.3K16.1990.28N/AN/A264213,0282,123
2020-03-10$13.58$15.0066.0%17.5%70.3%55.8%59.2%6.8%4.4%-16.5K1.3M-12.6K1.58101.29N/AN/A1131793,0362,568
2020-03-11$12.86$15.0055.0%15.8%70.9%42.3%55.1%-2.4%27.9%-15.0K1.3M-12.2K7.8092.88N/AN/A665153,0002,690
2020-03-12$10.77$15.00176.3%50.5%89.7%100.0%124.5%35.1%-29.2%-6.3K1.2M-11.3K8.38125.83N/AN/A8673,0252,898
2020-03-13$11.53$15.0093.9%26.9%95.5%47.1%0.0%1.4%-22.3%-17.6K1.5M-11.9K0.83112.12N/AN/A12103,0132,959
2020-03-16$10.43$15.00103.5%29.7%99.0%53.3%99.5%33.8%-30.6%-13.9K1.7M-10.2K18.6797.83N/AN/A3563,0202,967
2020-03-17$10.01$15.00107.1%30.7%98.9%55.6%120.5%54.5%-40.1%-13.2K1.6M-9.8K1.57100.31N/AN/A61963,0213,019
2020-03-18$8.04$15.0020.1%5.8%117.5%0.0%20.1%-111.2%-7.4%-3.9K832.6K-8.8K0.73127.13N/AN/A15113,0713,046
2020-03-19$10.32$15.00105.9%30.4%156.2%54.9%97.0%19.1%14.0%-13.1K1.4M-11.0K0.0197.52N/AN/A751113,0663,006
2020-03-20$10.51$15.0061.3%17.6%156.7%26.4%0.0%-18.4%0.5%-12.1K1.3M-11.1K15.50109.71N/AN/A2313,3182,974
2020-03-23$10.16$15.0099.9%28.6%156.4%51.1%98.5%-13.9%-28.2%-11.5K1.4M-10.5K6.5097.86N/AN/A2132,1842,976
2020-03-24$11.18$15.0090.6%26.0%162.1%45.2%0.0%14.4%8.6%-16.4K1.3M-11.3K0.0093.30N/AN/A302,1862,986
2020-03-25$11.35$15.0086.3%24.7%162.3%42.4%72.7%67.9%-5.4%-14.4K1.0M-12.4K0.32102.50N/AN/A2272,1872,985
2020-03-26$11.80$15.0079.4%22.8%163.6%38.0%85.0%31.3%9.5%-16.4K1.1M-12.5K1.7599.91N/AN/A12212,2002,988
2020-03-27$11.53$15.0072.1%20.7%163.4%33.3%0.0%52.0%23.9%-15.5K1.0M-12.5K1.50112.99N/AN/A232,2203,002
2020-03-30$11.85$15.00103.1%29.6%163.8%53.1%0.0%36.3%-14.3%-16.1K1.0M-12.5K0.00112.89N/AN/A702,2203,003
2020-03-31$12.36$15.0092.9%26.6%164.8%46.6%123.0%9.5%-34.5%-16.8K844.3K-13.2K0.04119.33N/AN/A8532,2213,003