AVTR Options History — June 2020

In June 2020, AVTR traded between $16.51 and $19.36. ATM implied volatility averaged 47.8%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded below realized volatility by 3.7% (HV 20d: 51.5%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 2.36.

Notable Days

  • 2020-06-17: Highest Volume — 2,758 contracts
  • 2020-06-30: Largest IV spike — 67.4% change
  • 2020-06-10: Highest IV Rank — 28.0%
  • 2020-06-05: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.64$16.51$19.36$18.24$17.09
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV47.8%27.8%63.8%46.3%46.5%
Expected Move14.0%8.0%18.8%13.3%13.3%
HV 20d51.5%43.1%57.0%50.5%43.1%
HV 60d76.0%56.9%107.8%107.7%57.4%
IV Rank17.8%4.9%28.0%16.8%16.9%
IV Percentile62.1%4.4%87.7%63.1%59.1%
Term Structure4.9%-11.0%25.3%4.0%5.2%
VWIV52.3%28.1%88.9%47.4%46.8%
Skew 25d10.7%-9.3%31.4%7.4%-2.9%
Skew 10d20.6%-7.4%45.6%30.2%0.3%
Call IV 25d42.4%25.9%59.3%47.3%38.7%
Put IV 25d53.1%35.8%64.4%54.7%35.8%
Bid-Ask Spread %103.9379.00127.7688.35120.04
Gamma HHI0.490.380.700.700.40
Net GEX140.4K67.7K196.8K146.3K149.7K
Net DEX-4.5M-8.2M-2.3M-4.8M-3.7M
Net VEX-35.0K-38.1K-31.9K-32.7K-34.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.360.0111.250.720.31
Total Volume508.22792,7581,66394
Total OI12,442.18210,98916,19110,98912,406

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$18.24$17.5046.3%13.3%50.5%16.8%47.4%7.4%4.0%146.3K-4.8M-32.7K0.7288.35N/AN/A9696947,3573,632
2020-06-02$18.88$17.5032.5%9.3%51.6%7.9%28.1%17.2%25.3%196.8K-7.0M-36.9K1.37103.35N/AN/A831148,1763,728
2020-06-03$19.36$17.5052.9%15.2%51.9%21.0%52.8%12.5%-6.3%194.2K-8.2M-36.9K0.4494.75N/AN/A101448,1933,791
2020-06-04$18.47$17.5049.2%13.9%55.2%18.6%50.1%4.7%5.6%175.3K-6.3M-36.1K10.5479.00N/AN/A1671,7608,2153,802
2020-06-05$18.19$17.5044.0%18.8%55.6%15.3%43.6%11.9%-0.1%187.7K-5.1M-34.8K0.2197.85N/AN/A3378,2253,844
2020-06-08$18.23$17.5057.0%16.8%55.6%23.6%52.3%21.2%-1.0%157.9K-5.6M-35.8K9.4497.85N/AN/A181708,2333,844
2020-06-09$17.89$17.5051.1%15.2%53.0%19.9%88.9%10.2%-11.0%138.8K-4.6M-34.9K0.6797.84N/AN/A18128,2344,000
2020-06-10$17.87$17.5063.8%18.3%52.9%28.0%62.6%31.4%2.1%108.9K-4.7M-35.0K4.30120.43N/AN/A20868,2324,001
2020-06-11$16.73$17.5039.8%11.4%57.0%12.6%49.6%16.7%-0.4%86.5K-2.5M-32.7K1.86127.76N/AN/A36678,2314,033
2020-06-12$16.96$17.5043.3%12.4%56.8%14.9%54.6%12.9%15.0%67.7K-2.4M-32.5K0.00110.57N/AN/A0288,2324,037
2020-06-15$17.18$17.5055.2%15.8%56.9%22.5%54.7%6.2%8.5%72.2K-2.8M-31.9K1.2796.72N/AN/A11148,2324,079
2020-06-16$17.70$17.5048.7%14.0%56.8%18.3%57.7%4.2%11.8%79.1K-4.0M-32.7K0.81105.06N/AN/A16138,2344,079
2020-06-17$17.69$17.5055.8%16.0%51.9%22.9%57.7%6.7%-0.7%70.6K-4.1M-32.5K0.01105.48N/AN/A2,738208,2354,085
2020-06-18$17.49$17.5052.8%15.1%51.6%20.9%53.6%-6.7%0.5%154.4K-5.2M-37.1K0.71104.67N/AN/A87862510,6944,085
2020-06-19$17.64$17.5044.3%12.7%51.5%15.5%44.2%-9.3%6.7%189.0K-7.0M-38.1K2.47109.60N/AN/A348411,4574,734
2020-06-22$17.35$17.5046.6%13.4%47.0%17.0%46.6%18.3%5.4%142.5K-3.7M-36.5K0.29105.24N/AN/A59178,0083,582
2020-06-23$17.88$17.5046.9%13.5%48.1%17.2%45.9%8.6%4.9%160.2K-4.9M-36.9K0.22100.64N/AN/A1,5003308,0583,595
2020-06-24$17.06$17.5046.5%13.3%49.0%16.9%49.9%13.6%2.8%183.6K-3.7M-37.1K0.16109.86N/AN/A4579,1323,669
2020-06-25$16.87$17.5054.6%15.6%48.6%22.1%58.2%13.0%-0.3%142.8K-2.9M-35.1K11.25103.72N/AN/A4458,7553,670
2020-06-26$16.91$17.5046.8%13.4%45.1%17.1%0.0%18.0%8.0%151.2K-3.2M-35.6K0.00104.95N/AN/A098,7573,691
2020-06-29$16.51$17.5027.8%8.0%43.1%4.9%53.9%20.5%22.7%133.0K-2.3M-33.0K0.22102.67N/AN/A173388,7573,694
2020-06-30$17.09$17.5046.5%13.3%43.1%16.9%46.8%-2.9%5.2%149.7K-3.7M-34.8K0.31120.04N/AN/A72228,6763,730