AVTR Options History — September 2020

In September 2020, AVTR traded between $21.14 and $23.01. ATM implied volatility averaged 48.0%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 9.7% (HV 20d: 38.3%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2020-09-16: Highest Volume — 3,174 contracts
  • 2020-09-09: Largest IV drop — 28.3% change
  • 2020-09-08: Highest IV Rank — 27.3%
  • 2020-09-29: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.10$21.14$23.01$22.48$22.45
Max Pain$22.26$20.00$22.50$22.50$22.50
ATM IV48.0%43.9%62.8%43.9%46.6%
Expected Move13.5%12.6%14.2%12.6%13.3%
HV 20d38.3%35.8%41.1%36.3%37.9%
HV 60d44.5%43.6%46.3%45.2%43.6%
IV Rank17.9%15.2%27.3%15.2%16.9%
IV Percentile57.0%45.6%86.5%46.0%48.8%
Term Structure4.4%-0.0%9.1%-0.0%5.7%
VWIV47.0%43.1%49.8%43.1%46.1%
Skew 25d4.6%2.7%7.7%5.6%4.2%
Skew 10d8.6%-16.4%21.3%6.2%5.7%
Call IV 25d46.6%43.5%49.0%44.1%45.9%
Put IV 25d51.2%48.1%54.6%49.7%50.0%
Bid-Ask Spread %49.2114.6583.3481.5623.63
Gamma HHI0.340.230.870.260.24
Net GEX785.5K263.6K5.9M415.0K399.1K
Net DEX-11.2M-19.5M-7.0M-12.1M-11.4M
Net VEX-88.3K-97.4K-82.7K-95.4K-82.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.002.790.600.17
Total Volume1,051.571773,174216679
Total OI31,405.76228,46934,81629,38431,701

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$22.48$22.5043.9%12.6%36.3%15.2%43.1%5.6%-0.0%415.0K-12.1M-95.4K0.6081.56N/AN/A1358119,04310,341
2020-09-02$22.52$22.5043.9%12.6%36.1%15.2%44.7%7.7%2.3%428.6K-12.7M-97.4K0.0383.34N/AN/A3221119,05710,358
2020-09-03$21.41$22.5047.6%13.5%40.4%17.6%46.5%3.6%4.4%326.9K-7.3M-88.4K0.0249.18N/AN/A2,5125919,00710,361
2020-09-04$21.22$22.5051.8%14.0%39.7%20.3%47.6%4.5%4.6%360.5K-7.7M-91.9K0.4046.13N/AN/A672720,24410,398
2020-09-08$21.14$22.5062.8%14.0%35.8%27.3%47.6%3.8%3.3%348.1K-7.0M-88.8K0.2650.66N/AN/A611620,19810,401
2020-09-09$22.01$22.5045.0%12.9%37.8%16.0%45.0%4.4%5.5%491.8K-11.1M-92.9K0.0161.25N/AN/A607420,20810,395
2020-09-10$21.80$22.5047.1%13.5%37.4%17.3%46.8%2.7%9.1%490.9K-10.3M-89.8K0.0260.44N/AN/A1,1452820,59310,398
2020-09-11$21.49$22.5047.4%13.6%37.6%17.5%44.4%5.9%3.1%499.2K-8.8M-85.2K0.0029.05N/AN/A2,117621,11510,424
2020-09-14$21.99$22.5044.6%12.8%37.5%15.7%44.0%4.6%4.5%965.2K-13.1M-86.6K0.0054.56N/AN/A1,193023,06010,425
2020-09-15$21.84$22.5045.3%13.0%37.6%16.1%45.6%3.6%5.1%860.2K-11.5M-88.6K2.7973.96N/AN/A19353822,58310,425
2020-09-16$22.80$22.5046.6%13.4%40.1%17.0%48.1%2.8%5.6%1.2M-19.5M-90.6K0.0364.71N/AN/A3,07310122,78210,905
2020-09-17$22.32$20.0047.5%13.6%41.1%17.6%48.1%3.4%4.3%1.5M-15.1M-89.8K0.2437.67N/AN/A2255523,81710,931
2020-09-18$22.44$20.0046.8%13.4%41.0%17.1%49.8%5.6%5.5%5.9M-14.4M-87.8K0.4050.47N/AN/A1,75671023,85010,966
2020-09-21$23.01$22.5049.4%14.2%38.8%18.8%48.1%5.5%3.2%355.0K-13.0M-87.9K0.5363.32N/AN/A2,0261,06518,23510,234
2020-09-22$22.38$22.5048.4%13.9%37.4%18.1%48.5%5.0%3.9%314.9K-10.4M-86.2K0.0836.78N/AN/A9817919,32511,123
2020-09-23$22.30$22.5048.9%14.0%36.4%18.4%49.0%3.0%3.4%348.2K-11.0M-88.3K0.6156.84N/AN/A51331420,03611,171
2020-09-24$21.55$22.5048.7%14.0%38.4%18.3%48.8%3.6%4.6%263.6K-7.2M-83.7K0.1341.59N/AN/A3334219,99911,288
2020-09-25$22.02$22.5047.9%13.7%39.1%17.8%48.4%5.5%4.6%321.2K-9.4M-86.2K0.1235.91N/AN/A1131420,04411,307
2020-09-28$22.35$22.5048.9%14.0%39.4%18.5%48.4%4.3%4.9%364.5K-10.8M-83.0K0.2517.62N/AN/A2145420,02811,321
2020-09-29$22.52$22.5049.6%14.2%38.0%18.9%48.4%7.2%4.5%385.4K-11.9M-82.9K0.0414.65N/AN/A5922220,07211,352
2020-09-30$22.45$22.5046.6%13.3%37.9%16.9%46.1%4.2%5.7%399.1K-11.4M-82.7K0.1723.63N/AN/A57810120,33111,370