AVTR Options History — November 2020

In November 2020, AVTR traded between $23.40 and $27.60. ATM implied volatility averaged 43.3%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 5.7% (HV 20d: 37.7%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2020-11-02: Highest Volume — 12,162 contracts
  • 2020-11-04: Largest IV drop — 19.0% change
  • 2020-11-02: Highest IV Rank — 24.0%
  • 2020-11-02: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.09$23.40$27.60$23.40$27.19
Max Pain$24.63$22.50$25.00$22.50$25.00
ATM IV43.3%36.9%57.6%57.6%42.1%
Expected Move12.2%10.6%16.5%16.5%12.1%
HV 20d37.7%31.5%41.0%32.1%36.2%
HV 60d35.3%33.5%36.7%34.9%33.9%
IV Rank14.9%10.7%24.0%24.0%14.1%
IV Percentile34.2%10.7%82.9%82.9%31.7%
Term Structure-0.9%-6.2%1.9%-6.2%1.8%
VWIV41.5%23.7%59.6%59.6%44.7%
Skew 25d3.5%-2.8%13.0%13.0%-2.2%
Skew 10d10.6%-6.5%36.1%23.4%36.1%
Call IV 25d40.3%28.3%47.7%47.7%44.4%
Put IV 25d43.8%38.1%60.7%60.7%42.2%
Bid-Ask Spread %61.5727.6578.8463.0361.52
Gamma HHI0.400.300.500.300.47
Net GEX1.3M678.8K1.8M678.8K1.2M
Net DEX-33.8M-53.1M-14.7M-14.7M-27.6M
Net VEX-131.3K-152.1K-113.4K-116.5K-139.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.018.068.060.03
Total Volume2,360.518412,16212,1626,334
Total OI59,815.9542,90970,07955,19843,603

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$23.40$22.5057.6%16.5%32.1%24.0%59.6%13.0%-6.2%678.8K-14.7M-116.5K8.0663.03N/AN/A1,34310,81937,02018,178
2020-11-03$23.74$22.5055.4%15.9%32.5%22.6%53.6%11.0%-5.7%795.8K-18.2M-113.4K0.6471.48N/AN/A45629237,02018,178
2020-11-04$24.49$22.5044.9%12.9%31.5%15.9%45.3%10.2%-2.4%1.1M-24.1M-129.1K0.3453.70N/AN/A1,63256238,17826,573
2020-11-05$25.23$25.0047.8%12.7%33.2%17.7%43.2%3.7%-1.1%1.3M-32.2M-135.4K0.1865.80N/AN/A4,58984238,14926,974
2020-11-06$26.85$25.0043.6%12.5%39.5%15.1%43.6%3.7%-2.2%1.6M-45.8M-133.4K0.0469.08N/AN/A5,19118836,92527,666
2020-11-09$26.74$25.0049.8%12.3%39.5%19.0%42.4%2.6%-1.3%1.5M-40.0M-121.5K0.0663.89N/AN/A6163834,20727,269
2020-11-10$26.20$25.0047.4%11.8%39.4%17.5%41.0%1.6%0.3%1.5M-36.2M-113.6K0.0156.04N/AN/A3,4534034,92627,289
2020-11-11$26.69$25.0041.1%11.8%39.0%13.5%39.3%2.7%-0.3%1.7M-42.6M-130.0K0.0167.80N/AN/A3,2063937,85827,291
2020-11-12$26.18$25.0041.7%12.0%39.9%13.8%41.3%3.2%-0.7%1.8M-38.3M-137.4K0.7150.26N/AN/A51236440,53327,317
2020-11-13$26.81$25.0040.8%11.7%40.1%13.3%40.3%2.0%-0.7%1.8M-45.9M-152.1K0.2934.68N/AN/A2246442,13627,324
2020-11-16$27.06$25.0041.0%11.8%39.5%13.4%39.2%2.0%-1.3%1.8M-47.4M-150.6K0.0571.01N/AN/A1,0214841,98927,382
2020-11-17$27.60$25.0036.9%10.6%38.6%10.7%38.3%3.2%0.8%1.4M-53.1M-148.8K0.2778.84N/AN/A1935342,22427,408
2020-11-18$26.62$25.0040.2%11.5%41.0%12.9%39.1%0.9%0.2%1.3M-45.7M-142.4K0.4573.34N/AN/A50522642,29327,435
2020-11-19$26.61$25.0040.6%11.7%40.1%13.2%38.5%4.0%-0.4%1.2M-45.7M-137.3K1.4873.71N/AN/A9714442,53827,541
2020-11-20$26.05$25.0039.5%11.3%40.1%12.4%40.0%-0.4%0.4%1.0M-40.9M-127.5K1.6275.35N/AN/A46575242,25227,676
2020-11-23$25.97$25.0040.1%11.5%39.8%12.8%23.7%12.3%-0.3%986.2K-18.2M-124.3K0.0162.88N/AN/A1,8571229,67713,434
2020-11-24$25.90$25.0037.4%10.7%39.7%11.1%38.1%-2.8%1.9%978.2K-18.6M-122.6K0.1860.97N/AN/A4137629,47713,432
2020-11-25$26.07$25.0039.0%11.2%36.3%12.1%39.0%0.8%0.8%1.0M-19.1M-125.5K0.0627.65N/AN/A3402029,86313,506
2020-11-27$26.35$25.0039.4%11.3%35.1%12.4%40.6%-0.6%-0.7%1.1M-20.9M-125.2K0.0650.46N/AN/A1741030,06513,513
2020-11-30$27.19$25.0042.1%12.1%36.2%14.1%44.7%-2.2%1.8%1.2M-27.6M-139.4K0.0361.52N/AN/A6,15917530,08013,523