AVGO Options History — September 2009 In September 2009, AVGO traded between $1.62 and $1.78. ATM implied volatility averaged 43.7%. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 8.3% (HV 20d: 35.4%). Max pain ranged from $1.50 to $1.75. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.09.
Notable Days 2009-09-16 : Highest Volume — 2,930 contracts2009-09-04 : Largest IV drop — 17.1% change2009-09-15 : Largest Expected Move — 14.1%Monthly Statistics Metric Avg Min Max Open Close Price $1.72 $1.62 $1.78 $1.78 $1.71 Max Pain $1.62 $1.50 $1.75 $1.75 $1.50 ATM IV 43.7% 37.4% 49.2% 45.3% 43.9% Expected Move 12.7% 11.8% 14.1% 13.0% 12.6% HV 20d 35.4% 27.4% 39.6% 27.4% 39.2% Term Structure 0.7% -4.0% 5.6% 1.1% 1.2% VWIV 42.0% 33.4% 48.3% 33.4% 45.0% Bid-Ask Spread % 82.12 68.45 103.31 72.38 91.78 Gamma HHI 0.52 0.36 0.90 0.58 0.46 Net GEX 7.9K -739 19.8K 2.1K 15.9K Net DEX -150.0K -499.1K 63.7K -29.6K -306.3K Net VEX -1.6K -2.9K -546 -803 -2.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.09 0.00 0.52 0.00 0.00 Total Volume 603.81 0 2,930 0 0 Total OI 5,281.429 2,060 9,290 2,060 8,760
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2009-09-01 $1.78 $1.75 45.3% 13.0% 0.0% 0.0% 0.0% 0.0% 1.1% 2.1K -29.6K -803 0.00 72.38 0 0 1,210 850 2009-09-02 $1.77 $1.75 42.5% 12.2% 0.0% 0.0% 33.4% 0.0% 3.0% 2.1K -19.1K -801 0.00 103.31 250 0 1,210 850 2009-09-03 $1.75 $1.75 45.1% 12.9% 0.0% 0.0% 45.2% 0.0% 1.6% 2.3K -14.5K -782 0.00 91.32 190 0 1,390 850 2009-09-04 $1.78 $1.75 37.4% 12.4% 0.0% 0.0% 36.0% 0.0% 0.3% 4.9K -47.7K -829 0.00 78.05 10 0 1,580 850 2009-09-08 $1.77 $1.75 38.4% 12.5% 0.0% 0.0% 0.0% 0.0% 0.2% 5.9K -42.2K -808 0.00 85.22 0 0 1,590 850 2009-09-09 $1.73 $1.75 41.5% 12.6% 0.0% 0.0% 0.0% 0.0% -0.8% 6.1K -11.6K -772 0.00 73.21 0 0 1,590 850 2009-09-10 $1.71 $1.75 44.3% 12.7% 0.0% 0.0% 0.0% 0.0% -0.7% 5.7K 4.0K -731 0.00 72.42 0 100 1,590 850 2009-09-11 $1.69 $1.75 41.9% 12.0% 0.0% 0.0% 0.0% 0.0% 0.7% 117 41.9K -693 0.00 72.74 590 0 1,590 950 2009-09-14 $1.67 $1.75 43.8% 12.5% 0.0% 0.0% 0.0% 0.0% -0.0% -739 63.7K -546 0.00 80.66 0 0 1,280 950 2009-09-15 $1.72 $1.75 49.2% 14.1% 27.4% 0.0% 48.3% 0.0% -4.0% 671 40.0K -616 0.10 68.45 2,400 230 1,280 950 2009-09-16 $1.76 $1.50 48.3% 13.9% 28.2% 0.0% 48.3% 0.0% -2.0% 19.8K -189.0K -1.1K 0.11 82.09 2,630 300 3,280 1,180 2009-09-17 $1.66 $1.50 45.8% 13.1% 34.6% 0.0% 0.0% 0.0% 0.1% 2.9K -50.7K -1.4K 0.52 70.85 1,320 680 4,920 1,480 2009-09-18 $1.62 $1.50 45.8% 13.1% 34.7% 0.0% 0.0% 0.0% 2.2% 2.9K -94.3K -1.9K 0.10 69.17 290 30 6,240 2,160 2009-09-21 $1.66 $1.50 41.0% 11.8% 35.4% 0.0% 0.0% 0.0% 5.6% 3.4K -174.6K -2.0K 0.00 75.55 130 0 5,750 2,090 2009-09-22 $1.73 $1.50 44.4% 12.7% 37.4% 0.0% 36.9% 0.0% -1.2% 14.0K -348.4K -2.5K 0.13 84.97 460 60 5,860 2,090 2009-09-23 $1.74 $1.50 44.0% 12.6% 36.7% 0.0% 42.8% 0.0% 1.2% 14.3K -386.9K -2.6K 0.28 89.71 1,090 300 6,000 2,150 2009-09-24 $1.75 $1.50 45.0% 12.9% 36.8% 0.0% 45.0% 0.0% 1.2% 15.4K -424.6K -2.9K 0.00 89.93 1,160 0 6,550 2,350 2009-09-25 $1.71 $1.50 42.7% 12.2% 36.8% 0.0% 0.0% 0.0% 2.3% 15.7K -366.3K -2.8K 0.00 90.07 400 0 6,540 2,350 2009-09-28 $1.76 $1.50 43.6% 12.5% 38.0% 0.0% 0.0% 0.0% 1.5% 17.1K -499.1K -2.9K 0.00 90.93 60 0 6,940 2,350 2009-09-29 $1.70 $1.50 44.0% 12.6% 39.6% 0.0% 0.0% 0.0% 1.4% 15.6K -294.1K -2.8K 0.00 91.69 0 0 6,410 2,350 2009-09-30 $1.71 $1.50 43.9% 12.6% 39.2% 0.0% 0.0% 0.0% 1.2% 15.9K -306.3K -2.8K 0.00 91.78 0 0 6,410 2,350
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