AVGO Options History — November 2009 In November 2009, AVGO traded between $1.45 and $1.61. ATM implied volatility averaged 43.6%. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 13.3% (HV 20d: 30.3%). Max pain ranged from $1.50 to $1.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.95.
Notable Days 2009-11-23 : Highest Volume — 1,070 contracts2009-11-12 : Largest IV drop — 14.3% change2009-11-03 : Largest Expected Move — 13.9%Monthly Statistics Metric Avg Min Max Open Close Price $1.55 $1.45 $1.61 $1.49 $1.59 Max Pain $1.50 $1.50 $1.50 $1.50 $1.50 ATM IV 43.6% 38.3% 48.4% 46.7% 44.9% Expected Move 12.3% 11.0% 13.9% 13.4% 12.9% HV 20d 30.3% 27.4% 33.5% 27.9% 28.3% HV 60d 33.9% 33.4% 34.8% 34.0% 33.7% Term Structure -0.1% -4.8% 2.7% -1.9% -0.2% VWIV 43.5% 37.7% 48.4% 48.4% 45.1% Bid-Ask Spread % 45.48 16.72 98.28 71.36 55.18 Gamma HHI 0.34 0.28 0.46 0.33 0.34 Net GEX 4.8K -3.5K 9.8K 2.5K 9.8K Net DEX 27.8K -97.0K 204.5K 160.8K -42.5K Net VEX -2.5K -2.8K -2.0K -2.2K -2.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.95 0.00 10.00 0.05 10.00 Total Volume 186 0 1,070 0 550 Total OI 13,378.5 10,800 14,250 12,960 11,870
Daily Data (20 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 2009-11-02 $1.49 $1.50 46.7% 13.4% 27.9% 0.0% 0.0% 0.0% -1.9% 2.5K 160.8K -2.2K 0.00 71.36 0 0 9,060 3,900 2009-11-03 $1.45 $1.50 48.4% 13.9% 28.8% 0.0% 48.4% 0.0% -4.2% 1.6K 204.5K -2.0K 0.05 51.99 660 30 9,060 3,900 2009-11-04 $1.48 $1.50 47.3% 13.6% 29.7% 0.0% 0.0% 0.0% -2.5% 3.3K 127.3K -2.3K 0.00 17.74 0 90 9,590 3,900 2009-11-05 $1.53 $1.50 47.2% 13.5% 32.9% 0.0% 0.0% 0.0% -4.8% 5.3K 45.5K -2.6K 2.73 21.40 220 600 9,590 3,990 2009-11-06 $1.53 $1.50 43.7% 11.8% 32.3% 0.0% 0.0% 0.0% 0.9% 3.5K 72.8K -2.7K 0.00 41.84 0 0 9,610 4,590 2009-11-09 $1.57 $1.50 44.7% 11.9% 33.5% 0.0% 0.0% 0.0% 0.6% 5.1K -137 -2.8K 0.00 48.11 0 0 9,610 4,590 2009-11-10 $1.54 $1.50 44.8% 12.1% 33.4% 0.0% 0.0% 0.0% 0.1% 3.4K 38.6K -2.7K 0.00 49.21 0 0 9,610 4,590 2009-11-11 $1.54 $1.50 48.1% 12.1% 32.2% 0.0% 0.0% 0.0% 0.3% 1.9K 84.8K -2.6K 0.00 41.92 50 0 9,610 4,590 2009-11-12 $1.56 $1.50 41.2% 11.8% 32.0% 0.0% 0.0% 0.0% 1.6% 4.0K 12.5K -2.7K 0.00 51.17 0 0 9,660 4,590 2009-11-13 $1.56 $1.50 40.6% 11.6% 28.6% 0.0% 0.0% 0.0% 1.9% 1.5K 23.3K -2.6K 0.00 53.70 0 0 9,660 4,590 2009-11-16 $1.60 $1.50 42.7% 12.2% 30.3% 0.0% 0.0% 0.0% -0.1% 7.5K -89.4K -2.7K 0.00 27.32 0 0 9,660 4,590 2009-11-17 $1.61 $1.50 41.5% 11.9% 29.5% 0.0% 0.0% 0.0% 1.7% 8.6K -97.0K -2.6K 0.00 29.13 0 0 9,660 4,590 2009-11-18 $1.60 $1.50 42.0% 12.0% 29.5% 0.0% 0.0% 0.0% 0.3% 8.2K -88.2K -2.6K 0.67 26.48 60 40 9,660 4,590 2009-11-19 $1.56 $1.50 42.4% 12.2% 30.9% 0.0% 0.0% 0.0% 0.1% 1.7K -3.2K -2.3K 0.00 37.06 0 80 9,660 4,550 2009-11-20 $1.54 $1.50 38.4% 11.0% 30.7% 0.0% 0.0% 0.0% 2.7% -3.5K 20.5K -2.2K 1.00 37.32 100 100 9,580 4,550 2009-11-23 $1.52 $1.50 38.3% 11.0% 30.8% 0.0% 37.7% 0.0% 2.5% 6.8K 56.4K -2.1K 1.14 16.72 500 570 7,590 3,210 2009-11-24 $1.53 $1.50 42.9% 12.3% 29.7% 0.0% 42.9% 0.0% -0.6% 7.3K 51.7K -2.4K 0.00 53.47 50 0 8,090 3,710 2009-11-25 $1.55 $1.50 43.0% 12.3% 27.4% 0.0% 0.0% 0.0% -0.5% 8.7K -1.2K -2.5K 0.00 98.28 0 20 8,140 3,710 2009-11-27 $1.59 $1.50 43.0% 12.3% 28.4% 0.0% 0.0% 0.0% 1.1% 9.5K -21.6K -2.6K 0.00 80.18 0 0 8,140 3,730 2009-11-30 $1.59 $1.50 44.9% 12.9% 28.3% 0.0% 45.1% 0.0% -0.2% 9.8K -42.5K -2.5K 10.00 55.18 50 500 8,140 3,730
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