AVGO Options History — December 2009

Name: AVGO Options Analytics - December 2009
Creator: Options Analysis Suite

In December 2009, AVGO traded between $1.56 and $1.83. ATM implied volatility averaged 38.1%. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 10.3% (HV 20d: 27.8%). Max pain ranged from $1.50 to $1.75. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.98.

Notable Days

2009-12-30: Highest Volume — 6,600 contracts
2009-12-04: Largest IV drop — 20.9% change
2009-12-03: Largest Expected Move — 14.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.68	$1.56	$1.83	$1.60	$1.83
Max Pain	$1.51	$1.50	$1.75	$1.50	$1.50
ATM IV	38.1%	32.6%	50.6%	45.3%	33.2%
Expected Move	10.9%	9.4%	14.5%	13.0%	9.5%
HV 20d	27.8%	26.0%	30.7%	28.0%	28.6%
HV 60d	31.7%	28.7%	34.8%	33.5%	29.4%
Term Structure	1.8%	-4.2%	5.0%	-2.3%	3.5%
VWIV	38.6%	32.8%	49.5%	45.2%	33.3%
Bid-Ask Spread %	42.68	17.78	69.49	42.14	32.42
Gamma HHI	0.37	0.33	0.48	0.38	0.48
Net GEX	19.1K	6.7K	28.6K	7.8K	23.5K
Net DEX	-513.6K	-1.2M	-2.1K	-50.4K	-1.2M
Net VEX	-2.8K	-3.6K	-2.1K	-2.6K	-3.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.98	0.00	46.00	0.06	0.00
Total Volume	735.909	0	6,600	340	50
Total OI	16,146.818	12,420	20,780	12,420	20,780

Daily Data (22 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
2009-12-01	$1.60	$1.50	45.3%	13.0%	28.0%	0.0%	45.2%	0.0%	-2.3%	7.8K	-50.4K	-2.6K	0.06	42.14	320	20	8,190	4,230
2009-12-02	$1.56	$1.50	45.6%	13.1%	27.5%	0.0%	44.1%	0.0%	-1.1%	7.3K	-2.1K	-2.5K	46.00	51.86	30	1,380	8,510	4,230
2009-12-03	$1.59	$1.75	50.6%	14.5%	27.5%	0.0%	49.5%	0.0%	-4.2%	6.7K	-23.9K	-2.7K	0.58	37.76	2,700	1,560	8,530	4,940
2009-12-04	$1.65	$1.50	40.0%	11.4%	27.6%	0.0%	39.4%	0.0%	0.9%	15.2K	-457.6K	-3.3K	0.00	69.49	670	0	11,170	6,080
2009-12-07	$1.69	$1.50	41.5%	11.0%	28.2%	0.0%	41.1%	0.0%	2.6%	16.9K	-542.9K	-3.2K	0.22	34.26	460	100	11,010	6,080
2009-12-08	$1.68	$1.50	40.8%	11.4%	27.6%	0.0%	39.3%	0.0%	1.0%	19.3K	-526.2K	-3.2K	0.00	48.71	320	0	11,410	6,080
2009-12-09	$1.68	$1.50	36.8%	11.2%	26.8%	0.0%	0.0%	0.0%	1.0%	19.8K	-555.5K	-3.0K	0.00	49.14	0	90	11,410	6,080
2009-12-10	$1.68	$1.50	36.8%	10.5%	26.7%	0.0%	0.0%	0.0%	3.6%	22.0K	-547.5K	-3.0K	0.00	56.61	650	0	11,410	6,080
2009-12-11	$1.66	$1.50	36.3%	10.4%	26.9%	0.0%	36.3%	0.0%	3.4%	22.9K	-502.9K	-3.0K	0.00	54.82	120	0	11,770	6,080
2009-12-14	$1.69	$1.50	36.3%	10.4%	27.2%	0.0%	0.0%	0.0%	3.0%	26.0K	-574.1K	-2.9K	0.00	44.80	20	0	11,650	6,080
2009-12-15	$1.67	$1.50	37.1%	10.6%	26.0%	0.0%	0.0%	0.0%	2.8%	25.1K	-546.8K	-2.8K	0.00	54.49	0	0	11,670	6,080
2009-12-16	$1.70	$1.50	37.8%	10.8%	26.4%	0.0%	0.0%	0.0%	2.5%	28.6K	-615.8K	-2.8K	0.00	51.87	0	0	11,670	6,080
2009-12-17	$1.63	$1.50	36.1%	10.4%	30.7%	0.0%	35.4%	0.0%	5.0%	18.9K	-397.7K	-2.6K	0.00	35.24	10	0	11,670	6,080
2009-12-18	$1.64	$1.50	37.7%	10.8%	28.6%	0.0%	0.0%	0.0%	2.4%	19.9K	-423.5K	-2.6K	0.00	36.28	10	0	11,670	6,080
2009-12-21	$1.65	$1.50	36.6%	10.5%	28.4%	0.0%	0.0%	0.0%	1.0%	20.3K	-459.3K	-2.5K	0.00	43.65	0	0	10,860	3,730
2009-12-22	$1.67	$1.50	35.7%	10.2%	27.6%	0.0%	0.0%	0.0%	2.2%	20.5K	-509.9K	-2.5K	0.00	38.84	0	0	10,860	3,730
2009-12-23	$1.68	$1.50	35.2%	10.1%	27.6%	0.0%	0.0%	0.0%	2.0%	21.1K	-515.1K	-2.5K	0.00	35.65	0	0	10,860	3,730
2009-12-24	$1.68	$1.50	32.6%	9.4%	27.4%	0.0%	32.8%	0.0%	3.4%	19.6K	-526.5K	-2.4K	0.00	54.09	170	0	10,860	3,730
2009-12-28	$1.74	$1.50	36.9%	10.6%	28.8%	0.0%	36.7%	0.0%	0.5%	20.3K	-718.7K	-2.3K	0.07	22.02	760	50	10,860	3,730
2009-12-29	$1.75	$1.50	34.5%	9.9%	28.8%	0.0%	34.5%	0.0%	2.6%	19.6K	-782.4K	-2.3K	0.00	27.00	100	0	10,910	3,780
2009-12-30	$1.77	$1.50	34.3%	9.8%	28.8%	0.0%	34.3%	0.0%	2.9%	19.2K	-836.5K	-2.1K	0.83	17.78	3,600	3,000	11,010	3,780
2009-12-31	$1.83	$1.50	33.2%	9.5%	28.6%	0.0%	33.3%	0.0%	3.5%	23.5K	-1.2M	-3.6K	0.00	32.42	50	0	14,000	6,780