AVGO Options History — January 2010

In January 2010, AVGO traded between $1.74 and $1.93. ATM implied volatility averaged 31.1%. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 3.2% (HV 20d: 27.9%). Max pain ranged from $1.75 to $2.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 5.74.

Notable Days

  • 2010-01-26: Highest Volume — 4,730 contracts
  • 2010-01-07: Largest IV drop — 20.4% change
  • 2010-01-04: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.83$1.74$1.93$1.89$1.74
Max Pain$1.76$1.75$2.00$1.75$1.75
ATM IV31.1%21.3%35.8%26.4%34.3%
Expected Move9.7%9.1%10.5%10.5%9.8%
HV 20d27.9%26.7%30.0%29.4%28.1%
HV 60d28.7%27.3%29.6%29.6%28.1%
Term Structure1.5%-1.2%3.0%0.6%1.4%
VWIV29.8%22.0%37.2%37.2%32.1%
Bid-Ask Spread %47.1621.2183.5955.6860.44
Gamma HHI0.640.460.810.640.77
Net GEX15.6K1.3K39.0K33.8K19.9K
Net DEX-718.1K-1.7M500.6K-1.5M-23.2K
Net VEX-3.0K-3.3K-2.6K-3.3K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.740.0060.000.510.16
Total Volume902.10504,730650710
Total OI18,603.68413,79023,17020,78018,060

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-01-04$1.89$1.7526.4%10.5%29.4%0.0%37.2%0.0%0.6%33.8K-1.5M-3.3K0.5155.6843022014,0006,780
2010-01-05$1.90$1.7530.6%10.3%27.5%0.0%0.0%0.0%1.6%36.5K-1.6M-3.3K0.0052.801,030014,4307,000
2010-01-06$1.92$1.7527.9%9.9%27.0%0.0%0.0%0.0%0.8%36.4K-1.7M-3.0K2.3326.766014013,9207,000
2010-01-07$1.90$1.7522.2%9.4%26.9%0.0%0.0%0.0%0.9%27.8K-1.6M-2.8K0.0024.81100013,9207,100
2010-01-08$1.92$1.7521.3%9.6%26.9%0.0%0.0%0.0%1.7%33.2K-1.6M-2.8K0.0027.770013,9207,100
2010-01-11$1.93$1.7525.4%9.4%26.7%0.0%33.0%0.0%2.2%39.0K-1.7M-2.6K0.8137.931,3501,10013,9207,100
2010-01-12$1.90$1.7530.6%9.1%27.1%0.0%0.0%0.0%1.7%23.1K-1.5M-3.1K0.0031.131,000014,9708,200
2010-01-13$1.84$1.7535.4%9.6%30.0%0.0%0.0%0.0%1.5%7.4K-942.1K-3.2K0.0032.740013,4708,200
2010-01-14$1.84$1.7533.7%9.7%29.7%0.0%0.0%0.0%2.3%6.6K-956.2K-3.1K0.0034.330013,4708,200
2010-01-15$1.82$1.7533.3%9.5%29.9%0.0%0.0%0.0%2.1%6.9K-874.0K-3.1K0.0036.740013,4708,200
2010-01-19$1.78$1.7533.0%9.5%26.9%0.0%22.0%0.0%1.2%3.2K-98.6K-2.9K60.0056.69106006,9306,860
2010-01-20$1.80$1.7533.3%9.5%26.9%0.0%33.3%0.0%2.2%1.8K-112.0K-2.9K2.4455.55902206,9407,170
2010-01-21$1.80$1.7533.0%9.5%27.0%0.0%33.0%0.0%2.7%1.3K-121.8K-3.0K0.0421.21270107,0307,390
2010-01-22$1.76$1.7532.3%9.3%28.4%0.0%22.1%0.0%3.0%4.3K53.0K-2.9K3.5755.66702507,3007,400
2010-01-25$1.76$1.7534.6%9.9%28.4%0.0%0.0%0.0%0.7%5.1K-45.0K-2.8K0.0083.592007,3707,150
2010-01-26$1.78$1.7535.8%10.3%28.4%0.0%26.0%0.0%-1.2%4.8K-125.3K-2.8K13.7864.893204,4107,3907,150
2010-01-27$1.74$2.0032.3%9.2%26.8%0.0%27.2%0.0%2.8%3.4K500.6K-2.8K2.1679.496701,4507,6609,600
2010-01-28$1.77$1.7535.1%10.1%27.4%0.0%32.6%0.0%1.3%2.8K274.7K-3.0K0.3157.901,9906208,1009,600
2010-01-29$1.74$1.7534.3%9.8%28.1%0.0%32.1%0.0%1.4%19.9K-23.2K-3.2K0.1660.446101009,9608,100