AVGO Options History — February 2010

In February 2010, AVGO traded between $1.68 and $1.81. ATM implied volatility averaged 34.1%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 12.5% (HV 20d: 21.7%). Max pain ranged from $1.50 to $1.75. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.08.

Notable Days

2010-02-19: Highest Volume — 15,520 contracts
2010-02-25: Largest IV drop — 16.8% change
2010-02-24: Highest IV Rank — 51.7%
2010-02-23: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.74	$1.68	$1.81	$1.75	$1.81
Max Pain	$1.67	$1.50	$1.75	$1.75	$1.75
ATM IV	34.1%	28.8%	37.6%	34.4%	28.8%
Expected Move	9.9%	8.3%	10.8%	9.9%	8.3%
HV 20d	21.7%	19.4%	25.2%	25.2%	19.6%
HV 60d	26.2%	25.3%	27.5%	27.5%	25.3%
IV Rank	36.0%	25.6%	51.7%	51.7%	25.6%
IV Percentile	15.0%	4.7%	34.1%	34.1%	4.7%
Term Structure	0.0%	-2.4%	3.3%	1.0%	2.7%
VWIV	34.5%	26.9%	41.0%	31.7%	31.6%
Bid-Ask Spread %	50.71	20.90	86.77	86.77	38.17
Gamma HHI	0.72	0.61	0.90	0.74	0.77
Net GEX	46.9K	23.5K	149.3K	23.5K	35.2K
Net DEX	-485.6K	-1.4M	162.0K	-155.7K	-1.4M
Net VEX	-2.9K	-3.3K	-2.1K	-3.1K	-2.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.08	0.00	10.00	0.00	10.00
Total Volume	1,178.947	0	15,520	1,360	550
Total OI	20,139.474	18,190	21,530	18,510	18,660

Daily Data (19 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
2010-02-01	$1.75	$1.75	34.4%	9.9%	25.2%	0.0%	0.0%	0.0%	1.0%	23.5K	-155.7K	-3.1K	0.00	86.77	1,360	0	10,510	8,000
2010-02-02	$1.77	$1.75	31.7%	9.1%	22.7%	0.0%	31.7%	0.0%	2.3%	29.2K	-482.7K	-3.3K	0.00	20.90	600	0	11,870	8,000
2010-02-03	$1.76	$1.75	31.3%	9.0%	22.3%	0.0%	26.9%	0.0%	2.7%	36.8K	-496.3K	-3.3K	3.33	21.43	30	100	12,470	8,000
2010-02-04	$1.72	$1.75	31.9%	9.1%	22.9%	0.0%	31.9%	0.0%	1.6%	37.3K	-268.8K	-3.2K	0.00	28.61	220	0	12,500	7,900
2010-02-05	$1.72	$1.75	30.9%	9.5%	22.9%	0.0%	0.0%	0.0%	1.0%	40.1K	-186.8K	-3.1K	0.56	62.73	90	50	12,640	7,890
2010-02-08	$1.70	$1.75	31.8%	9.7%	22.5%	0.0%	34.0%	0.0%	1.2%	40.0K	-56.7K	-3.0K	1.00	59.56	10	10	12,640	7,940
2010-02-09	$1.70	$1.75	33.5%	9.9%	22.1%	0.0%	0.0%	0.0%	-0.1%	38.3K	-85.3K	-2.9K	0.00	61.08	0	500	12,450	7,950
2010-02-10	$1.68	$1.75	32.9%	10.5%	22.0%	0.0%	41.0%	0.0%	-1.6%	31.2K	162.0K	-2.7K	0.00	31.99	360	0	12,450	8,450
2010-02-11	$1.71	$1.50	36.9%	10.6%	21.7%	0.0%	32.2%	0.0%	-2.1%	38.4K	-113.0K	-2.8K	0.67	37.03	300	200	12,810	8,450
2010-02-12	$1.74	$1.50	35.4%	10.1%	22.5%	0.0%	0.0%	0.0%	-1.2%	52.3K	-306.7K	-2.8K	0.00	59.19	0	0	13,110	8,250
2010-02-16	$1.75	$1.50	36.9%	10.6%	22.6%	0.0%	36.9%	0.0%	-2.4%	59.0K	-447.5K	-2.5K	0.00	69.74	120	0	13,110	8,250
2010-02-17	$1.74	$1.50	36.9%	10.6%	21.1%	0.0%	0.0%	0.0%	-1.5%	69.9K	-319.9K	-2.4K	0.00	69.25	180	0	13,230	8,250
2010-02-18	$1.75	$1.50	36.8%	10.6%	20.8%	0.0%	0.0%	0.0%	-1.6%	81.6K	-409.9K	-2.3K	0.00	69.74	140	0	13,270	8,250
2010-02-19	$1.75	$1.50	37.4%	10.7%	20.9%	0.0%	37.4%	0.0%	-1.2%	149.3K	-622.0K	-2.1K	0.63	56.12	9,520	6,000	13,280	8,250
2010-02-22	$1.74	$1.75	36.7%	10.5%	19.5%	0.0%	36.7%	0.0%	-1.3%	32.6K	-793.3K	-3.3K	0.35	43.49	570	200	12,230	5,960
2010-02-23	$1.74	$1.75	37.6%	10.8%	19.4%	0.0%	37.6%	0.0%	-1.8%	30.7K	-828.8K	-3.3K	0.02	49.34	480	10	12,310	6,160
2010-02-24	$1.77	$1.75	36.4%	10.4%	20.7%	51.7%	36.4%	0.0%	-0.1%	32.4K	-1.0M	-3.2K	0.00	60.31	350	0	12,390	6,160
2010-02-25	$1.81	$1.75	30.3%	8.7%	20.4%	30.8%	31.6%	0.0%	3.3%	33.5K	-1.4M	-2.8K	1.81	38.00	160	290	12,450	6,160
2010-02-26	$1.81	$1.75	28.8%	8.3%	19.6%	25.6%	0.0%	0.0%	2.7%	35.2K	-1.4M	-2.7K	10.00	38.17	50	500	12,470	6,190