AVGO Options History — March 2010

In March 2010, AVGO traded between $1.83 and $2.06. ATM implied volatility averaged 26.7%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 8.9% (HV 20d: 17.8%). Max pain ranged from $1.50 to $1.75. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.14.

Notable Days

  • 2010-03-10: Highest Volume — 6,160 contracts
  • 2010-03-05: Largest IV drop — 14.7% change
  • 2010-03-03: Highest IV Rank — 30.7%
  • 2010-03-03: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.96$1.83$2.06$1.83$2.06
Max Pain$1.54$1.50$1.75$1.75$1.50
ATM IV26.7%24.1%30.3%29.2%24.1%
Expected Move7.7%6.9%8.7%8.4%6.9%
HV 20d17.8%14.6%20.7%18.1%19.5%
HV 60d23.3%20.9%25.3%25.3%20.9%
IV Rank18.5%9.5%30.7%26.9%9.5%
IV Percentile4.8%1.3%11.3%6.2%1.3%
Term Structure2.8%-1.5%7.4%3.7%3.6%
VWIV25.2%18.9%28.5%25.4%24.1%
Skew 25d4.2%-6.7%20.4%0.5%3.7%
Skew 10d7.6%-10.7%38.9%0.6%8.5%
Call IV 25d25.8%21.4%30.4%30.4%21.4%
Put IV 25d30.0%22.9%43.7%30.9%25.1%
Bid-Ask Spread %33.5614.7255.6141.4126.91
Gamma HHI0.780.480.920.810.90
Net GEX65.7K15.4K110.1K33.0K93.9K
Net DEX-2.5M-3.4M-1.6M-1.6M-2.8M
Net VEX-2.8K-3.6K-1.2K-2.4K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.0022.000.000.13
Total Volume1,08006,1606805,380
Total OI23,083.91318,66029,13018,66022,100

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$1.83$1.7529.2%8.4%18.1%26.9%25.4%0.0%3.7%33.0K-1.6M-2.4K0.0041.41680012,4706,190
2010-03-02$1.87$1.7528.9%8.3%19.5%26.0%0.0%0.0%7.4%27.7K-1.8M-2.0K0.0042.8030012,7106,190
2010-03-03$1.89$1.7530.3%8.7%19.4%30.7%24.7%0.0%-1.5%24.1K-1.9M-1.8K0.1235.7182010012,7006,190
2010-03-04$1.91$1.7530.2%8.7%19.2%30.5%0.0%0.0%-1.0%24.1K-2.1M-1.6K0.5055.611206013,0706,190
2010-03-05$1.94$1.5025.8%8.2%16.8%15.3%28.4%0.0%1.1%17.0K-2.3M-1.3K0.1032.324805013,1906,250
2010-03-08$1.93$1.5026.8%8.0%16.9%18.8%28.5%0.0%2.3%17.1K-2.2M-1.2K0.0034.57120013,0206,300
2010-03-09$1.94$1.5026.3%8.1%15.7%17.1%28.3%0.0%2.5%15.4K-2.2M-1.2K0.0036.893,610013,0506,300
2010-03-10$1.97$1.5026.5%8.1%16.2%17.8%28.0%0.5%3.5%32.5K-2.6M-2.2K0.1140.685,56060016,1206,300
2010-03-11$1.99$1.5028.1%8.0%14.6%23.1%0.0%1.2%3.2%73.6K-3.2M-3.6K0.0042.0090021,5206,900
2010-03-12$1.97$1.5027.6%7.9%15.4%21.5%22.0%6.5%4.0%75.0K-3.0M-3.6K0.0052.06840021,6106,900
2010-03-15$1.94$1.5027.7%7.9%16.6%22.0%0.0%6.1%3.2%73.8K-2.9M-3.4K0.0034.2020022,0906,900
2010-03-16$1.95$1.5028.0%8.0%16.6%22.8%0.0%5.9%3.9%76.3K-2.9M-3.4K0.0033.77180022,1106,900
2010-03-17$1.99$1.5026.3%7.5%16.9%17.1%25.5%-6.1%3.4%90.0K-3.2M-3.4K0.0049.47370022,1106,900
2010-03-18$2.00$1.5026.2%7.5%16.9%16.8%22.5%-6.7%3.2%96.0K-3.2M-3.3K1.4328.737010022,0806,900
2010-03-19$2.01$1.5025.8%7.4%16.8%15.4%18.9%-4.9%3.4%110.1K-3.4M-3.3K0.1825.282,25041022,1307,000
2010-03-22$1.99$1.5024.6%7.1%16.6%11.4%25.4%0.6%2.2%88.1K-2.2M-3.4K22.0014.721022017,0903,860
2010-03-23$2.02$1.5025.9%7.4%16.7%15.8%0.0%18.0%2.0%81.9K-2.4M-3.3K0.0044.05430017,1004,080
2010-03-24$1.96$1.5024.6%7.0%20.7%11.2%24.6%3.4%3.2%89.2K-1.9M-3.4K0.3718.2135013017,2704,080
2010-03-25$1.97$1.5025.1%7.2%20.0%12.8%0.0%-1.6%2.7%91.3K-2.0M-3.3K0.0022.50220017,4704,150
2010-03-26$1.99$1.5024.2%6.9%20.2%10.0%0.0%1.2%3.9%94.6K-2.2M-3.4K0.0020.310017,5504,150
2010-03-29$2.02$1.5025.5%7.3%20.5%14.4%0.0%20.4%2.4%93.3K-2.4M-3.2K0.0020.091,340017,5504,150
2010-03-30$2.04$1.5026.7%7.6%19.5%18.4%26.6%18.7%1.9%92.1K-2.6M-3.2K0.1119.531802017,8904,150
2010-03-31$2.06$1.5024.1%6.9%19.5%9.5%24.1%3.7%3.6%93.9K-2.8M-3.1K0.1326.914,78060017,9404,160