AVGO Options History — April 2010

In April 2010, AVGO traded between $2.00 and $2.24. ATM implied volatility averaged 30.6%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 2.6% (HV 20d: 28.0%). Max pain ranged from $1.50 to $2.25. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.51.

Notable Days

  • 2010-04-20: Highest Volume — 18,820 contracts
  • 2010-04-13: Largest IV spike — 22.9% change
  • 2010-04-27: Highest IV Rank — 70.1%
  • 2010-04-27: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.11$2.00$2.24$2.05$2.05
Max Pain$2.05$1.50$2.25$1.50$2.00
ATM IV30.6%20.8%41.7%23.5%41.2%
Expected Move9.1%6.7%12.0%6.7%11.8%
HV 20d28.0%19.6%38.0%19.6%38.0%
HV 60d23.2%20.5%26.7%20.9%26.7%
IV Rank32.6%0.0%70.1%7.4%68.5%
IV Percentile29.1%0.0%72.2%1.3%69.2%
Term Structure1.3%-2.2%3.7%3.7%-0.5%
VWIV32.4%23.5%41.7%23.5%40.5%
Skew 25d4.7%1.6%36.6%2.8%2.9%
Skew 10d10.3%-7.2%56.8%7.6%1.7%
Call IV 25d31.1%22.1%38.5%22.1%38.5%
Put IV 25d35.7%24.9%65.0%24.9%41.3%
Bid-Ask Spread %58.2327.4675.3027.4667.04
Gamma HHI0.620.410.830.700.41
Net GEX54.2K-46.8K196.0K109.1K-4.3K
Net DEX-505.0K-3.3M3.4M-3.0M3.4M
Net VEX-6.9K-11.6K-4.0K-5.7K-9.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.0015.800.006.67
Total Volume2,625.2388018,820390230
Total OI29,960.95210,19043,72026,78043,720

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$2.05$1.5023.5%6.7%19.6%7.4%23.5%2.8%3.7%109.1K-3.0M-5.7K0.0027.46390022,1704,610
2010-04-05$2.03$2.0026.0%8.2%19.7%16.2%0.0%2.7%2.7%118.3K-2.9M-5.6K0.0960.874704022,4704,610
2010-04-06$2.07$2.0026.8%8.1%20.7%18.8%0.0%1.6%2.8%111.1K-3.3M-5.4K1.6058.11508022,6504,610
2010-04-07$2.05$2.0024.1%8.1%21.2%9.7%0.0%4.0%3.5%124.0K-3.0M-5.4K0.0062.5380022,2404,690
2010-04-08$2.01$2.0025.2%8.0%21.5%13.4%28.0%2.5%2.7%139.0K-2.7M-5.3K0.4071.421004022,2404,690
2010-04-09$2.00$2.0020.8%8.0%21.5%0.0%0.0%36.6%2.5%179.5K-2.5M-5.2K0.0072.38110022,2804,720
2010-04-12$2.00$2.0022.7%8.0%21.1%6.1%27.9%3.3%2.6%196.0K-2.5M-5.0K0.5669.891,03058022,2804,720
2010-04-13$2.02$2.0027.8%8.2%20.6%23.5%0.0%2.2%1.9%184.1K-2.7M-4.8K0.0670.9611,14066022,0004,140
2010-04-14$2.15$2.0028.1%7.7%31.1%24.3%28.1%2.9%1.5%37.0K-3.3M-4.0K0.1030.732,14022019,2904,580
2010-04-15$2.20$2.0027.2%7.8%31.0%21.4%27.4%2.1%1.6%39.5K-3.1M-4.1K0.1340.332303017,9204,800
2010-04-16$2.19$2.0027.8%8.0%31.1%23.2%28.0%1.8%1.0%37.7K-3.1M-4.2K2.2042.5710022018,0004,830
2010-04-19$2.19$2.0028.5%8.2%31.2%25.8%0.0%1.8%-0.1%28.2K-1.0M-4.2K0.0029.2051008,2602,000
2010-04-20$2.24$2.0029.6%8.5%31.3%29.5%27.3%2.0%2.4%26.5K-1.1M-4.0K15.8039.641,12017,7008,1902,000
2010-04-21$2.18$2.0034.9%10.0%32.9%47.3%34.8%4.0%0.3%-46.8K2.0M-8.4K1.3762.565,9508,1808,80019,540
2010-04-22$2.15$2.2536.1%10.3%31.1%51.2%0.0%4.1%-0.1%-28.2K2.9M-10.9K0.3475.3087030014,21026,970
2010-04-23$2.15$2.2535.7%10.2%31.2%49.9%35.8%5.8%0.4%-27.9K2.9M-11.3K1.2973.84709014,76027,220
2010-04-26$2.18$2.2537.1%10.6%31.2%54.6%36.9%2.9%0.7%-33.7K2.7M-11.6K0.5873.5519011014,75027,250
2010-04-27$2.10$2.2541.7%12.0%34.2%70.1%41.7%3.7%-2.2%-17.4K3.2M-10.0K0.2063.133006014,76027,320
2010-04-28$2.10$2.2541.7%11.9%34.1%69.9%41.7%4.5%-1.5%-13.5K3.3M-9.8K0.0758.193002015,06027,380
2010-04-29$2.14$2.2536.8%10.5%34.6%53.5%40.5%4.5%1.7%-20.9K3.1M-10.4K0.1873.121,20022015,06027,390
2010-04-30$2.05$2.0041.2%11.8%38.0%68.5%0.0%2.9%-0.5%-4.3K3.4M-9.3K6.6767.043020016,11027,610