AVGO Options History — May 2010

In May 2010, AVGO traded between $1.92 and $2.13. ATM implied volatility averaged 44.9%, placing in the 80.8% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 0.1% (HV 20d: 44.8%). Max pain ranged from $2.00 to $3.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.59.

Notable Days

  • 2010-05-12: Highest Volume — 4,850 contracts
  • 2010-05-27: Largest IV drop — 30.8% change
  • 2010-05-26: Highest IV Rank — 100.0%
  • 2010-05-26: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.02$1.92$2.13$2.11$2.06
Max Pain$2.42$2.00$3.00$2.00$2.50
ATM IV44.9%35.1%50.7%38.7%39.5%
Expected Move12.8%10.1%14.5%11.1%11.3%
HV 20d44.8%39.1%51.0%39.1%49.3%
HV 60d32.5%26.8%37.1%26.8%37.1%
IV Rank80.8%47.6%100.0%60.0%62.6%
IV Percentile84.2%36.6%100.0%61.8%57.3%
Term Structure-1.4%-5.8%3.6%2.3%2.1%
VWIV44.1%38.0%54.0%38.0%38.2%
Skew 25d5.4%-1.4%9.8%5.0%-1.4%
Skew 10d10.7%-3.0%20.4%10.4%-3.0%
Call IV 25d41.7%34.0%45.9%37.4%39.2%
Put IV 25d47.1%37.7%50.8%42.4%37.7%
Bid-Ask Spread %56.6033.1384.9760.0982.04
Gamma HHI0.390.340.450.430.36
Net GEX-7.0K-35.0K8.5K-9.3K-12.3K
Net DEX3.8M3.1M4.2M3.2M3.3M
Net VEX-6.9K-9.8K-4.7K-9.8K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.009.310.331.25
Total Volume1,131.504,85040360
Total OI42,64935,23045,72043,94036,770

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$2.11$2.0038.7%11.1%39.1%60.0%38.0%5.0%2.3%-9.3K3.2M-9.8K0.3360.09301016,14027,800
2010-05-04$2.00$2.0045.1%12.9%42.8%81.3%54.0%7.1%-1.9%8.5K3.8M-7.2K0.8339.2446038016,11027,810
2010-05-05$1.96$2.0043.5%12.5%43.4%76.2%41.1%4.8%-0.7%2.8K3.9M-7.1K0.0083.4801,34016,33028,190
2010-05-06$1.92$2.0045.8%13.1%43.5%83.9%0.0%7.9%-0.5%-2.0K4.1M-6.8K2.0084.9713026016,00029,200
2010-05-07$1.93$3.0046.2%12.8%43.6%85.3%47.3%6.5%-1.9%-1.7K4.1M-6.9K1.0069.5420020015,97029,300
2010-05-10$2.07$2.5045.2%13.0%51.0%82.0%45.4%3.9%-2.1%-11.4K3.6M-8.6K0.0071.23370016,17029,500
2010-05-11$2.07$2.5046.7%13.1%51.0%86.8%40.3%9.8%-2.3%-8.3K3.7M-8.3K0.0072.25100016,16029,500
2010-05-12$2.07$2.5045.4%13.1%44.6%82.5%41.6%5.7%-1.8%-7.1K3.7M-8.2K0.0054.284,850016,22029,500
2010-05-13$2.05$2.5045.6%13.1%44.1%83.1%45.4%5.7%-2.6%-21.2K3.8M-7.9K0.0045.65400013,82029,500
2010-05-14$2.02$2.5044.1%12.6%44.2%78.0%0.0%7.1%-1.4%-9.0K4.0M-6.7K0.0053.6970014,07029,500
2010-05-17$2.05$2.5044.1%12.6%44.6%78.2%44.2%6.7%-1.2%-12.4K3.9M-6.8K0.0056.71490014,07029,500
2010-05-18$2.01$2.5044.9%12.9%44.1%80.7%0.0%3.2%-1.9%-3.7K4.1M-6.3K0.0053.310014,22029,500
2010-05-19$2.00$2.5046.2%13.3%43.6%85.3%44.6%3.0%-2.1%-5.5K4.0M-6.4K0.4835.8821010014,22029,500
2010-05-20$2.01$2.5049.0%14.0%43.5%94.5%0.0%4.7%-1.7%-8.9K3.9M-6.5K0.0043.120014,33029,500
2010-05-21$1.98$2.5048.4%13.9%43.7%92.5%0.0%4.0%-3.0%8.0K4.1M-6.0K0.0041.1680014,33029,500
2010-05-24$1.94$2.5047.2%13.5%43.5%88.4%47.7%5.1%-3.8%-3.0K4.1M-5.1K5.5039.474022010,31027,960
2010-05-25$1.92$2.5047.0%13.5%42.0%87.9%43.2%5.4%-2.0%-7544.2M-4.7K9.3133.134504,19010,31027,990
2010-05-26$2.00$2.5050.7%14.5%44.9%100.0%50.8%6.7%-5.8%-7.7K3.3M-5.7K4.8541.127303,54010,76024,470
2010-05-27$2.13$2.5035.1%10.1%50.2%47.6%40.4%6.6%3.6%-35.0K3.1M-6.7K1.5371.741,3502,07011,44027,510
2010-05-28$2.06$2.5039.5%11.3%49.3%62.6%38.2%-1.4%2.1%-12.3K3.3M-5.7K1.2582.0416020010,87025,900