AVGO Options History — June 2010

In June 2010, AVGO traded between $2.04 and $2.33. ATM implied volatility averaged 44.0%, placing in the 76.5% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 0.2% (HV 20d: 43.9%). Max pain ranged from $2.25 to $2.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 4.37.

Notable Days

  • 2010-06-03: Highest Volume — 36,710 contracts
  • 2010-06-29: Largest IV spike — 20.8% change
  • 2010-06-29: Highest IV Rank — 100.0%
  • 2010-06-29: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.17$2.04$2.33$2.04$2.11
Max Pain$2.38$2.25$2.50$2.50$2.50
ATM IV44.0%38.2%55.0%38.2%52.0%
Expected Move12.8%10.9%15.8%10.9%14.9%
HV 20d43.9%40.5%48.4%48.2%41.5%
HV 60d40.0%37.1%43.0%37.1%42.8%
IV Rank76.5%58.1%100.0%58.1%91.1%
IV Percentile74.5%53.9%100.0%53.9%99.5%
Term Structure-1.4%-5.0%2.9%1.8%-2.8%
VWIV43.4%21.2%52.3%21.2%49.2%
Skew 25d5.1%-0.6%12.0%2.3%3.6%
Skew 10d6.8%-3.1%28.9%13.1%5.9%
Call IV 25d42.2%36.0%49.6%41.3%44.8%
Put IV 25d47.3%42.8%59.0%43.5%48.4%
Bid-Ask Spread %65.1333.0289.4252.6689.42
Gamma HHI0.670.320.950.320.75
Net GEX-149.0K-228.4K-4.7K-4.7K-153.8K
Net DEX5.0M2.8M8.2M3.4M5.2M
Net VEX-11.4K-14.5K-5.2K-5.2K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.370.0063.400.000.73
Total Volume4,098.1821036,71010190
Total OI59,617.72737,02072,49037,02061,680

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$2.04$2.5038.2%10.9%48.2%58.1%0.0%2.3%1.8%-4.7K3.4M-5.2K0.0052.6610010,96026,060
2010-06-02$2.11$2.5040.7%11.7%46.0%66.6%21.2%6.4%2.9%-9.2K3.3M-5.3K0.0061.8105010,97026,060
2010-06-03$2.17$2.5039.5%11.3%45.7%62.6%44.2%6.7%0.7%-32.4K3.0M-6.0K63.4040.7857036,14010,97026,060
2010-06-04$2.08$2.2540.3%13.4%47.6%65.2%0.0%7.1%-1.8%-184.1K8.2M-14.5K0.1871.271102011,20061,290
2010-06-07$2.08$2.2545.7%13.8%47.7%83.4%0.0%7.3%-3.2%-120.9K6.4M-11.0K0.5061.3222011011,20048,920
2010-06-08$2.11$2.2548.2%14.1%40.5%91.6%49.3%6.4%-4.9%-125.5K6.3M-10.9K0.0062.38110011,25048,450
2010-06-09$2.11$2.2544.9%14.1%40.5%80.6%46.7%5.4%-4.8%-123.0K6.1M-11.0K9.4666.905405,11011,20048,450
2010-06-10$2.18$2.2544.1%12.6%42.2%77.9%45.6%8.3%-1.9%-182.2K6.2M-12.8K1.0671.8189094011,36053,450
2010-06-11$2.19$2.2542.9%12.3%41.8%73.8%0.0%10.0%-1.3%-165.9K6.3M-12.6K0.0065.70220011,39054,180
2010-06-14$2.15$2.2542.4%12.1%42.3%72.0%41.6%4.3%-2.9%-162.5K6.6M-11.6K7.6942.256505,00011,40053,780
2010-06-15$2.23$2.2541.4%11.9%43.5%69.1%42.4%7.3%-1.5%-180.1K5.7M-12.2K0.1635.021,34022012,03053,390
2010-06-16$2.29$2.2541.4%11.9%43.2%68.7%36.8%0.9%-2.1%-183.3K5.0M-12.0K0.0654.162,35013012,33053,610
2010-06-17$2.33$2.2543.6%12.5%43.3%76.2%39.5%2.0%-4.9%-169.5K4.3M-12.0K0.0133.022,3502013,23053,620
2010-06-18$2.30$2.2542.1%12.1%43.9%71.3%39.5%0.9%-0.2%-169.4K4.4M-12.5K5.7368.573,89022,29014,66053,620
2010-06-21$2.30$2.5042.8%12.3%43.3%73.5%40.8%1.8%0.0%-228.4K2.8M-14.5K0.1979.8681015015,15043,930
2010-06-22$2.23$2.5042.6%12.2%44.4%73.0%42.6%-0.6%0.7%-212.2K3.6M-13.9K0.6979.8842029015,86044,030
2010-06-23$2.25$2.5043.4%12.4%44.1%75.5%46.5%3.4%-0.4%-214.9K3.2M-14.2K0.7777.4447036016,27044,070
2010-06-24$2.12$2.5049.1%14.1%48.4%94.7%49.3%2.6%0.2%-152.7K5.0M-12.4K0.6272.421,36084016,37044,200
2010-06-25$2.15$2.5043.0%12.3%42.9%74.2%44.5%9.8%1.9%-174.1K4.6M-12.7K0.1685.7291015016,91044,510
2010-06-28$2.17$2.5045.6%13.1%41.3%82.8%49.4%5.0%-0.7%-184.7K4.4M-12.5K0.0079.55350017,36044,520
2010-06-29$2.10$2.5055.0%15.8%43.2%100.0%52.3%12.0%-5.0%-143.4K5.2M-11.2K0.3580.8943015017,12044,520
2010-06-30$2.11$2.5052.0%14.9%41.5%91.1%49.2%3.6%-2.8%-153.8K5.2M-10.8K0.7389.421108017,14044,540