AVGO Options History — July 2010

In July 2010, AVGO traded between $2.09 and $2.29. ATM implied volatility averaged 39.8%, placing in the 55.5% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 0.9% (HV 20d: 39.0%). Max pain ranged from $2.25 to $2.50. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.96.

Notable Days

  • 2010-07-01: Highest Volume — 6,600 contracts
  • 2010-07-12: Largest IV spike — 41.8% change
  • 2010-07-08: Highest IV Rank — 88.3%
  • 2010-07-06: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.21$2.09$2.29$2.14$2.18
Max Pain$2.27$2.25$2.50$2.50$2.25
ATM IV39.8%34.1%51.0%46.6%34.1%
Expected Move11.5%9.8%14.1%13.4%9.8%
HV 20d39.0%35.2%42.6%40.8%35.2%
HV 60d42.4%40.3%43.9%42.9%40.3%
IV Rank55.5%38.7%88.3%75.3%38.7%
IV Percentile54.0%27.2%99.1%89.3%27.2%
Term Structure0.1%-3.6%3.6%-1.1%1.9%
VWIV41.0%35.1%51.0%37.4%51.0%
Skew 25d6.8%2.2%11.8%11.2%10.3%
Skew 10d10.3%-2.0%18.2%14.0%11.3%
Call IV 25d37.8%31.7%45.8%41.8%32.0%
Put IV 25d44.6%37.4%53.1%53.0%42.3%
Bid-Ask Spread %67.0652.3284.5880.6352.76
Gamma HHI0.770.570.970.740.62
Net GEX-152.0K-580.8K35.8K-173.9K32.1K
Net DEX1.2M-950.1K4.9M4.9M-541.9K
Net VEX-6.7K-11.2K-4.9K-11.2K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.960.0021.0021.000.50
Total Volume1,019.04806,6006,600150
Total OI35,144.76213,20061,67061,62014,130

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$2.14$2.5046.6%13.4%40.8%75.3%37.4%11.2%-1.1%-173.9K4.9M-11.2K21.0080.633006,30017,09044,530
2010-07-02$2.16$2.5045.8%13.1%38.1%72.8%47.4%10.9%-2.2%-189.6K4.8M-11.0K0.0084.58230017,07044,600
2010-07-06$2.09$2.2545.5%14.1%40.1%72.0%47.2%4.3%-3.6%-144.7K4.8M-8.1K10.9560.274404,82016,74039,020
2010-07-07$2.17$2.2540.4%12.3%41.9%57.1%42.9%7.3%0.0%-219.3K4.4M-8.7K0.0064.10370016,58040,430
2010-07-08$2.18$2.2551.0%12.4%41.9%88.3%43.8%6.3%-1.9%-197.0K2.5M-9.3K0.0069.47350016,89034,770
2010-07-09$2.20$2.2535.2%12.5%40.3%41.9%0.0%4.0%-1.3%-305.6K2.9M-8.1K0.0063.760017,15034,770
2010-07-12$2.21$2.2549.9%12.3%40.3%84.9%43.0%7.9%-1.3%-282.1K2.4M-7.9K0.0055.78170017,15034,770
2010-07-13$2.25$2.2541.2%12.2%40.0%59.5%42.9%7.2%-2.0%-461.3K1.6M-7.6K0.1252.321,65020017,32034,410
2010-07-14$2.23$2.2540.2%12.3%38.3%56.6%42.9%6.0%-2.0%-494.0K1.4M-7.4K0.0068.44720018,52034,330
2010-07-15$2.29$2.2540.0%11.5%38.3%56.1%40.0%11.8%0.2%-580.8K-546.9K-6.5K0.3774.031,07040017,89034,330
2010-07-16$2.20$2.2537.6%10.8%40.1%49.0%0.0%2.3%3.5%-463.1K3.7M-5.7K1.7670.678501,50018,01034,730
2010-07-19$2.23$2.2537.3%10.7%40.3%48.1%37.7%6.5%1.8%27.5K-689.2K-5.1K0.2378.124401009,1604,040
2010-07-20$2.20$2.2536.4%10.4%40.5%45.5%37.5%5.8%1.8%28.6K-630.1K-5.1K0.0078.2519009,3104,040
2010-07-21$2.18$2.2537.5%10.7%39.0%48.6%0.0%2.2%-0.0%29.1K-645.2K-5.0K0.0079.4910009,3804,040
2010-07-22$2.29$2.2538.2%11.0%42.6%50.9%38.4%9.5%0.1%32.2K-877.2K-5.1K0.0058.5915009,4804,040
2010-07-23$2.29$2.2535.8%10.3%36.2%43.7%35.7%6.2%1.8%33.6K-950.1K-5.2K0.0062.558009,6304,040
2010-07-26$2.28$2.2534.9%10.0%36.2%41.2%35.1%6.1%3.6%34.7K-904.3K-5.0K0.0073.5323009,6504,040
2010-07-27$2.24$2.2536.2%10.4%36.7%44.9%36.2%3.3%1.5%35.8K-863.6K-5.0K1.0573.541902009,8104,040
2010-07-28$2.18$2.2537.6%10.8%35.6%48.9%37.8%5.1%-0.5%34.0K-672.6K-4.9K2.2054.15501109,8804,120
2010-07-29$2.18$2.2535.4%10.1%35.6%42.5%0.0%8.1%2.0%32.2K-575.9K-4.9K1.0053.1620209,8804,230
2010-07-30$2.18$2.2534.1%9.8%35.2%38.7%51.0%10.3%1.9%32.1K-541.9K-4.9K0.5052.76100509,8804,250