AVGO Options History — August 2010

In August 2010, AVGO traded between $2.00 and $2.29. ATM implied volatility averaged 38.3%, placing in the 51.0% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 2.4% (HV 20d: 40.7%). Max pain ranged from $2.00 to $2.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.31.

Notable Days

  • 2010-08-11: Highest Volume — 69,930 contracts
  • 2010-08-11: Largest IV spike — 19.3% change
  • 2010-08-11: Highest IV Rank — 69.7%
  • 2010-08-24: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.10$2.00$2.29$2.18$2.02
Max Pain$2.14$2.00$2.25$2.25$2.00
ATM IV38.3%33.7%44.7%37.3%38.4%
Expected Move11.0%9.7%12.2%10.7%11.0%
HV 20d40.7%32.6%48.6%35.1%42.5%
HV 60d40.5%37.9%43.4%40.0%38.3%
IV Rank51.0%37.5%69.7%48.0%51.3%
IV Percentile49.4%26.5%79.4%44.9%52.8%
Term Structure-0.8%-4.0%4.1%0.7%-1.7%
VWIV37.3%26.5%41.6%37.6%26.5%
Skew 25d4.0%-9.3%13.8%5.3%3.5%
Skew 10d10.7%-9.3%27.8%27.8%4.9%
Call IV 25d36.5%26.9%43.6%33.9%31.9%
Put IV 25d40.5%32.8%45.1%39.1%35.4%
Bid-Ask Spread %53.5723.7795.3371.0795.33
Gamma HHI0.670.450.860.630.45
Net GEX129.5K20.3K300.8K33.0K57.0K
Net DEX-4.1M-8.2M-7.1K-611.5K-2.7M
Net VEX-23.0K-40.5K-3.7K-4.8K-22.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.0013.500.000.00
Total Volume6,275.909069,930600
Total OI55,417.27314,19096,31014,22058,300

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$2.18$2.2537.3%10.7%35.1%48.0%37.6%5.3%0.7%33.0K-611.5K-4.8K0.0071.076009,9604,260
2010-08-03$2.16$2.2536.1%10.3%33.1%44.6%0.0%7.9%1.2%32.6K-557.4K-4.7K0.0033.6702309,9304,260
2010-08-04$2.23$2.2533.7%9.7%32.6%37.5%0.0%13.8%4.1%37.7K-718.3K-4.8K2.0037.8610209,9304,360
2010-08-05$2.27$2.2536.0%10.3%33.1%44.4%35.3%5.9%2.5%39.6K-884.2K-4.7K0.5644.0790509,9404,380
2010-08-06$2.26$2.0034.2%11.1%33.1%39.0%38.6%3.5%-1.2%39.5K-882.4K-4.8K13.5023.77202709,9804,380
2010-08-09$2.29$2.2537.0%10.9%33.3%47.3%37.8%3.2%1.4%40.1K-951.0K-4.6K1.3327.7230409,9804,630
2010-08-10$2.23$2.2537.5%10.9%34.3%48.6%0.0%2.1%-0.1%39.0K-801.6K-4.6K0.0035.7060010,0104,630
2010-08-11$2.02$2.2544.7%11.0%48.6%69.7%37.3%1.6%-1.2%20.3K-7.1K-3.7K0.0674.1265,8604,07010,0404,630
2010-08-12$2.04$2.2539.1%11.2%47.4%53.4%35.7%4.8%-2.3%240.4K-6.7M-33.4K0.0757.8013,6001,00068,4906,740
2010-08-13$2.00$2.2540.6%11.6%45.9%57.6%40.0%5.1%-2.0%283.4K-7.4M-38.2K0.1676.871,15018078,9206,500
2010-08-16$2.03$2.2539.7%11.4%46.0%55.0%39.4%7.7%-2.1%300.8K-7.4M-37.8K0.0054.96300079,3006,130
2010-08-17$2.04$2.2537.8%10.8%46.0%49.6%36.6%2.1%-1.2%289.5K-8.2M-38.1K7.0637.791,43010,10079,5006,130
2010-08-18$2.08$2.2538.3%11.0%46.6%51.0%37.9%5.4%-2.0%223.3K-7.7M-40.5K0.0343.067602079,68016,020
2010-08-19$2.05$2.0037.3%10.7%42.6%48.1%37.3%3.9%0.5%250.1K-7.8M-40.4K0.0059.34340080,05016,040
2010-08-20$2.04$2.0037.6%10.8%42.6%49.0%37.4%2.9%0.5%258.7K-7.6M-40.5K1.2566.898010080,32015,990
2010-08-23$2.04$2.0039.8%11.4%42.6%55.5%40.5%-9.3%-1.2%181.0K-7.2M-39.8K0.0074.455,520074,79014,350
2010-08-24$2.02$2.0042.5%12.2%42.4%63.2%41.6%4.2%-4.0%158.6K-6.4M-37.4K0.0353.8811,24037070,97014,350
2010-08-25$2.03$2.0040.9%11.7%41.6%58.8%38.0%5.6%-3.4%127.7K-5.1M-32.5K0.0056.2120,5502062,24014,700
2010-08-26$2.06$2.0036.9%10.6%42.1%46.9%37.3%3.1%-1.2%70.7K-3.5M-23.1K0.2443.422105043,49014,720
2010-08-27$2.03$2.0038.5%11.0%42.3%51.5%0.0%1.8%-1.9%66.2K-3.1M-22.9K0.0042.0440043,34014,720
2010-08-30$2.00$2.0038.9%11.1%42.4%52.7%26.5%3.6%-2.2%61.0K-2.9M-22.1K0.0068.50200043,38014,720
2010-08-31$2.02$2.0038.4%11.0%42.5%51.3%0.0%3.5%-1.7%57.0K-2.7M-22.0K0.0095.330043,58014,720