AVGO Options History — September 2010

In September 2010, AVGO traded between $1.86 and $2.25. ATM implied volatility averaged 36.2%, placing in the 44.9% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 3.8% (HV 20d: 40.0%). Max pain ranged from $2.00 to $2.25. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 3.30.

Notable Days

  • 2010-09-27: Highest Volume — 27,640 contracts
  • 2010-09-07: Largest IV spike — 20.0% change
  • 2010-09-16: Highest IV Rank — 51.9%
  • 2010-09-16: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.06$1.86$2.25$2.10$2.25
Max Pain$2.11$2.00$2.25$2.00$2.25
ATM IV36.2%30.6%38.6%37.8%31.9%
Expected Move10.4%9.1%11.1%10.8%9.1%
HV 20d40.0%26.0%43.5%43.5%40.4%
HV 60d39.7%38.2%41.6%39.1%38.7%
IV Rank44.9%28.5%51.9%49.6%32.2%
IV Percentile40.4%18.3%56.7%50.0%21.0%
Term Structure1.4%-0.5%3.4%-0.5%2.9%
VWIV36.0%27.4%39.6%37.9%31.7%
Skew 25d2.5%-3.6%9.4%2.9%2.5%
Skew 10d4.9%-5.9%19.5%3.6%3.2%
Call IV 25d34.1%24.7%40.2%35.0%24.7%
Put IV 25d36.6%25.7%43.3%37.9%27.1%
Bid-Ask Spread %43.9613.0992.8064.8214.64
Gamma HHI0.520.420.870.440.42
Net GEX-25.7K-290.5K71.8K71.8K-138.3K
Net DEX-1.3M-4.1M997.7K-4.0M-697.3K
Net VEX-14.8K-24.2K-7.7K-22.1K-23.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.300.0048.641.090.18
Total Volume6,168.0951027,6404807,010
Total OI51,145.71429,63094,72058,30094,720

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$2.10$2.0037.8%10.8%43.5%49.6%37.9%2.9%-0.5%71.8K-4.0M-22.1K1.0964.8223025043,58014,720
2010-09-02$2.10$2.0036.5%10.5%42.9%45.9%37.9%2.4%0.5%70.5K-4.1M-22.1K0.0090.7804043,47014,910
2010-09-03$2.10$2.0030.6%10.2%42.9%28.5%35.8%2.0%2.5%66.1K-4.1M-21.8K0.0043.6910043,47014,890
2010-09-07$2.06$2.0036.7%10.5%42.7%46.4%0.0%3.3%2.0%57.0K-3.6M-21.3K0.0044.35180043,47014,890
2010-09-08$2.01$2.0038.5%10.7%42.6%51.7%27.4%-0.0%1.9%38.1K-2.7M-21.0K0.0085.1911,740043,37014,890
2010-09-09$1.97$2.0037.9%10.9%26.0%50.0%30.9%-0.4%-0.3%-1.7K-1.0M-14.8K0.0092.8019,990031,65014,890
2010-09-10$1.86$2.0036.2%10.4%31.5%44.9%39.1%0.1%3.4%-26.0K997.7K-7.7K1.5272.8827041019,65014,890
2010-09-13$1.90$2.0037.7%10.8%31.7%49.2%38.2%9.4%2.1%-22.3K932.4K-8.1K0.0925.191,10010020,95014,840
2010-09-14$1.99$2.0036.5%10.5%36.2%45.8%36.6%5.3%2.9%-68.7K-69.0K-9.4K0.0076.94400021,62014,880
2010-09-15$1.91$2.2538.0%10.9%38.8%50.1%34.8%-2.5%0.4%-33.8K685.9K-8.4K0.3661.901,11040021,26014,630
2010-09-16$1.93$2.2538.6%11.1%38.1%51.9%38.4%9.0%0.9%-35.1K761.6K-8.5K2.0720.8015031021,53014,830
2010-09-17$2.00$2.2537.2%10.7%41.0%47.8%37.8%4.0%1.4%-290.5K-280.4K-9.1K0.8030.0554043021,53014,650
2010-09-20$2.06$2.2536.1%10.3%42.4%44.5%35.8%-0.5%2.3%22.6K-1.1M-9.0K3.0830.4613040019,9009,730
2010-09-21$2.08$2.2537.9%10.9%42.4%50.0%39.2%-3.6%0.9%28.6K-1.3M-9.3K2.3929.275,72013,68019,96010,130
2010-09-22$2.08$2.2538.0%10.9%42.3%50.3%39.6%-2.6%0.6%-39.0K-706.0K-11.6K0.1019.961,00010021,96019,930
2010-09-23$2.13$2.2534.1%9.8%43.3%38.8%37.7%5.1%0.4%-24.9K-1.2M-11.2K0.3125.6112,6403,95021,66019,700
2010-09-24$2.16$2.0034.6%9.9%43.2%40.3%36.2%4.5%0.0%27.4K-2.3M-15.4K0.5427.3448026033,53023,650
2010-09-27$2.19$2.0035.9%10.3%43.0%43.9%34.9%6.1%1.3%25.6K-2.4M-12.9K4.6826.324,87022,77028,57023,830
2010-09-28$2.23$2.0035.3%10.1%42.6%42.1%35.2%7.8%1.2%-97.7K-1.0M-20.4K48.6427.0836017,51032,74046,060
2010-09-29$2.23$2.2533.9%9.7%42.6%38.3%33.9%-1.4%1.9%-168.6K-58.5K-24.2K0.1913.0983016033,01061,520
2010-09-30$2.25$2.2531.9%9.1%40.4%32.2%31.7%2.5%2.9%-138.3K-697.3K-23.4K0.1814.645,9201,09033,12061,600