AVGO Options History — October 2010

In October 2010, AVGO traded between $2.19 and $2.47. ATM implied volatility averaged 30.8%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 1.3% (HV 20d: 29.5%). Max pain ranged from $2.25 to $2.25. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 3.70.

Notable Days

  • 2010-10-15: Highest Volume — 54,900 contracts
  • 2010-10-08: Largest IV spike — 13.7% change
  • 2010-10-14: Highest IV Rank — 36.3%
  • 2010-10-05: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.27$2.19$2.47$2.26$2.47
Max Pain$2.25$2.25$2.25$2.25$2.25
ATM IV30.8%28.7%33.3%32.8%32.3%
Expected Move9.0%8.2%10.4%9.4%9.3%
HV 20d29.5%22.3%40.9%40.4%30.8%
HV 60d37.8%36.7%39.1%38.7%38.2%
IV Rank29.0%23.1%36.3%34.8%33.5%
IV Percentile19.6%14.3%27.8%23.0%27.8%
Term Structure2.5%-1.6%6.3%1.4%0.6%
VWIV31.8%28.3%36.6%32.6%36.6%
Skew 25d3.1%-2.3%9.5%3.3%1.8%
Skew 10d3.5%-5.8%21.6%4.1%1.0%
Call IV 25d30.1%23.4%35.2%25.1%32.3%
Put IV 25d33.2%25.9%38.2%28.4%34.1%
Bid-Ask Spread %42.2114.9172.3014.9147.22
Gamma HHI0.600.410.780.410.61
Net GEX-354.6K-535.0K-69.3K-110.0K-411.9K
Net DEX3.5M-2.4M10.1M-1.4M-1.1M
Net VEX-38.4K-53.1K-22.3K-24.8K-43.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.700.0033.911.250.05
Total Volume7,728.095054,90081021,210
Total OI136,714.286100,540158,200100,540158,200

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$2.26$2.2532.8%9.4%40.4%34.8%32.6%3.3%1.4%-110.0K-1.4M-24.8K1.2514.9136045038,59061,950
2010-10-04$2.23$2.2532.0%10.1%40.9%32.5%35.4%2.1%3.1%-121.1K-708.6K-24.3K0.2521.892406038,56062,310
2010-10-05$2.25$2.2532.0%10.4%40.0%32.8%0.0%2.9%2.7%-102.8K-1.2M-23.9K0.0021.6410038,76062,350
2010-10-06$2.23$2.2532.5%9.9%38.8%34.0%0.0%1.5%2.7%-114.5K-687.7K-23.5K1.2524.078010038,75062,350
2010-10-07$2.29$2.2528.7%9.4%38.3%23.1%32.5%4.2%1.9%-69.3K-2.4M-22.3K33.9121.1989030,18038,81062,450
2010-10-08$2.22$2.2532.7%9.0%34.1%34.6%31.2%4.1%3.0%-255.6K3.3M-32.1K10.0032.811501,50039,13089,460
2010-10-11$2.23$2.2531.7%9.3%34.0%31.7%32.5%3.1%2.8%-271.6K3.0M-31.0K0.2450.442105039,13090,860
2010-10-12$2.20$2.2531.7%9.3%31.2%31.8%35.7%4.1%2.5%-265.6K4.1M-29.8K2.5835.124001,03039,33090,810
2010-10-13$2.20$2.2531.4%8.6%26.4%31.0%33.5%1.9%3.2%-280.6K4.7M-28.5K13.5467.911,17015,84039,27091,130
2010-10-14$2.24$2.2533.3%9.5%26.7%36.3%33.4%4.0%-1.6%-365.4K4.4M-35.8K0.8231.1912,72010,38040,050104,610
2010-10-15$2.27$2.2531.2%9.0%23.8%30.4%31.2%5.0%0.6%-482.7K2.9M-38.8K3.1837.0813,13041,77043,090110,930
2010-10-18$2.27$2.2530.2%8.7%22.3%27.4%30.3%0.3%2.2%-499.7K7.2M-53.1K1.1966.1868081035,270117,870
2010-10-19$2.24$2.2529.6%8.5%23.4%25.7%29.6%4.0%2.8%-505.0K8.1M-52.6K0.3667.1745016035,550118,060
2010-10-20$2.21$2.2529.2%8.4%24.1%24.5%0.0%8.1%3.4%-503.4K9.3M-51.4K0.0062.950035,820118,140
2010-10-21$2.19$2.2529.0%8.3%22.6%23.8%0.0%9.5%3.2%-506.3K10.1M-50.7K0.0060.7950035,820118,140
2010-10-22$2.25$2.2529.0%8.3%23.7%23.8%29.0%1.8%2.2%-535.0K8.4M-50.6K0.0072.30130035,870118,140
2010-10-25$2.29$2.2529.4%8.4%23.7%25.1%29.4%-2.1%2.7%-522.2K6.2M-49.5K0.7031.5687061036,000118,140
2010-10-26$2.34$2.2528.7%8.2%24.5%23.1%28.3%6.2%6.3%-512.5K3.9M-47.0K0.0067.811,450036,790118,340
2010-10-27$2.37$2.2529.0%8.3%24.8%23.9%28.7%1.1%4.6%-494.6K2.6M-46.1K4.6225.483901,80037,610118,340
2010-10-28$2.34$2.2529.6%8.5%25.2%25.7%30.5%-2.3%2.2%-517.4K3.7M-47.4K0.1326.672,63033037,750118,470
2010-10-29$2.47$2.2532.3%9.3%30.8%33.5%36.6%1.8%0.6%-411.9K-1.1M-43.2K0.0547.2220,29092039,530118,670