AVGO Options History — November 2010

In November 2010, AVGO traded between $2.38 and $2.70. ATM implied volatility averaged 35.1%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 2.2% (HV 20d: 32.9%). Max pain ranged from $2.00 to $2.25. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.26.

Notable Days

  • 2010-11-16: Highest Volume — 24,160 contracts
  • 2010-11-30: Largest IV spike — 34.2% change
  • 2010-11-30: Highest IV Rank — 71.2%
  • 2010-11-30: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.53$2.38$2.70$2.38$2.61
Max Pain$2.05$2.00$2.25$2.25$2.00
ATM IV35.1%30.2%45.2%31.9%45.2%
Expected Move10.1%9.0%13.0%9.2%13.0%
HV 20d32.9%29.0%34.6%33.3%29.0%
HV 60d34.3%32.7%38.9%38.9%34.2%
IV Rank41.6%27.2%71.2%32.4%71.2%
IV Percentile44.4%19.4%89.7%26.2%89.7%
Term Structure-1.2%-8.9%15.6%1.8%-8.9%
VWIV34.4%21.9%44.0%34.0%44.0%
Skew 25d6.7%0.5%11.7%2.8%0.5%
Skew 10d6.0%-11.5%15.9%-2.0%-11.5%
Call IV 25d30.3%23.4%44.1%33.1%44.1%
Put IV 25d37.0%34.3%44.6%35.9%44.6%
Bid-Ask Spread %40.1020.0678.8462.6424.47
Gamma HHI0.540.430.710.640.55
Net GEX-338.9K-507.4K-97.2K-397.9K-104.9K
Net DEX-2.6M-6.3M2.2M271.9K-5.1M
Net VEX-36.8K-46.5K-29.4K-46.5K-36.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.001.130.260.10
Total Volume4,334.76253024,1602,4504,120
Total OI154,752.857131,960194,920166,610137,230

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$2.38$2.2531.9%9.2%33.3%32.4%34.0%2.8%1.8%-397.9K271.9K-46.5K0.2662.641,94051047,280119,330
2010-11-02$2.41$2.2534.2%9.8%33.4%38.9%34.3%2.3%-0.2%-507.4K2.2M-43.6K0.0066.09730033,670119,330
2010-11-03$2.47$2.2533.8%9.7%33.9%38.0%29.5%1.2%-1.5%-482.7K308.8K-39.7K0.2334.1788020034,000119,330
2010-11-04$2.53$2.2532.9%9.4%33.7%35.3%32.9%3.7%-1.9%-441.9K-2.2M-34.0K0.2750.241,12030033,850119,530
2010-11-05$2.54$2.0031.1%9.0%31.1%29.9%30.8%10.9%-0.5%-379.9K-2.4M-34.3K0.0022.04530034,330119,830
2010-11-08$2.52$2.0035.4%9.5%31.3%42.5%32.7%11.2%-1.8%-401.5K-2.1M-34.1K0.4824.942,7401,31034,560119,830
2010-11-09$2.48$2.0030.2%9.2%31.6%27.2%33.1%9.5%-2.7%-418.6K-1.7M-34.7K0.7448.6768050036,630120,080
2010-11-10$2.46$2.0030.8%9.4%31.9%29.2%33.5%8.3%-2.7%-464.2K-787.2K-35.7K0.4020.761,43057036,970120,430
2010-11-11$2.48$2.0033.9%9.7%31.6%38.1%33.5%9.2%-2.5%-421.0K-1.6M-34.7K0.0023.593,030037,190120,490
2010-11-12$2.57$2.0033.7%9.7%33.2%37.6%33.7%10.0%-2.2%-330.1K-4.2M-29.4K0.3130.681,01031038,610120,490
2010-11-15$2.52$2.0032.7%9.4%34.6%34.8%32.8%11.7%-1.4%-361.9K-3.1M-31.6K0.0056.782,070038,920120,530
2010-11-16$2.49$2.0036.6%10.5%34.3%46.1%35.8%8.0%-0.5%-352.1K-2.0M-33.3K0.3224.9918,3305,83039,950120,530
2010-11-17$2.46$2.0037.0%10.6%34.2%47.1%38.0%9.9%-2.5%-340.3K-1.6M-39.9K0.8425.034,8704,07051,070126,070
2010-11-18$2.51$2.0037.8%10.8%34.2%49.5%37.8%7.5%-3.7%-484.6K-3.0M-40.7K1.1347.715,9606,75054,240130,090
2010-11-19$2.53$2.0035.7%10.2%33.6%43.3%34.0%10.6%-0.5%-498.3K-3.8M-44.3K0.1220.062,00024058,080136,840
2010-11-22$2.60$2.0040.6%11.6%34.4%57.8%39.6%6.8%-6.6%-178.3K-3.4M-39.6K0.0278.844,66011048,14083,820
2010-11-23$2.60$2.0039.1%11.2%33.8%53.2%39.1%2.2%-4.8%-156.3K-3.6M-39.8K0.0550.029205049,84083,930
2010-11-24$2.63$2.0039.1%11.2%33.8%53.6%38.9%1.6%-5.7%-136.1K-4.7M-36.8K0.0557.504,12022050,43083,980
2010-11-26$2.70$2.0031.3%9.0%34.1%30.4%21.9%11.3%15.6%-162.1K-6.3M-31.8K0.0242.375,90013050,07083,980
2010-11-29$2.69$2.0033.7%9.7%29.8%37.5%32.5%1.6%8.5%-97.2K-6.3M-32.7K0.0730.452,69020052,20084,110
2010-11-30$2.61$2.0045.2%13.0%29.0%71.2%44.0%0.5%-8.9%-104.9K-5.1M-36.2K0.1024.473,76036053,04084,190