AVGO Options History — December 2010

In December 2010, AVGO traded between $2.49 and $2.89. ATM implied volatility averaged 35.3%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 14.1% (HV 20d: 49.4%). Max pain ranged from $2.00 to $3.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.09.

Notable Days

  • 2010-12-02: Highest Volume — 77,520 contracts
  • 2010-12-13: Largest IV spike — 45.5% change
  • 2010-12-02: Highest IV Rank — 100.0%
  • 2010-12-02: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.74$2.49$2.89$2.69$2.84
Max Pain$2.50$2.00$3.00$2.00$2.50
ATM IV35.3%21.4%57.9%45.0%34.2%
Expected Move10.2%9.0%16.6%12.9%9.8%
HV 20d49.4%30.2%53.5%30.2%47.2%
HV 60d37.9%34.2%39.8%34.2%38.6%
IV Rank39.2%1.4%100.0%70.7%36.0%
IV Percentile45.5%0.8%100.0%88.9%43.3%
Term Structure-0.0%-16.4%3.6%-9.8%0.2%
VWIV36.3%30.7%58.0%45.1%33.6%
Skew 25d0.7%-10.3%6.9%-1.2%-10.3%
Skew 10d2.5%-11.3%13.1%8.7%-9.5%
Call IV 25d35.8%31.7%57.9%45.8%33.9%
Put IV 25d36.5%23.6%58.5%44.6%23.6%
Bid-Ask Spread %35.0012.9476.8329.3112.94
Gamma HHI0.530.340.740.610.73
Net GEX-31.7K-287.9K155.0K-130.0K147.8K
Net DEX-4.0M-8.2M3.5M-6.3M-6.1M
Net VEX-23.7K-37.7K-12.4K-30.5K-13.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.008.150.420.00
Total Volume11,489.09113077,5203,510180
Total OI122,522.72760,060183,630136,64062,320

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$2.69$2.0045.0%12.9%30.2%70.7%45.1%-1.2%-9.8%-130.0K-6.3M-30.5K0.4229.312,4701,04052,43084,210
2010-12-02$2.84$2.5057.9%16.6%34.6%100.0%58.0%0.7%-16.4%-63.1K-8.2M-31.0K0.6513.8146,89030,63051,86085,210
2010-12-03$2.65$3.0037.3%10.7%42.9%44.4%38.7%-4.0%-4.0%-155.4K-1.6M-35.8K0.6869.697,2004,91072,420107,920
2010-12-06$2.69$2.5034.2%9.4%43.0%36.1%32.9%-1.5%3.0%-125.0K-2.0M-33.2K0.8923.032,2902,04071,720105,190
2010-12-07$2.49$2.5034.8%9.4%51.5%37.8%33.9%-2.0%3.5%-287.9K3.5M-37.7K1.3721.818,58011,76072,590106,280
2010-12-08$2.54$2.5032.1%9.2%51.7%30.4%32.3%-1.2%3.3%-231.5K1.8M-35.9K0.9022.686,5905,94074,530108,640
2010-12-09$2.64$2.5034.4%10.0%53.3%36.7%34.4%0.8%-0.2%-142.2K-2.5M-33.4K0.1230.244,83059077,790105,840
2010-12-10$2.64$2.5021.4%9.0%53.2%1.4%31.4%-0.0%3.6%-182.0K-4.8M-29.9K0.1027.965,33054078,600101,530
2010-12-13$2.66$2.5031.1%9.6%52.0%27.6%33.6%1.1%2.7%-165.5K-1.9M-29.5K4.9724.501,0505,22065,450101,350
2010-12-14$2.63$2.5036.0%9.4%51.5%41.0%33.5%-0.6%2.9%-183.0K-230.0K-30.1K0.2025.1293019065,860104,210
2010-12-15$2.64$2.5033.2%9.5%51.2%33.3%33.0%0.1%2.5%-182.9K-2.0M-28.8K0.1731.431,64028065,66099,900
2010-12-16$2.76$2.5035.4%10.2%53.1%39.4%39.6%1.7%-1.1%-126.3K-4.4M-23.4K8.1517.757,71062,83064,85099,920
2010-12-17$2.82$2.5035.9%10.3%53.1%40.7%31.6%5.5%0.3%91.9K-5.8M-17.1K4.0017.024,29017,14062,68050,830
2010-12-20$2.78$2.5032.7%9.4%53.5%32.0%35.5%2.9%1.1%100.1K-5.1M-14.8K0.0822.991,95015034,59025,470
2010-12-21$2.79$2.5033.5%9.6%52.7%34.1%38.6%4.1%1.7%98.4K-5.2M-14.4K0.0051.012,610034,56025,870
2010-12-22$2.81$2.5031.3%9.0%52.7%28.3%37.0%4.0%3.0%124.0K-5.7M-14.3K0.0023.111,760036,56025,870
2010-12-23$2.81$2.5033.1%9.5%52.7%33.2%30.7%4.7%1.6%131.5K-5.9M-14.9K0.0029.10790037,08025,870
2010-12-27$2.88$2.5037.1%10.7%52.4%44.0%40.1%6.9%-0.1%138.3K-6.4M-14.0K0.2276.8397021036,56025,870
2010-12-28$2.83$2.5034.8%10.0%52.8%37.8%0.0%5.3%0.9%138.7K-6.1M-13.8K0.6376.75805036,78025,680
2010-12-29$2.86$2.5034.2%9.8%51.4%36.0%31.8%4.2%1.5%151.2K-6.4M-13.1K0.2757.7949013036,80025,730
2010-12-30$2.89$2.5036.5%10.5%50.7%42.3%36.7%-5.1%-0.7%155.0K-6.7M-12.4K0.2665.1138010036,69025,730
2010-12-31$2.84$2.5034.2%9.8%47.2%36.0%33.6%-10.3%0.2%147.8K-6.1M-13.0K0.0012.94180036,55025,770