AVGO Options History — January 2011

In January 2011, AVGO traded between $2.77 and $2.92. ATM implied volatility averaged 34.0%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 3.6% (HV 20d: 30.5%). Max pain ranged from $2.25 to $2.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.22.

Notable Days

2011-01-14: Highest Volume — 3,850 contracts
2011-01-13: Largest IV spike — 48.3% change
2011-01-19: Highest IV Rank — 45.1%
2011-01-19: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.83	$2.77	$2.92	$2.78	$2.87
Max Pain	$2.48	$2.25	$2.50	$2.50	$2.50
ATM IV	34.0%	23.2%	37.5%	36.0%	36.3%
Expected Move	10.1%	9.1%	10.8%	10.3%	10.4%
HV 20d	30.5%	25.4%	40.8%	40.8%	34.7%
HV 60d	38.8%	37.9%	40.1%	38.7%	38.9%
IV Rank	35.6%	6.2%	45.1%	40.8%	41.8%
IV Percentile	42.8%	1.2%	66.3%	53.2%	54.0%
Term Structure	1.2%	-3.8%	3.6%	-3.8%	1.6%
VWIV	34.7%	26.4%	38.2%	33.3%	35.7%
Skew 25d	4.5%	-5.3%	35.4%	3.1%	-5.3%
Skew 10d	8.6%	-3.4%	48.9%	5.1%	-3.4%
Call IV 25d	34.0%	28.1%	37.8%	36.4%	34.7%
Put IV 25d	38.5%	27.8%	72.3%	39.4%	29.4%
Bid-Ask Spread %	33.29	11.66	69.74	17.50	61.86
Gamma HHI	0.66	0.48	0.83	0.67	0.65
Net GEX	117.8K	51.9K	232.5K	125.1K	83.5K
Net DEX	-4.7M	-7.0M	-1.6M	-5.5M	-2.2M
Net VEX	-10.9K	-12.6K	-10.1K	-12.6K	-11.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.22	0.00	0.79	0.13	0.63
Total Volume	1,549.5	540	3,850	1,950	2,140
Total OI	53,074	25,050	67,870	62,250	28,630

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2011-01-03	$2.78	$2.50	36.0%	10.3%	40.8%	40.8%	33.3%	3.1%	-3.8%	125.1K	-5.5M	-12.6K	0.13	17.50	1,730	220	36,480	25,770
2011-01-04	$2.80	$2.50	32.3%	9.2%	40.7%	30.8%	33.0%	3.0%	2.0%	127.5K	-5.7M	-11.3K	0.07	33.26	540	40	36,520	25,830
2011-01-05	$2.80	$2.50	31.9%	9.1%	28.1%	29.7%	26.4%	4.5%	1.5%	131.4K	-5.6M	-11.6K	0.00	69.74	540	0	36,540	25,790
2011-01-06	$2.85	$2.50	33.4%	9.6%	27.9%	34.0%	33.9%	35.4%	1.7%	153.3K	-6.3M	-10.4K	0.33	19.87	790	260	36,540	25,790
2011-01-07	$2.83	$2.25	28.6%	9.9%	25.4%	20.9%	34.7%	2.4%	1.4%	145.9K	-6.0M	-11.2K	0.00	28.85	620	0	36,810	25,940
2011-01-10	$2.89	$2.25	30.5%	10.2%	26.2%	26.2%	35.6%	9.2%	1.4%	204.9K	-6.6M	-11.0K	0.02	27.42	1,120	20	37,290	25,940
2011-01-11	$2.92	$2.50	33.9%	9.9%	26.3%	35.2%	34.4%	6.3%	1.8%	221.9K	-7.0M	-10.9K	0.20	32.27	990	200	37,360	25,960
2011-01-12	$2.82	$2.50	23.2%	10.5%	29.8%	6.2%	36.8%	1.2%	0.0%	152.9K	-5.9M	-12.0K	0.17	59.83	1,030	180	37,900	25,780
2011-01-13	$2.83	$2.50	34.3%	9.8%	29.8%	36.4%	34.3%	6.3%	2.0%	168.5K	-6.2M	-10.6K	0.59	21.81	2,110	1,240	38,140	25,710
2011-01-14	$2.90	$2.50	35.2%	10.1%	26.4%	38.7%	35.3%	6.5%	1.9%	232.5K	-6.7M	-11.7K	0.08	46.15	3,580	270	39,610	26,950
2011-01-18	$2.77	$2.50	36.8%	10.5%	30.4%	43.1%	37.5%	3.0%	0.8%	77.0K	-5.3M	-10.3K	0.00	18.54	1,960	0	40,750	27,120
2011-01-19	$2.78	$2.50	37.5%	10.8%	30.1%	45.1%	37.3%	-0.0%	0.9%	86.6K	-5.6M	-10.3K	0.17	26.71	1,890	330	40,720	26,320
2011-01-20	$2.77	$2.50	37.1%	10.6%	30.1%	43.9%	38.2%	2.4%	0.2%	63.1K	-5.3M	-10.4K	0.79	16.52	390	310	40,330	26,650
2011-01-21	$2.78	$2.50	36.7%	10.5%	29.9%	42.7%	0.0%	1.6%	-1.8%	51.9K	-5.3M	-10.3K	0.00	44.25	1,130	0	40,240	26,960
2011-01-24	$2.81	$2.50	35.1%	10.1%	30.2%	38.6%	35.2%	3.5%	0.3%	54.5K	-1.6M	-10.1K	0.00	43.49	930	0	15,700	9,350
2011-01-25	$2.80	$2.50	37.0%	10.6%	29.0%	43.5%	0.0%	0.2%	1.6%	60.1K	-1.6M	-10.1K	0.00	48.22	1,640	0	16,450	9,350
2011-01-26	$2.83	$2.50	34.9%	10.0%	28.7%	37.9%	33.4%	4.0%	2.8%	68.4K	-1.8M	-10.5K	0.56	20.93	540	300	17,020	9,350
2011-01-27	$2.92	$2.50	33.9%	9.7%	30.9%	35.2%	33.9%	-1.9%	3.6%	82.1K	-2.3M	-10.5K	0.63	11.66	1,150	720	17,190	9,350
2011-01-28	$2.81	$2.50	36.2%	10.4%	34.1%	41.4%	36.3%	5.7%	3.4%	65.6K	-1.8M	-10.7K	0.01	16.93	2,050	30	17,540	9,810
2011-01-31	$2.87	$2.50	36.3%	10.4%	34.7%	41.8%	35.7%	-5.3%	1.6%	83.5K	-2.2M	-11.3K	0.63	61.86	1,310	830	18,790	9,840