AVGO Options History — February 2011

In February 2011, AVGO traded between $2.88 and $3.44. ATM implied volatility averaged 37.7%, placing in the 45.5% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 2.3% (HV 20d: 40.0%). Max pain ranged from $2.50 to $3.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.26.

Notable Days

2011-02-22: Highest Volume — 29,320 contracts
2011-02-10: Largest IV spike — 27.1% change
2011-02-23: Highest IV Rank — 78.3%
2011-02-23: Largest Expected Move — 14.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.24	$2.88	$3.44	$2.91	$3.40
Max Pain	$2.82	$2.50	$3.00	$2.50	$3.00
ATM IV	37.7%	27.6%	49.8%	34.4%	36.0%
Expected Move	11.2%	9.7%	14.3%	9.9%	10.3%
HV 20d	40.0%	33.9%	51.1%	33.9%	47.4%
HV 60d	41.2%	38.7%	45.2%	38.7%	44.5%
IV Rank	45.5%	18.3%	78.3%	36.7%	40.9%
IV Percentile	59.7%	10.3%	97.6%	41.7%	49.2%
Term Structure	-1.2%	-5.1%	4.1%	2.1%	-1.0%
VWIV	39.6%	34.5%	50.3%	34.9%	36.2%
Skew 25d	3.3%	-4.6%	8.1%	-2.7%	5.4%
Skew 10d	5.9%	-9.5%	19.9%	-1.3%	11.6%
Call IV 25d	36.7%	29.3%	49.8%	32.1%	32.3%
Put IV 25d	40.0%	28.8%	53.4%	29.4%	37.6%
Bid-Ask Spread %	30.12	12.14	43.57	41.57	25.56
Gamma HHI	0.61	0.43	0.85	0.71	0.83
Net GEX	108.1K	11.9K	213.7K	102.0K	198.6K
Net DEX	-6.4M	-9.1M	-2.6M	-2.6M	-8.4M
Net VEX	-19.2K	-27.6K	-11.4K	-11.4K	-21.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.26	0.00	9.04	0.00	0.17
Total Volume	7,483.684	1,030	29,320	3,640	2,700
Total OI	56,523.684	29,730	84,160	29,730	72,280

Daily Data (19 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
2011-02-01	$2.91	$2.50	34.4%	9.9%	33.9%	36.7%	34.9%	-2.7%	2.1%	102.0K	-2.6M	-11.4K	0.00	41.57	3,640	0	19,750	9,980
2011-02-02	$2.88	$2.50	34.4%	9.9%	34.1%	36.5%	0.0%	-4.6%	1.4%	108.7K	-2.7M	-12.1K	0.36	12.14	760	270	21,450	9,980
2011-02-03	$2.94	$2.50	34.5%	9.9%	34.8%	36.8%	34.5%	-1.6%	4.1%	119.1K	-3.1M	-12.3K	0.33	40.70	3,230	1,070	21,680	9,970
2011-02-04	$3.12	$2.50	36.9%	11.1%	39.8%	43.3%	38.8%	4.1%	-1.8%	123.9K	-4.7M	-12.6K	0.16	30.35	5,450	860	23,860	10,970
2011-02-07	$3.08	$2.50	35.1%	10.8%	40.1%	38.5%	36.2%	3.0%	-1.7%	163.6K	-5.1M	-14.3K	0.54	32.92	1,280	690	27,140	11,280
2011-02-08	$3.19	$2.50	27.6%	11.4%	41.2%	18.3%	37.1%	0.1%	-0.8%	139.0K	-6.2M	-13.9K	0.07	13.83	5,350	350	28,320	11,650
2011-02-09	$3.28	$2.50	30.7%	10.9%	41.8%	26.7%	38.3%	6.4%	0.1%	138.2K	-7.1M	-14.4K	0.42	15.38	3,100	1,290	30,700	11,850
2011-02-10	$3.25	$3.00	39.1%	11.2%	39.1%	49.2%	38.0%	3.7%	-1.4%	133.5K	-7.2M	-15.5K	0.03	14.90	4,500	140	32,500	12,720
2011-02-11	$3.33	$3.00	37.4%	10.7%	39.6%	44.7%	39.0%	8.1%	-0.2%	160.0K	-8.1M	-16.3K	2.46	34.64	3,850	9,460	35,170	12,690
2011-02-14	$3.40	$3.00	39.8%	11.4%	39.5%	51.3%	44.9%	3.6%	-1.9%	89.9K	-8.2M	-19.5K	3.86	30.80	4,510	17,400	35,250	20,440
2011-02-15	$3.37	$3.00	39.9%	11.4%	35.1%	51.4%	40.9%	5.1%	-2.6%	11.9K	-7.2M	-24.4K	3.51	37.96	2,170	7,610	36,990	36,730
2011-02-16	$3.44	$3.00	41.5%	11.9%	35.1%	55.9%	41.4%	5.3%	-3.2%	29.5K	-8.1M	-23.8K	0.12	38.92	5,710	680	38,320	41,720
2011-02-17	$3.36	$3.00	41.8%	12.0%	36.7%	56.5%	42.8%	3.1%	-3.9%	21.8K	-7.4M	-27.5K	0.26	38.30	2,090	540	40,770	42,100
2011-02-18	$3.38	$3.00	42.9%	12.3%	36.6%	59.6%	42.8%	3.5%	-4.6%	38.4K	-8.0M	-26.9K	0.21	18.87	2,790	590	41,900	42,260
2011-02-22	$3.26	$3.00	43.5%	12.5%	40.3%	61.1%	45.1%	1.3%	-5.1%	12.9K	-4.9M	-27.6K	9.04	42.09	2,920	26,400	38,870	36,630
2011-02-23	$3.13	$3.00	49.8%	14.3%	43.5%	78.3%	50.3%	3.6%	-5.1%	86.8K	-4.4M	-24.8K	1.60	39.50	2,890	4,620	40,810	25,070
2011-02-24	$3.40	$3.00	37.1%	10.6%	51.1%	44.0%	37.7%	7.0%	1.3%	163.4K	-8.1M	-23.4K	0.27	20.20	6,060	1,610	42,690	27,230
2011-02-25	$3.44	$3.00	34.0%	9.7%	50.3%	35.4%	34.6%	7.5%	1.0%	213.7K	-9.1M	-22.7K	0.62	43.57	3,470	2,140	44,910	27,320
2011-02-28	$3.40	$3.00	36.0%	10.3%	47.4%	40.9%	36.2%	5.4%	-1.0%	198.6K	-8.4M	-21.8K	0.17	25.56	2,300	400	44,600	27,680