AVGO Options History — March 2011

In March 2011, AVGO traded between $2.93 and $3.30. ATM implied volatility averaged 36.5%, placing in the 42.2% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 9.8% (HV 20d: 46.3%). Max pain ranged from $3.00 to $3.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.32.

Notable Days

  • 2011-03-18: Highest Volume — 11,020 contracts
  • 2011-03-03: Largest IV drop — 23.9% change
  • 2011-03-18: Highest IV Rank — 53.8%
  • 2011-03-18: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.12$2.93$3.30$3.21$3.11
Max Pain$3.00$3.00$3.00$3.00$3.00
ATM IV36.5%30.2%40.8%39.1%31.6%
Expected Move10.5%8.6%11.7%11.2%9.1%
HV 20d46.3%31.6%52.8%52.8%31.6%
HV 60d40.6%38.9%44.9%44.9%40.4%
IV Rank42.2%25.2%53.8%49.2%29.0%
IV Percentile51.6%15.9%78.2%72.2%15.9%
Term Structure0.6%-1.1%4.2%-0.6%2.8%
VWIV36.4%29.7%40.4%38.2%34.8%
Skew 25d2.3%-6.5%15.7%1.0%8.2%
Skew 10d4.1%-10.8%36.7%10.3%11.7%
Call IV 25d34.4%23.7%40.4%38.0%23.7%
Put IV 25d36.7%31.8%51.6%39.0%31.8%
Bid-Ask Spread %43.2510.3781.9018.1169.52
Gamma HHI0.590.420.820.610.50
Net GEX148.1K-49.3K238.3K110.1K200.2K
Net DEX-5.6M-8.2M-654.0K-5.3M-5.9M
Net VEX-27.8K-31.6K-23.6K-23.6K-28.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.001.790.170.00
Total Volume3,677.82618011,02010,170180
Total OI84,631.73972,25097,41072,25082,020

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$3.21$3.0039.1%11.2%52.8%49.2%38.2%1.0%-0.6%110.1K-5.3M-23.6K0.1718.118,7101,46044,72027,530
2011-03-02$3.25$3.0039.6%11.4%52.8%50.7%37.6%5.4%-0.3%170.5K-6.4M-24.6K0.0336.336,61020048,80027,520
2011-03-03$3.30$3.0030.2%8.6%52.7%25.2%32.4%2.1%4.2%238.3K-8.2M-25.1K0.1662.882,66043052,56027,610
2011-03-04$3.28$3.0030.9%10.3%52.6%27.2%35.5%1.0%1.1%237.1K-8.0M-25.7K0.1262.551,01012053,88027,800
2011-03-07$3.20$3.0037.1%10.9%49.6%43.9%37.5%-0.9%0.4%167.3K-6.7M-25.0K0.0329.161,8406054,54027,900
2011-03-08$3.24$3.0036.0%10.8%49.4%41.1%34.4%2.8%-0.5%199.8K-7.4M-24.3K0.0214.643,5906055,10027,940
2011-03-09$3.10$3.0036.9%10.6%50.4%43.3%36.1%4.2%1.5%108.4K-5.5M-25.5K1.4425.584,2206,07058,30027,990
2011-03-10$3.10$3.0037.8%10.8%49.3%45.7%37.6%4.9%0.0%105.9K-5.5M-29.6K0.2715.881,93052061,97031,660
2011-03-11$3.12$3.0036.9%10.6%49.4%43.5%36.5%-3.5%2.5%102.1K-6.1M-28.5K0.5815.352,3601,38061,98031,620
2011-03-14$3.10$3.0039.1%11.2%48.4%49.3%39.0%-4.9%-0.3%91.9K-5.7M-28.2K1.7910.377801,40063,15031,120
2011-03-15$3.11$3.0039.3%11.3%47.5%49.8%39.1%-3.9%0.3%86.2K-6.0M-28.2K0.0465.843,23012063,18031,970
2011-03-16$2.96$3.0039.1%11.2%50.1%49.3%39.0%4.3%0.7%22.9K-2.4M-27.3K0.5429.471,32071062,29031,910
2011-03-17$2.93$3.0038.4%11.0%49.2%47.4%38.1%1.8%1.3%27.6K-654.0K-25.2K0.4379.335,8502,49062,46031,720
2011-03-18$3.03$3.0040.8%11.7%51.0%53.8%40.4%-6.5%-1.1%-49.3K-4.7M-28.6K0.3442.778,2102,81064,11033,300
2011-03-21$3.10$3.0037.8%10.8%51.7%45.9%37.7%-2.0%1.0%183.8K-5.5M-30.8K0.1015.779409050,98025,230
2011-03-22$3.07$3.0036.5%10.5%50.3%42.4%36.5%-2.0%0.2%178.9K-5.0M-30.0K0.1859.612,64048051,33025,230
2011-03-23$3.10$3.0036.6%10.5%48.5%42.6%35.7%15.7%0.6%187.8K-5.4M-30.1K0.0170.304,2406052,72025,540
2011-03-24$3.11$3.0035.2%10.1%37.9%38.8%35.3%-2.0%0.6%210.7K-5.8M-31.6K0.5417.151,02055055,53025,560
2011-03-25$3.08$3.0034.8%10.0%37.5%37.7%29.7%8.5%1.1%200.9K-5.5M-30.6K0.0081.90320055,79025,930
2011-03-28$3.10$3.0035.5%10.2%37.6%39.5%35.4%8.8%-0.9%204.2K-5.7M-29.7K0.4413.0436016055,89025,930
2011-03-29$3.10$3.0035.1%10.1%31.8%38.4%35.1%9.7%-0.2%200.5K-5.5M-29.2K0.0079.561,960056,02026,010
2011-03-30$3.15$3.0034.1%9.8%32.1%35.8%34.8%-0.6%-0.1%219.6K-6.5M-29.2K0.0879.591,33011056,18026,010
2011-03-31$3.11$3.0031.6%9.1%31.6%29.0%0.0%8.2%2.8%200.2K-5.9M-28.6K0.0069.52180056,03025,990