AVGO Options History — April 2011

In April 2011, AVGO traded between $3.06 and $3.35. ATM implied volatility averaged 32.2%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 0.8% (HV 20d: 31.4%). Max pain ranged from $3.00 to $3.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.21.

Notable Days

2011-04-21: Highest Volume — 21,480 contracts
2011-04-04: Largest IV spike — 36.7% change
2011-04-15: Highest IV Rank — 42.4%
2011-04-15: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.21	$3.06	$3.35	$3.15	$3.35
Max Pain	$3.00	$3.00	$3.00	$3.00	$3.00
ATM IV	32.2%	26.1%	36.9%	26.1%	32.4%
Expected Move	9.5%	7.5%	10.6%	7.5%	9.3%
HV 20d	31.4%	28.5%	34.9%	32.1%	31.7%
HV 60d	40.6%	39.4%	41.6%	40.4%	39.7%
IV Rank	29.8%	14.1%	42.4%	14.1%	30.2%
IV Percentile	20.8%	1.6%	51.6%	2.8%	18.7%
Term Structure	4.0%	0.8%	14.7%	12.6%	2.6%
VWIV	32.7%	22.8%	35.2%	22.8%	33.2%
Skew 25d	2.6%	-0.8%	9.5%	9.5%	3.2%
Skew 10d	12.0%	-2.3%	45.1%	45.1%	7.0%
Call IV 25d	32.1%	20.5%	35.4%	20.5%	32.1%
Put IV 25d	34.6%	30.0%	44.4%	30.0%	35.2%
Bid-Ask Spread %	77.01	13.08	91.52	49.38	85.04
Gamma HHI	0.65	0.45	0.81	0.49	0.81
Net GEX	282.2K	188.7K	416.0K	215.9K	416.0K
Net DEX	-7.5M	-10.1M	-4.7M	-6.7M	-8.6M
Net VEX	-31.9K	-38.1K	-28.0K	-28.0K	-37.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.21	0.00	0.97	0.28	0.15
Total Volume	3,389.5	590	21,480	4,070	780
Total OI	77,851.5	55,350	93,220	82,120	72,400

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
2011-04-01	$3.15	$3.00	26.1%	7.5%	32.1%	14.1%	22.8%	9.5%	12.6%	215.9K	-6.7M	-28.0K	0.28	49.38	3,170	900	56,130	25,990
2011-04-04	$3.06	$3.00	35.6%	10.2%	32.6%	40.0%	35.2%	1.9%	2.8%	188.7K	-5.0M	-28.1K	0.24	77.45	950	230	56,690	25,700
2011-04-05	$3.17	$3.00	34.4%	10.3%	34.7%	36.5%	33.3%	4.4%	2.6%	231.2K	-7.3M	-28.2K	0.03	28.09	10,810	290	56,930	25,830
2011-04-06	$3.28	$3.00	31.9%	10.0%	33.0%	29.8%	34.5%	-0.8%	2.2%	333.7K	-9.8M	-32.4K	0.00	37.07	5,750	20	63,160	26,090
2011-04-07	$3.25	$3.00	31.9%	10.0%	33.2%	29.8%	34.6%	4.0%	3.3%	339.0K	-10.0M	-34.2K	0.41	13.08	740	300	66,730	26,040
2011-04-08	$3.26	$3.00	35.3%	8.4%	33.2%	38.2%	31.9%	3.1%	1.0%	351.0K	-10.1M	-33.8K	0.12	88.73	2,570	310	67,020	26,200
2011-04-11	$3.22	$3.00	27.5%	9.9%	33.3%	16.7%	34.1%	1.2%	3.3%	238.3K	-9.6M	-31.1K	0.00	87.19	1,360	0	66,400	26,050
2011-04-12	$3.14	$3.00	33.0%	10.1%	34.9%	31.9%	32.9%	0.0%	2.4%	259.6K	-8.0M	-30.6K	0.12	87.01	2,910	350	66,520	26,050
2011-04-13	$3.18	$3.00	28.1%	10.1%	29.6%	18.6%	34.3%	1.3%	2.5%	221.2K	-8.5M	-30.1K	0.69	88.88	350	240	64,360	25,910
2011-04-14	$3.11	$3.00	34.1%	9.8%	30.9%	35.0%	32.6%	-0.7%	3.3%	210.3K	-7.6M	-28.6K	0.10	88.68	4,480	460	64,490	25,910
2011-04-15	$3.17	$3.00	36.9%	10.6%	29.5%	42.4%	35.2%	9.0%	0.8%	215.0K	-7.6M	-29.4K	0.21	88.74	1,270	270	62,710	25,580
2011-04-18	$3.16	$3.00	35.2%	10.1%	28.7%	38.0%	34.5%	2.5%	2.9%	215.4K	-4.7M	-29.4K	0.97	91.52	690	670	43,960	11,390
2011-04-19	$3.18	$3.00	34.2%	9.8%	28.5%	35.2%	32.3%	2.0%	3.8%	222.3K	-4.9M	-29.2K	0.20	89.30	690	140	43,940	11,480
2011-04-20	$3.26	$3.00	30.0%	8.6%	29.5%	23.5%	33.2%	2.6%	4.1%	241.7K	-5.6M	-29.6K	0.38	89.80	1,250	470	43,990	11,620
2011-04-21	$3.26	$3.00	29.1%	8.3%	29.5%	21.1%	29.1%	3.9%	6.4%	250.6K	-5.9M	-29.8K	0.01	91.36	21,230	250	44,050	11,870
2011-04-25	$3.22	$3.00	34.8%	10.0%	29.7%	36.8%	0.0%	1.0%	4.3%	344.9K	-6.8M	-36.3K	0.25	88.72	810	200	58,370	12,120
2011-04-26	$3.23	$3.00	28.2%	8.1%	29.7%	18.7%	33.2%	0.8%	14.7%	345.9K	-6.7M	-35.9K	0.00	89.86	1,140	0	58,870	12,220
2011-04-27	$3.34	$3.00	31.6%	9.1%	31.5%	28.1%	32.0%	1.9%	3.4%	403.1K	-8.5M	-38.1K	0.07	90.89	1,050	70	59,890	12,220
2011-04-28	$3.29	$3.00	33.1%	9.5%	31.7%	32.3%	33.2%	0.4%	1.9%	400.7K	-8.3M	-37.7K	0.07	89.36	580	40	59,860	12,290
2011-04-29	$3.35	$3.00	32.4%	9.3%	31.7%	30.2%	33.2%	3.2%	2.6%	416.0K	-8.6M	-37.6K	0.15	85.04	680	100	60,110	12,290