AVGO Options History — May 2011

In May 2011, AVGO traded between $3.17 and $3.59. ATM implied volatility averaged 34.9%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 0.5% (HV 20d: 35.4%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.47.

Notable Days

  • 2011-05-25: Highest Volume — 35,780 contracts
  • 2011-05-25: Largest IV drop — 19.3% change
  • 2011-05-24: Highest IV Rank — 63.3%
  • 2011-05-24: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.42$3.17$3.59$3.31$3.38
Max Pain$3.19$3.00$3.50$3.00$3.50
ATM IV34.9%30.1%44.5%32.4%32.1%
Expected Move10.2%8.6%12.7%9.3%9.2%
HV 20d35.4%28.2%50.2%31.8%50.2%
HV 60d37.7%32.7%39.6%39.6%38.5%
IV Rank37.1%23.9%63.3%30.3%29.5%
IV Percentile38.5%7.5%92.5%19.0%19.4%
Term Structure1.0%-3.3%7.8%3.0%2.2%
VWIV35.3%29.6%42.8%32.5%32.3%
Skew 25d3.3%-8.8%10.9%4.3%5.1%
Skew 10d6.6%-13.2%18.9%6.4%10.1%
Call IV 25d32.8%24.6%41.7%32.5%30.6%
Put IV 25d36.0%24.5%42.2%36.8%35.7%
Bid-Ask Spread %76.2930.9795.0691.5381.17
Gamma HHI0.800.560.870.810.56
Net GEX483.1K220.4K709.9K423.4K220.4K
Net DEX-9.5M-14.7M-3.8M-8.4M-3.8M
Net VEX-38.5K-49.9K-35.1K-36.8K-39.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.0011.610.802.36
Total Volume6,841.90537035,78063013,300
Total OI88,514.28673,010114,92073,010102,610

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$3.31$3.0032.4%9.3%31.8%30.3%32.5%4.3%3.0%423.4K-8.4M-36.8K0.8091.5335028060,62012,390
2011-05-03$3.22$3.0036.0%10.3%31.9%40.2%40.0%8.0%6.3%381.9K-7.1M-35.2K4.2992.507030060,67012,770
2011-05-04$3.25$3.0032.1%9.2%29.8%29.4%30.7%8.0%7.8%378.4K-7.0M-35.1K0.1095.063,69037060,64013,070
2011-05-05$3.32$3.0030.1%8.6%28.2%23.9%30.6%5.3%6.0%424.7K-8.3M-36.7K0.0293.051,4803061,23013,340
2011-05-06$3.49$3.0034.5%10.6%32.7%36.1%36.2%0.9%0.4%498.6K-11.6M-38.3K0.4451.202,4601,08062,12013,340
2011-05-09$3.55$3.0033.6%10.8%33.0%33.6%37.8%2.4%-1.5%527.0K-12.8M-37.3K0.2750.582,26060062,20013,360
2011-05-10$3.58$3.0031.5%10.4%32.6%27.9%36.0%2.0%-0.3%542.9K-13.7M-36.6K0.1681.688,2501,36062,63013,260
2011-05-11$3.59$3.0033.1%10.6%30.3%32.0%35.1%1.9%-1.8%651.7K-14.7M-37.7K0.0566.761,83010067,51014,400
2011-05-12$3.51$3.0035.1%10.1%31.9%37.6%34.8%-8.8%0.0%698.4K-13.0M-37.8K0.9487.878,0607,60068,24014,420
2011-05-13$3.49$3.0034.1%9.8%30.4%34.9%34.6%2.4%0.2%640.5K-12.1M-38.8K11.6181.312803,25070,15020,060
2011-05-16$3.43$3.0036.6%10.5%31.0%41.8%36.6%2.8%-1.3%556.4K-9.5M-37.5K2.8983.0718052070,31022,990
2011-05-17$3.43$3.5036.4%10.4%30.9%41.2%36.3%7.6%-0.5%545.4K-8.2M-36.4K0.8370.8095079070,41023,220
2011-05-18$3.46$3.5035.5%10.2%31.0%38.8%29.6%10.9%0.2%633.2K-9.2M-36.4K0.0087.44590070,36023,720
2011-05-19$3.48$3.5036.2%10.4%30.0%40.6%36.2%1.3%-0.3%709.9K-10.2M-36.1K1.3483.638,63011,53070,30023,720
2011-05-20$3.44$3.5036.3%10.4%30.5%40.9%36.5%1.9%-1.6%559.6K-7.4M-36.9K0.0878.544,07031071,88030,060
2011-05-23$3.20$3.5040.9%11.7%40.0%53.5%40.7%1.1%0.1%286.4K-5.2M-35.4K0.2279.147,8701,73060,50023,190
2011-05-24$3.17$3.0044.5%12.7%40.2%63.3%42.8%0.5%-3.3%294.9K-5.3M-38.3K0.3875.886,8702,59067,01024,470
2011-05-25$3.45$3.0035.9%10.3%49.2%39.8%35.7%10.2%-0.3%525.2K-11.9M-42.4K3.1960.138,53027,25071,97025,870
2011-05-26$3.47$3.5033.7%9.7%48.8%33.8%33.6%0.5%1.5%327.1K-9.5M-49.9K0.3130.972,23069071,75043,120
2011-05-27$3.50$3.5032.0%9.2%48.6%29.1%31.9%-0.2%3.3%319.9K-10.4M-49.0K0.6179.6884051071,50043,420
2011-05-31$3.38$3.5032.1%9.2%50.2%29.5%32.3%5.1%2.2%220.4K-3.8M-39.2K2.3681.173,9609,34059,30043,310