AVGO Options History — June 2011

In June 2011, AVGO traded between $3.25 and $3.80. ATM implied volatility averaged 32.5%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 11.3% (HV 20d: 43.9%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 3.08.

Notable Days

  • 2011-06-28: Highest Volume — 26,570 contracts
  • 2011-06-09: Largest IV spike — 25.6% change
  • 2011-06-17: Highest IV Rank — 42.5%
  • 2011-06-17: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.45$3.25$3.80$3.38$3.80
Max Pain$3.09$3.00$3.50$3.50$3.00
ATM IV32.5%26.1%36.9%31.8%26.1%
Expected Move9.5%7.5%10.6%9.1%7.5%
HV 20d43.9%35.9%48.9%48.9%36.1%
HV 60d37.6%36.1%39.5%38.1%38.6%
IV Rank30.6%13.0%42.5%28.7%13.0%
IV Percentile26.8%1.2%65.1%15.5%1.2%
Term Structure2.5%-0.7%4.7%1.7%-0.7%
VWIV34.5%30.8%37.8%32.0%30.8%
Skew 25d7.3%-10.9%40.4%-5.3%0.0%
Skew 10d19.3%-6.2%69.4%-4.2%4.4%
Call IV 25d28.7%20.4%34.9%30.4%31.6%
Put IV 25d36.0%22.2%64.8%25.1%31.6%
Bid-Ask Spread %59.2115.2888.5416.3774.95
Gamma HHI0.680.490.900.660.49
Net GEX443.3K265.7K930.1K288.8K735.1K
Net DEX-9.4M-25.5M-3.0M-6.5M-25.5M
Net VEX-41.0K-47.7K-33.2K-47.7K-36.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.080.0031.580.050.17
Total Volume7,206.36422026,5701,0706,300
Total OI120,796.36499,480147,640119,490136,910

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$3.38$3.5031.8%9.1%48.9%28.7%32.0%-5.3%1.7%288.8K-6.5M-47.7K0.0516.371,0205073,64045,850
2011-06-02$3.35$3.5029.6%8.5%48.9%22.7%33.7%-10.9%1.5%279.5K-5.3M-46.9K0.1278.274205074,37045,900
2011-06-03$3.39$3.0034.6%9.6%48.5%36.4%0.0%9.8%4.6%312.1K-6.3M-46.8K0.0077.57220074,47045,900
2011-06-06$3.33$3.0030.7%9.5%45.3%25.6%34.8%8.0%4.6%303.8K-4.7M-43.3K0.2456.7355013074,47045,900
2011-06-07$3.40$3.0032.5%9.9%45.7%30.4%35.1%10.7%3.1%308.8K-7.1M-44.8K0.5255.5950026074,68046,010
2011-06-08$3.34$3.0027.2%9.4%45.8%16.0%33.2%8.6%4.7%306.5K-4.7M-42.5K0.3165.496,3601,99074,89046,150
2011-06-09$3.42$3.0034.2%9.8%46.8%35.1%34.3%10.3%3.5%318.9K-7.7M-45.3K0.0743.331,2308075,32048,140
2011-06-10$3.38$3.0034.0%9.7%46.4%34.6%35.4%9.3%3.6%302.6K-5.6M-43.8K1.0257.651,6501,68075,49048,060
2011-06-13$3.35$3.0035.0%10.0%46.5%37.4%37.8%6.2%2.5%299.1K-4.0M-41.2K2.3518.488802,07076,28049,740
2011-06-14$3.42$3.0033.5%9.6%46.8%33.2%33.6%9.8%4.1%265.7K-6.6M-42.0K0.0133.651,3601074,93051,240
2011-06-15$3.36$3.0032.8%9.4%47.3%31.3%35.7%7.0%4.4%409.1K-3.0M-38.8K4.4131.075602,47074,19051,240
2011-06-16$3.34$3.0034.4%9.9%47.2%35.8%37.8%5.7%3.3%346.7K-3.1M-37.6K31.5883.443109,79074,17048,840
2011-06-17$3.25$3.0036.9%10.6%47.9%42.5%0.0%1.7%3.8%279.2K-3.0M-37.8K1.9483.3036070073,77045,140
2011-06-20$3.27$3.0032.1%9.2%47.9%29.5%37.3%4.8%3.9%336.7K-5.0M-36.7K2.0567.732,8205,79062,23037,890
2011-06-21$3.41$3.0033.2%9.5%42.7%32.5%33.8%9.2%2.1%537.0K-9.0M-36.4K5.9015.289805,78064,62036,210
2011-06-22$3.60$3.0034.2%9.8%46.1%35.3%34.9%17.3%0.4%603.3K-14.6M-33.2K0.4886.4916,9808,23064,80034,680
2011-06-23$3.58$3.0033.8%9.7%35.9%34.1%33.8%16.2%0.1%754.8K-15.4M-36.5K0.0288.544,46011072,40035,180
2011-06-24$3.55$3.0033.2%9.5%36.0%32.4%33.4%40.4%0.8%930.1K-15.1M-37.5K7.8781.102,42019,04076,82035,090
2011-06-27$3.54$3.5033.0%9.5%35.9%31.9%33.0%6.7%1.3%627.1K-12.9M-44.8K8.4782.791,90016,09077,88052,930
2011-06-28$3.69$3.5033.8%9.7%36.0%34.1%33.9%-0.7%3.0%359.6K-17.8M-43.0K0.0957.6024,4202,15079,19068,450
2011-06-29$3.77$3.0029.4%8.4%36.4%22.0%34.7%-3.9%-0.7%847.3K-23.4M-37.9K0.0847.125,89048090,44043,020
2011-06-30$3.80$3.0026.1%7.5%36.1%13.0%30.8%0.0%-0.7%735.1K-25.5M-36.7K0.1774.955,37093093,56043,350