AVGO Options History — July 2011

In July 2011, AVGO traded between $3.36 and $3.91. ATM implied volatility averaged 34.9%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 2.7% (HV 20d: 37.6%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2011-07-28: Highest Volume — 24,820 contracts
  • 2011-07-12: Largest IV spike — 35.3% change
  • 2011-07-29: Highest IV Rank — 47.2%
  • 2011-07-29: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.64$3.36$3.91$3.87$3.36
Max Pain$3.42$3.00$3.50$3.00$3.50
ATM IV34.9%25.7%38.6%34.4%38.6%
Expected Move10.2%9.3%11.1%9.8%11.1%
HV 20d37.6%32.8%45.1%36.3%45.1%
HV 60d39.6%37.8%43.7%38.2%43.7%
IV Rank37.2%11.9%47.2%35.6%47.2%
IV Percentile54.7%0.8%88.1%43.3%88.1%
Term Structure3.3%-1.2%5.0%-1.2%4.2%
VWIV35.3%33.2%38.6%34.4%38.6%
Skew 25d3.2%-3.7%13.5%1.7%8.3%
Skew 10d6.1%-5.5%21.9%4.9%16.2%
Call IV 25d33.5%28.7%38.6%32.9%34.0%
Put IV 25d36.6%30.9%42.4%34.7%42.4%
Bid-Ask Spread %73.3132.2287.0232.2282.42
Gamma HHI0.510.310.940.480.36
Net GEX690.7K33.4K2.7M782.7K33.4K
Net DEX-13.4M-30.0M270.6K-27.1M270.6K
Net VEX-39.0K-52.7K-31.6K-38.3K-52.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.043.210.040.07
Total Volume7,471.51,55024,8207,4308,710
Total OI116,761.565,620166,800141,620112,230

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$3.87$3.0034.4%9.8%36.3%35.6%34.4%1.7%-1.2%782.7K-27.1M-38.3K0.0432.227,15028097,52044,100
2011-07-05$3.90$3.0035.1%9.8%35.2%37.7%34.1%4.3%1.6%904.5K-29.1M-32.5K0.0983.565,560520101,21044,140
2011-07-06$3.91$3.0035.0%9.4%34.9%37.3%33.8%2.9%4.0%873.2K-30.0M-31.6K0.3482.714,2701,470103,98043,700
2011-07-07$3.87$3.5033.3%9.8%34.2%32.6%34.2%2.8%3.7%901.3K-28.0M-34.0K0.2651.938,7902,270103,81044,510
2011-07-08$3.80$3.5025.7%9.3%34.7%11.9%34.2%7.4%4.3%814.0K-22.9M-34.5K1.0154.843,3403,38097,69046,000
2011-07-11$3.74$3.5027.2%10.7%34.8%16.1%33.2%5.4%3.3%280.7K-22.3M-32.1K0.7187.025,2603,75099,94048,400
2011-07-12$3.54$3.5036.8%10.5%40.5%42.4%36.0%3.7%4.2%1.4M-13.3M-39.8K0.5773.317,2904,180103,09049,940
2011-07-13$3.54$3.5035.4%10.3%39.9%38.4%36.0%5.8%2.9%1.8M-14.8M-39.9K0.2066.256,9101,390109,20051,090
2011-07-14$3.52$3.5035.8%10.3%39.2%39.6%36.1%0.6%4.0%2.7M-14.8M-41.6K0.2168.932,950620114,28051,650
2011-07-15$3.55$3.5036.2%10.4%39.2%40.7%35.6%3.9%3.9%2.0M-21.3M-37.9K0.3073.402,750830114,58052,220
2011-07-18$3.50$3.5037.7%10.8%38.2%44.7%36.4%2.5%2.5%105.3K-3.6M-36.4K0.8174.322,3201,89039,14026,480
2011-07-19$3.62$3.5036.6%10.5%39.7%41.9%35.2%5.7%4.1%133.2K-5.3M-38.3K0.8479.241,8501,55041,18028,060
2011-07-20$3.61$3.5035.7%10.2%37.6%39.3%35.2%-3.7%3.4%132.8K-5.2M-39.0K0.7573.261,6901,26042,44029,070
2011-07-21$3.68$3.5035.2%10.1%32.8%37.9%35.2%-0.2%2.4%149.0K-6.1M-39.9K0.1473.505,51075043,74030,140
2011-07-22$3.71$3.5034.6%9.9%32.8%36.1%34.2%1.4%3.2%197.1K-7.5M-41.2K1.3172.1967088048,23030,720
2011-07-25$3.61$3.5035.5%10.2%34.2%38.7%35.0%-1.9%2.8%182.8K-6.0M-41.3K3.2183.334301,38048,75031,480
2011-07-26$3.67$3.5034.5%9.9%34.6%36.1%34.6%-0.5%5.0%183.3K-6.7M-40.9K0.9483.356,3405,99048,87032,150
2011-07-27$3.36$3.5036.8%10.6%43.6%42.4%36.0%-0.2%4.4%102.4K-1.3M-42.5K0.9886.995,2605,17052,48036,580
2011-07-28$3.46$3.5038.5%11.0%44.4%46.9%38.6%13.5%3.8%144.3K-3.4M-45.5K2.1983.457,78017,04055,27037,170
2011-07-29$3.36$3.5038.6%11.1%45.1%47.2%38.6%8.3%4.2%33.4K270.6K-52.7K0.0782.428,11060059,81052,420