AVGO Options History — August 2011

In August 2011, AVGO traded between $2.72 and $3.32. ATM implied volatility averaged 54.3%, placing in the 75.6% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded below realized volatility by 11.4% (HV 20d: 65.7%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.57.

Notable Days

  • 2011-08-23: Highest Volume — 53,700 contracts
  • 2011-08-05: Largest IV spike — 28.6% change
  • 2011-08-05: Highest IV Rank — 100.0%
  • 2011-08-23: Largest Expected Move — 19.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.07$2.72$3.32$3.32$3.31
Max Pain$3.48$3.00$3.50$3.50$3.50
ATM IV54.3%34.2%68.2%40.5%46.2%
Expected Move15.6%9.8%19.5%11.6%13.3%
HV 20d65.7%44.3%79.0%44.3%77.6%
HV 60d50.8%42.9%56.2%43.6%55.9%
IV Rank75.6%35.2%100.0%52.3%53.1%
IV Percentile94.6%42.5%100.0%93.7%91.7%
Term Structure-1.9%-11.5%23.4%3.2%2.4%
VWIV53.4%29.2%72.1%40.7%45.0%
Skew 25d6.0%1.0%13.4%4.6%11.8%
Skew 10d10.1%-6.3%32.7%13.3%12.6%
Call IV 25d52.1%37.8%67.1%37.8%41.5%
Put IV 25d58.1%42.4%80.5%42.4%53.3%
Bid-Ask Spread %72.7437.0092.4483.6337.00
Gamma HHI0.380.240.600.290.43
Net GEX79.9K-101.8K365.6K76.7K144.7K
Net DEX3.1M-7.2M10.9M820.5K-7.2M
Net VEX-48.2K-59.1K-33.2K-52.3K-58.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.042.970.730.23
Total Volume9,168.2611,14053,7003,3305,200
Total OI147,941.304110,150172,690117,740172,690

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$3.32$3.5040.5%11.6%44.3%52.3%40.7%4.6%3.2%76.7K820.5K-52.3K0.7383.631,9201,41064,86052,880
2011-08-02$3.21$3.5034.2%9.8%44.9%35.2%29.2%1.8%23.4%36.2K2.9M-49.3K2.9784.694,34012,88065,14054,130
2011-08-03$3.28$3.5039.5%11.3%46.2%49.6%40.6%3.7%3.8%-34.9K4.4M-56.5K0.3383.261,26042066,61066,640
2011-08-04$3.09$3.5046.4%13.3%49.5%68.6%35.5%1.8%5.6%-77.8K7.2M-48.9K0.8288.551,3601,12066,09064,830
2011-08-05$2.93$3.5059.7%15.8%51.5%100.0%52.6%5.9%-8.0%-74.7K8.4M-45.5K0.6685.172,0601,36066,92065,190
2011-08-08$2.72$3.5065.3%18.3%56.2%100.0%60.3%3.0%-8.3%-74.8K10.9M-34.8K0.3792.441,26046067,24065,800
2011-08-09$2.96$3.5055.0%16.4%64.9%76.7%56.9%1.6%-2.9%-101.8K9.8M-41.0K0.0989.053,48032067,33066,040
2011-08-10$2.92$3.5054.1%17.3%64.8%74.6%62.2%5.1%-5.2%-61.3K8.3M-43.8K0.0476.4724,1101,08069,96065,760
2011-08-11$3.07$3.5059.9%17.2%68.0%87.7%59.6%7.8%-6.8%230.1K2.6M-51.9K0.1481.231,00014092,00066,470
2011-08-12$3.10$3.5057.8%16.6%68.1%82.8%55.6%2.0%-5.3%246.9K1.5M-51.4K0.6782.501,23083092,25066,470
2011-08-15$3.16$3.5057.6%16.5%68.6%82.4%55.8%4.8%-5.6%234.9K52.7K-49.6K0.2269.624,37095092,55066,790
2011-08-16$3.10$3.5057.5%16.5%67.2%82.3%57.5%7.7%-5.3%295.1K2.1M-47.7K0.1776.021,20021092,37067,250
2011-08-17$3.07$3.5057.6%16.5%67.2%82.5%55.4%3.8%-4.0%365.6K2.4M-46.1K0.3978.331,63064093,09067,210
2011-08-18$2.86$3.5062.4%17.9%69.9%93.4%61.5%1.0%-4.9%217.7K9.8M-37.9K0.2084.853,03060093,65067,010
2011-08-19$2.83$3.5062.8%18.0%69.4%94.4%63.8%9.2%-2.4%-62.4K10.4M-35.5K0.4853.631,95094095,23067,010
2011-08-22$2.76$3.5066.1%19.0%69.4%100.0%70.7%6.7%-5.6%-52.1K8.6M-33.2K0.6051.148,0304,80051,51058,640
2011-08-23$2.93$3.5068.2%19.5%73.1%100.0%72.1%13.4%-11.5%-52.2K6.5M-40.0K0.4356.1337,51016,19058,47061,720
2011-08-24$3.23$3.0055.6%15.9%77.2%73.1%50.5%11.5%-1.0%86.2K-3.6M-54.3K0.1268.5837,8504,68088,49075,290
2011-08-25$3.09$3.5055.9%16.0%77.6%73.7%52.5%8.9%-3.1%124.2K-563.9K-59.1K1.8348.631,3602,49095,60075,180
2011-08-26$3.15$3.5053.3%15.3%77.6%68.1%52.0%5.0%-4.3%130.0K-1.0M-56.5K1.0476.472,1902,27095,46074,370
2011-08-29$3.29$3.5046.8%13.4%79.0%54.3%51.3%7.7%1.3%128.9K-5.6M-57.6K0.2067.943,21064096,28074,380
2011-08-30$3.31$3.5046.5%13.3%78.0%53.8%47.2%10.0%0.8%111.9K-6.9M-57.8K0.2657.655,4701,42095,79074,010
2011-08-31$3.31$3.5046.2%13.3%77.6%53.1%45.0%11.8%2.4%144.7K-7.2M-58.3K0.2337.004,23097098,97073,720