AVGO Options History — September 2011

In September 2011, AVGO traded between $3.11 and $3.73. ATM implied volatility averaged 52.9%, placing in the 67.3% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded below realized volatility by 5.7% (HV 20d: 58.6%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.72.

Notable Days

  • 2011-09-14: Highest Volume — 140,840 contracts
  • 2011-09-15: Largest IV spike — 29.0% change
  • 2011-09-26: Highest IV Rank — 84.9%
  • 2011-09-26: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.41$3.11$3.73$3.16$3.28
Max Pain$3.19$3.00$3.50$3.50$3.50
ATM IV52.9%39.4%61.1%54.8%60.2%
Expected Move15.4%13.7%17.5%15.7%17.3%
HV 20d58.6%46.6%76.6%76.6%46.6%
HV 60d57.7%56.4%58.9%56.6%58.9%
IV Rank67.3%38.6%84.9%71.3%83.0%
IV Percentile92.6%82.1%98.0%94.0%97.2%
Term Structure-0.8%-3.4%2.0%0.6%0.6%
VWIV53.5%45.3%63.4%52.7%61.5%
Skew 25d7.7%-0.9%19.9%7.3%10.6%
Skew 10d14.6%-5.8%33.1%3.0%17.9%
Call IV 25d49.9%35.9%58.8%46.3%58.8%
Put IV 25d57.6%48.0%69.4%53.6%69.4%
Bid-Ask Spread %68.8941.6888.5871.9354.24
Gamma HHI0.460.330.550.460.36
Net GEX166.1K-46.1K308.4K170.1K-46.1K
Net DEX-7.7M-22.6M1.4M-2.4M1.4M
Net VEX-50.7K-76.0K-42.8K-54.2K-76.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.0112.050.391.36
Total Volume20,299.0482,380140,8404,6805,860
Total OI153,977.61992,150206,650173,890206,650

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$3.16$3.5054.8%15.7%76.6%71.3%52.7%7.3%0.6%170.1K-2.4M-54.2K0.3971.933,3601,32099,38074,510
2011-09-02$3.11$3.5052.6%15.1%74.3%66.8%52.0%-0.9%-0.4%205.6K-963.3K-53.7K0.5361.102,0101,070102,01074,760
2011-09-06$3.15$3.0057.8%16.1%68.1%77.9%56.0%5.9%-2.9%191.2K-1.1M-50.2K0.1673.612,400390101,22074,460
2011-09-07$3.27$3.0053.7%14.0%62.8%69.2%48.7%17.3%1.4%158.5K-5.5M-51.9K0.0180.726,67040101,66074,420
2011-09-08$3.31$3.0048.5%14.0%62.4%57.9%49.2%3.0%0.6%154.4K-7.2M-52.3K0.0478.252,280100103,36074,420
2011-09-09$3.23$3.0060.9%15.7%61.2%84.3%51.7%6.5%-2.6%212.6K-4.0M-49.2K2.7461.322,3906,560104,10074,460
2011-09-12$3.35$3.0045.4%15.5%62.4%51.3%54.8%19.9%-2.4%171.6K-8.0M-47.5K0.1788.585,8701,010103,47073,640
2011-09-13$3.43$3.0042.2%14.4%62.6%44.4%50.2%5.0%1.6%8.7K-11.2M-48.1K0.2175.294,080870105,38073,330
2011-09-14$3.66$3.0039.4%14.6%65.2%38.6%50.2%4.5%-0.9%66.3K-22.6M-45.8K0.0157.11139,990850103,38072,680
2011-09-15$3.67$3.0050.9%14.6%64.9%63.0%51.4%6.0%-0.8%92.9K-16.6M-45.4K0.2571.523,90097087,31073,020
2011-09-16$3.65$3.0049.8%14.3%58.2%60.8%50.3%4.4%-0.4%186.3K-16.2M-44.7K0.1941.684,21080085,62073,850
2011-09-19$3.73$3.0050.3%14.4%57.6%61.8%50.0%2.8%2.0%265.4K-12.6M-42.8K3.9254.112,2508,81064,01028,140
2011-09-20$3.63$3.0047.8%13.7%58.0%56.4%45.3%6.6%-1.4%265.6K-10.9M-43.3K0.0458.5811,53043064,95029,320
2011-09-21$3.60$3.0049.6%14.2%56.2%60.2%47.8%5.8%-1.6%305.0K-11.0M-45.5K0.0874.8023,1001,88072,49029,720
2011-09-22$3.40$3.0055.1%15.8%50.9%72.1%54.3%11.7%-2.6%308.4K-8.0M-46.9K1.9873.6812,05023,89083,31029,560
2011-09-23$3.48$3.5058.3%16.7%48.3%78.8%59.4%9.6%-1.6%240.9K-8.3M-54.2K8.7572.482,13018,63086,92043,790
2011-09-26$3.41$3.5061.1%17.5%48.8%84.9%62.9%10.5%-3.0%89.6K-4.4M-56.7K0.0575.004,62021086,90060,070
2011-09-27$3.45$3.5059.4%17.0%46.9%81.2%56.4%9.5%-3.4%140.8K-6.1M-55.2K0.0181.774,2505088,55056,160
2011-09-28$3.30$3.5055.7%16.0%49.6%73.4%56.1%7.4%-1.4%84.1K-2.0M-51.1K3.1571.3610,48032,96090,43056,160
2011-09-29$3.32$3.5057.3%16.4%49.6%76.7%63.4%7.8%1.9%217.3K-4.5M-50.5K12.0569.515,52066,49097,82048,140
2011-09-30$3.28$3.5060.2%17.3%46.6%83.0%61.5%10.6%0.6%-46.1K1.4M-76.0K1.3654.242,4803,380100,760105,890