AVGO Options History — October 2011

In October 2011, AVGO traded between $3.19 and $3.58. ATM implied volatility averaged 47.5%, placing in the 48.6% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 7.8% (HV 20d: 39.8%). Max pain ranged from $3.50 to $3.50. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 3.87.

Notable Days

  • 2011-10-04: Highest Volume — 82,890 contracts
  • 2011-10-04: Largest IV drop — 16.8% change
  • 2011-10-03: Highest IV Rank — 100.0%
  • 2011-10-03: Largest Expected Move — 21.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.39$3.19$3.58$3.19$3.38
Max Pain$3.50$3.50$3.50$3.50$3.50
ATM IV47.5%39.0%75.3%75.3%41.9%
Expected Move13.9%11.2%21.6%21.6%12.0%
HV 20d39.8%34.0%47.5%47.4%34.0%
HV 60d57.4%53.6%59.1%59.0%53.6%
IV Rank48.6%32.7%100.0%100.0%38.1%
IV Percentile81.3%67.1%100.0%100.0%75.4%
Term Structure2.5%-11.1%7.0%-11.1%6.0%
VWIV49.2%39.6%68.0%68.0%43.4%
Skew 25d8.6%3.0%23.0%23.0%13.7%
Skew 10d17.0%-5.2%48.5%48.5%20.8%
Call IV 25d44.5%32.0%58.9%53.1%35.1%
Put IV 25d53.1%44.9%76.1%76.1%48.8%
Bid-Ask Spread %44.4117.0682.4368.6017.06
Gamma HHI0.400.300.630.370.40
Net GEX-36.9K-405.2K258.5K-73.0K223.7K
Net DEX-2.3M-17.8M9.1M2.9M-5.2M
Net VEX-64.8K-87.7K-56.6K-71.0K-57.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.870.0342.205.230.98
Total Volume17,833.3332,75082,89011,4005,520
Total OI208,845.238135,550268,080207,690141,380

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$3.19$3.5075.3%21.6%47.4%100.0%68.0%23.0%-11.1%-73.0K2.9M-71.0K5.2368.601,8309,570101,610106,080
2011-10-04$3.23$3.5062.6%17.9%47.5%76.5%59.8%9.8%5.5%-121.0K3.9M-67.9K9.6182.437,81075,080101,160105,910
2011-10-05$3.26$3.5058.6%16.8%45.5%69.0%62.4%11.6%-0.5%-405.2K9.1M-87.7K0.8858.613,1202,73098,650157,860
2011-10-06$3.29$3.5054.1%15.5%45.5%60.8%59.9%4.6%1.1%-164.2K3.0M-67.7K42.2072.3690037,980100,720112,010
2011-10-07$3.29$3.5049.4%15.1%44.6%52.0%52.7%7.7%1.7%-351.7K5.9M-77.0K0.0367.347,950220101,140141,230
2011-10-10$3.37$3.5046.6%14.7%43.3%46.9%52.5%8.3%1.2%-29.0K-1.2M-58.8K5.6143.471,91010,710107,31095,100
2011-10-11$3.33$3.5046.5%14.8%42.6%46.7%51.3%6.7%0.2%-176.4K2.3M-59.0K0.9957.996,4706,400108,100104,190
2011-10-12$3.37$3.5045.7%14.5%35.4%45.2%50.7%7.3%1.6%-119.6K-816.3K-60.3K0.2647.925,5101,450113,370102,530
2011-10-13$3.41$3.5047.7%13.7%35.8%48.8%50.3%7.2%2.4%-119.1K-2.6M-58.8K1.0441.3824,35025,300111,180102,750
2011-10-14$3.57$3.5044.5%12.8%40.0%42.9%44.6%6.7%3.2%-80.6K-12.5M-68.7K0.7820.0223,16018,130127,530115,850
2011-10-17$3.51$3.5045.5%13.0%39.4%44.8%45.1%6.9%3.2%-187.2K-9.1M-72.3K3.5422.271,9606,940141,380125,890
2011-10-18$3.58$3.5044.2%12.7%39.2%42.4%44.6%5.7%3.9%-135.4K-17.8M-67.5K5.3521.352,15011,500143,070125,010
2011-10-19$3.46$3.5044.6%12.8%40.9%43.1%44.5%5.7%3.2%-125.5K-5.0M-68.2K0.3024.492,990890144,210122,290
2011-10-20$3.40$3.5045.0%12.9%36.0%43.9%45.3%3.0%3.5%-38.8K6.3M-59.9K0.3646.7719,3206,970143,500122,020
2011-10-21$3.38$3.5043.8%12.5%34.9%41.5%45.1%6.5%3.1%-34.8K5.1M-59.5K0.5446.406,3503,440138,850117,440
2011-10-24$3.54$3.5041.2%11.8%37.6%36.8%41.2%8.0%6.0%239.7K-9.2M-61.0K0.2540.385,6401,42075,48063,790
2011-10-25$3.44$3.5041.0%11.8%38.6%36.4%44.0%6.8%3.0%237.3K-7.4M-61.3K0.8757.631,9801,73078,84063,910
2011-10-26$3.38$3.5040.3%11.5%35.9%35.0%44.2%6.6%3.4%204.0K-5.5M-60.5K0.2140.833,09066079,09064,100
2011-10-27$3.38$3.5039.0%11.2%35.8%32.7%39.6%12.9%4.1%222.8K-5.4M-59.5K0.2222.332,26049081,84063,830
2011-10-28$3.36$3.5041.1%11.8%35.6%36.5%43.4%11.1%7.0%258.5K-4.8M-56.6K2.1032.876,01012,61081,83053,720
2011-10-31$3.38$3.5041.9%12.0%34.0%38.1%43.4%13.7%6.0%223.7K-5.2M-57.9K0.9817.062,7902,73080,62060,760