AVGO Options History — November 2011

In November 2011, AVGO traded between $2.84 and $3.47. ATM implied volatility averaged 47.1%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 8.1% (HV 20d: 39.1%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2011-11-29: Highest Volume — 108,150 contracts
  • 2011-11-03: Largest IV spike — 11.7% change
  • 2011-11-30: Highest IV Rank — 63.4%
  • 2011-11-30: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.18$2.84$3.47$3.30$2.99
Max Pain$3.14$3.00$3.50$3.50$3.00
ATM IV47.1%38.6%55.6%44.8%55.6%
Expected Move13.8%11.8%15.9%12.8%15.9%
HV 20d39.1%34.9%42.5%34.9%40.7%
HV 60d45.4%40.3%51.3%51.3%40.9%
IV Rank47.8%31.9%63.4%43.5%63.4%
IV Percentile80.9%63.5%90.1%78.6%90.1%
Term Structure-1.9%-8.3%4.0%4.0%-8.3%
VWIV48.1%42.3%55.2%48.1%54.6%
Skew 25d8.9%4.4%17.8%4.4%8.7%
Skew 10d13.3%-5.9%26.6%-4.0%14.0%
Call IV 25d44.6%36.2%54.3%46.0%54.3%
Put IV 25d53.5%48.4%62.9%50.4%62.9%
Bid-Ask Spread %56.6622.2083.8647.3474.38
Gamma HHI0.440.320.670.370.49
Net GEX146.6K-1.3M1.0M161.3K1.0M
Net DEX-1.2M-11.8M9.1M-2.8M-11.8M
Net VEX-53.3K-74.9K-40.6K-57.4K-74.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.043.870.620.10
Total Volume15,894.762800108,1506,9109,410
Total OI180,164.286145,610297,990145,610297,990

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$3.30$3.5044.8%12.8%34.9%43.5%48.1%4.4%4.0%161.3K-2.8M-57.4K0.6247.344,2602,65082,90062,710
2011-11-02$3.26$3.5041.0%11.8%35.1%36.4%45.4%6.2%2.9%157.0K-2.3M-58.1K1.5322.209601,47085,95062,540
2011-11-03$3.43$3.5045.8%13.1%39.5%45.3%45.7%12.2%4.0%253.5K-7.0M-61.7K1.3831.494,1805,76086,81063,770
2011-11-04$3.44$3.0043.3%13.8%39.5%40.7%52.0%7.3%-2.6%293.1K-7.6M-60.7K3.8753.976802,63086,79061,600
2011-11-07$3.46$3.0041.9%14.1%38.7%38.0%49.5%4.4%-3.3%347.3K-8.2M-57.0K0.1130.812,53027086,95061,470
2011-11-08$3.47$3.0038.6%13.4%38.5%31.9%42.3%7.6%-2.7%432.0K-9.3M-56.5K0.1170.703,91042088,03061,590
2011-11-09$3.32$3.0041.6%13.1%41.7%37.5%44.6%8.8%-0.3%260.1K-3.8M-54.2K0.2379.361,81041090,34061,580
2011-11-10$3.31$3.0045.3%13.0%41.4%44.4%45.4%6.8%-0.4%264.6K-2.9M-51.8K0.9737.611,5301,48090,29061,630
2011-11-11$3.43$3.0044.5%12.8%39.7%42.9%46.8%8.2%-1.0%509.6K-7.6M-53.7K0.0857.353,36026090,46060,250
2011-11-14$3.31$3.5046.6%13.4%41.1%46.9%47.0%7.4%-0.9%289.5K-3.2M-48.5K0.0632.657,40044090,48060,260
2011-11-15$3.30$3.5047.1%13.5%40.1%47.7%47.3%8.8%-2.3%225.4K-1.8M-43.8K0.2775.084,1601,11096,82060,340
2011-11-16$3.21$3.5050.1%14.4%39.5%53.3%46.5%8.4%-3.0%115.3K-113.2K-40.6K0.4957.4070,80035,04097,09061,390
2011-11-17$3.12$3.0051.6%14.8%40.1%56.1%46.7%7.1%-3.3%-14.8K1.9M-66.5K0.3961.1811,3904,430157,08094,170
2011-11-18$2.99$3.0048.9%14.0%42.5%51.0%47.4%6.5%-1.0%-1.3M9.1M-57.4K0.9651.9710,3109,850155,38093,500
2011-11-21$2.94$3.0050.6%14.5%38.2%54.2%49.2%7.0%-1.8%51.7K4.3M-51.5K0.2256.363,140680129,12061,820
2011-11-22$2.94$3.0049.5%14.2%37.8%52.3%47.5%8.7%-1.9%34.4K4.5M-49.9K0.0557.582,210110130,85061,860
2011-11-23$2.90$3.0047.1%13.5%37.6%47.7%47.1%9.2%-2.5%-48.0K6.2M-43.5K0.0483.8611,710440128,85060,980
2011-11-25$2.84$3.0050.6%14.5%37.7%54.3%50.0%15.2%-3.6%12.1K6.0M-44.3K0.1861.55680120137,76061,290
2011-11-28$2.86$3.0050.6%14.5%38.0%54.3%51.5%16.7%-4.5%-16.9K6.1M-42.5K0.4973.362,4401,200138,31061,410
2011-11-29$2.89$3.0055.0%15.8%38.2%62.3%55.2%17.8%-7.0%44.3K4.7M-45.3K0.0773.67100,8207,330139,31061,730
2011-11-30$2.99$3.0055.6%15.9%40.7%63.4%54.6%8.7%-8.3%1.0M-11.8M-74.9K0.1074.388,550860231,05066,940