AVGO Options History — December 2011

In December 2011, AVGO traded between $2.75 and $3.12. ATM implied volatility averaged 38.7%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 1.3% (HV 20d: 37.4%). Max pain ranged from $3.00 to $3.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.22.

Notable Days

  • 2011-12-02: Highest Volume — 276,810 contracts
  • 2011-12-02: Largest IV drop — 26.6% change
  • 2011-12-01: Highest IV Rank — 67.5%
  • 2011-12-01: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.95$2.75$3.12$2.99$2.89
Max Pain$3.00$3.00$3.00$3.00$3.00
ATM IV38.7%31.8%57.8%57.8%34.8%
Expected Move11.1%9.1%16.6%16.6%10.0%
HV 20d37.4%32.4%40.9%40.7%39.1%
HV 60d38.2%35.8%40.9%40.1%37.8%
IV Rank30.6%16.5%67.5%67.5%22.4%
IV Percentile48.7%9.5%93.3%93.3%32.1%
Term Structure3.2%-7.6%7.6%-7.6%4.1%
VWIV38.2%31.8%59.1%59.1%34.8%
Skew 25d5.1%-7.3%14.8%11.9%7.3%
Skew 10d9.6%-8.0%24.9%19.3%13.3%
Call IV 25d36.6%26.0%56.0%56.0%32.0%
Put IV 25d41.7%26.5%67.9%67.9%39.2%
Bid-Ask Spread %48.8012.2881.3055.7720.75
Gamma HHI0.430.260.590.470.43
Net GEX364.5K-169.2K1.6M1.0M161.5K
Net DEX-574.4K-21.9M15.7M-12.1M1.4M
Net VEX-55.4K-122.2K-25.4K-75.1K-27.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.220.0124.120.170.18
Total Volume27,402.381580276,81030,3303,720
Total OI257,431.429124,470454,020301,360129,810

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$2.99$3.0057.8%16.6%40.7%67.5%59.1%11.9%-7.6%1.0M-12.1M-75.1K0.1755.7725,9904,340234,09067,270
2011-12-02$3.12$3.0042.4%12.2%38.8%39.1%42.5%-1.2%-0.4%1.3M-21.9M-74.6K0.1976.11232,97043,840241,85069,250
2011-12-05$3.10$3.0042.9%12.3%38.8%40.0%41.2%4.4%2.0%1.6M-20.6M-122.2K0.3460.286,4802,190344,360109,660
2011-12-06$3.08$3.0042.2%11.8%38.6%38.7%41.2%4.1%2.4%1.3M-15.8M-113.2K0.6460.291,9901,270334,200110,150
2011-12-07$3.12$3.0041.1%11.8%39.0%36.7%34.1%4.8%3.0%759.7K-10.0M-107.5K0.5218.724,2102,170289,810111,280
2011-12-08$3.07$3.0040.6%11.7%36.5%35.6%39.7%4.0%3.0%508.4K-5.3M-99.3K17.3463.3488015,260288,730111,130
2011-12-09$3.06$3.0038.8%11.3%36.6%32.4%39.6%-7.3%3.3%165.3K-2.1M-93.9K0.1371.501,560200289,400123,170
2011-12-12$2.95$3.0040.5%11.6%35.4%33.2%39.8%5.8%2.6%-101.8K9.6M-77.5K0.3633.53122,92044,430289,130123,150
2011-12-13$2.92$3.0040.8%11.6%33.9%33.8%40.8%5.8%2.6%-169.2K9.2M-43.9K0.4144.812,9501,210193,93086,700
2011-12-14$2.87$3.0040.9%11.4%34.1%34.0%39.8%5.7%3.1%-113.0K12.2M-37.2K0.5437.95590320194,00087,270
2011-12-15$2.86$3.0040.4%11.6%33.3%33.1%40.3%4.2%2.6%18.5K15.2M-32.7K0.1165.071,710180193,59087,290
2011-12-16$2.88$3.0038.5%11.0%32.4%29.5%38.5%4.1%3.8%51.5K15.7M-31.8K24.1260.241,45034,980193,79087,370
2011-12-19$2.75$3.0037.7%10.8%32.4%27.9%37.6%2.6%2.6%72.2K3.1M-25.4K0.0243.833,2906092,27032,200
2011-12-20$2.88$3.0035.2%10.1%36.6%23.2%34.6%10.7%3.9%123.9K1.6M-30.3K0.0159.361,7202092,63032,260
2011-12-21$2.79$3.0034.4%9.9%38.3%21.7%34.4%6.9%4.4%85.7K2.8M-25.6K0.2216.7954012092,91032,260
2011-12-22$2.90$3.0033.7%9.6%40.7%20.2%33.7%14.8%7.6%128.9K1.4M-29.8K0.0125.486,8908092,64032,220
2011-12-23$2.94$3.0032.3%9.3%40.3%17.5%32.7%13.2%5.7%202.3K326.8K-31.6K0.0981.305305096,93032,200
2011-12-27$2.93$3.0033.8%9.7%40.3%20.3%33.7%2.7%5.3%201.8K398.4K-30.3K0.6477.651,10070096,94032,210
2011-12-28$2.87$3.0033.0%9.4%40.9%18.8%33.3%5.4%5.9%152.3K1.7M-26.9K0.5539.7751028096,68032,340
2011-12-29$2.91$3.0031.8%9.1%39.0%16.5%31.8%-2.8%7.5%167.1K1.2M-27.7K0.1312.281,55020096,57032,420
2011-12-30$2.89$3.0034.8%10.0%39.1%22.4%34.8%7.3%4.1%161.5K1.4M-27.4K0.1820.753,16056097,19032,620