AVGO Options History — January 2012

In January 2012, AVGO traded between $2.83 and $3.41. ATM implied volatility averaged 35.0%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 3.9% (HV 20d: 38.9%). Max pain ranged from $2.50 to $3.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.39.

Notable Days

2012-01-24: Highest Volume — 32,350 contracts
2012-01-09: Largest IV spike — 14.5% change
2012-01-18: Highest IV Rank — 27.9%
2012-01-18: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.20	$2.83	$3.41	$2.90	$3.39
Max Pain	$2.98	$2.50	$3.50	$3.00	$3.50
ATM IV	35.0%	30.8%	39.5%	34.9%	33.5%
Expected Move	10.3%	9.1%	11.3%	10.0%	9.6%
HV 20d	38.9%	35.0%	46.6%	35.7%	35.0%
HV 60d	38.9%	37.5%	40.5%	37.7%	38.6%
IV Rank	20.4%	12.3%	27.9%	22.6%	15.7%
IV Percentile	31.5%	7.9%	59.5%	32.5%	19.8%
Term Structure	3.2%	1.1%	6.5%	2.7%	4.8%
VWIV	36.1%	31.8%	43.4%	34.9%	33.2%
Skew 25d	6.1%	-6.7%	17.8%	-4.9%	7.3%
Skew 10d	11.9%	-5.7%	24.7%	-2.6%	14.3%
Call IV 25d	31.6%	25.0%	36.1%	32.2%	29.7%
Put IV 25d	37.7%	25.4%	43.3%	27.3%	37.0%
Bid-Ask Spread %	45.75	17.00	77.92	57.50	22.43
Gamma HHI	0.53	0.37	0.82	0.49	0.58
Net GEX	299.9K	92.9K	924.5K	164.0K	436.6K
Net DEX	-3.8M	-10.6M	2.9M	1.5M	-6.2M
Net VEX	-29.8K	-37.7K	-21.9K	-26.4K	-37.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.01	1.82	0.14	0.01
Total Volume	5,543.5	230	32,350	1,620	1,240
Total OI	112,065.5	56,760	135,450	129,930	85,760

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-01-03	$2.90	$3.00	34.9%	10.0%	35.7%	22.6%	34.9%	-4.9%	2.7%	164.0K	1.5M	-26.4K	0.14	57.50	1,420	200	97,130	32,800
2012-01-04	$2.85	$3.00	33.7%	9.7%	36.1%	20.3%	33.9%	-6.7%	5.0%	138.9K	2.4M	-23.4K	0.05	58.15	430	20	96,550	32,750
2012-01-05	$2.85	$3.00	31.9%	9.1%	36.1%	16.8%	31.9%	-6.4%	6.5%	141.3K	2.5M	-23.1K	0.15	49.76	200	30	96,950	32,770
2012-01-06	$2.83	$2.50	30.8%	10.5%	35.5%	14.7%	39.4%	8.6%	2.8%	128.2K	2.9M	-21.9K	1.82	54.52	400	730	96,990	32,620
2012-01-09	$3.02	$2.50	35.2%	11.0%	43.0%	23.2%	43.4%	17.8%	1.4%	242.0K	-1.1M	-28.4K	0.55	59.38	4,760	2,610	97,280	33,320
2012-01-10	$3.06	$2.50	33.1%	10.9%	43.3%	19.1%	35.5%	6.2%	1.2%	255.5K	-2.1M	-29.3K	0.45	62.09	1,700	770	98,820	34,630
2012-01-11	$3.12	$2.50	33.4%	10.9%	41.3%	19.6%	37.9%	4.4%	2.2%	274.1K	-3.8M	-29.7K	0.79	27.98	2,200	1,740	99,210	34,580
2012-01-12	$3.17	$2.50	37.4%	10.7%	41.3%	27.2%	34.9%	-0.1%	2.3%	284.0K	-4.7M	-29.7K	0.14	34.31	2,070	280	98,830	34,410
2012-01-13	$3.16	$2.50	38.4%	11.0%	40.6%	25.6%	35.7%	1.0%	1.6%	269.1K	-4.6M	-28.8K	0.23	77.59	220	50	98,510	34,160
2012-01-17	$3.17	$2.50	38.4%	11.0%	40.5%	25.5%	38.6%	5.8%	2.1%	220.1K	-5.0M	-26.9K	0.47	76.08	1,270	600	98,650	34,210
2012-01-18	$3.39	$2.50	39.5%	11.3%	46.6%	27.9%	40.2%	10.2%	1.1%	924.5K	-10.6M	-31.9K	0.36	77.92	18,300	6,520	99,150	34,420
2012-01-19	$3.36	$2.50	38.7%	11.1%	42.9%	26.3%	40.0%	11.2%	1.4%	391.6K	-8.6M	-27.4K	1.80	18.04	3,130	5,630	100,280	32,350
2012-01-20	$3.38	$3.50	37.4%	10.7%	40.8%	23.5%	38.8%	10.2%	2.3%	383.7K	-8.1M	-28.6K	0.05	33.63	2,390	110	98,650	36,800
2012-01-23	$3.37	$3.50	37.7%	10.8%	38.2%	24.1%	37.7%	10.7%	2.5%	92.9K	-3.1M	-27.7K	0.07	17.00	1,750	120	35,200	21,560
2012-01-24	$3.39	$3.50	34.0%	9.7%	36.6%	16.6%	34.0%	10.3%	4.4%	109.2K	-3.5M	-28.6K	0.01	20.02	32,100	250	36,700	21,680
2012-01-25	$3.40	$3.50	33.0%	9.5%	36.6%	14.8%	33.4%	9.0%	4.8%	352.3K	-5.7M	-35.5K	0.05	25.43	4,580	240	55,140	21,670
2012-01-26	$3.41	$3.50	33.0%	9.5%	36.5%	14.8%	33.0%	10.2%	4.7%	384.4K	-6.2M	-36.0K	0.05	71.12	8,250	440	57,230	21,730
2012-01-27	$3.40	$3.50	31.8%	9.1%	35.2%	12.3%	31.8%	8.9%	5.6%	409.0K	-6.0M	-37.5K	0.67	21.70	1,470	980	60,830	22,170
2012-01-30	$3.37	$3.50	34.4%	9.9%	35.6%	17.5%	34.4%	8.6%	4.0%	396.4K	-5.7M	-37.2K	0.01	50.31	1,650	20	61,790	23,030
2012-01-31	$3.39	$3.50	33.5%	9.6%	35.0%	15.7%	33.2%	7.3%	4.8%	436.6K	-6.2M	-37.7K	0.01	22.43	1,230	10	62,740	23,020