AVGO Options History — February 2012

In February 2012, AVGO traded between $3.43 and $3.76. ATM implied volatility averaged 37.0%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 10.4% (HV 20d: 26.6%). Max pain ranged from $3.50 to $3.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.51.

Notable Days

  • 2012-02-22: Highest Volume — 55,690 contracts
  • 2012-02-23: Largest IV drop — 28.9% change
  • 2012-02-21: Highest IV Rank — 42.1%
  • 2012-02-21: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.55$3.43$3.76$3.46$3.76
Max Pain$3.50$3.50$3.50$3.50$3.50
ATM IV37.0%28.6%46.6%31.2%28.6%
Expected Move11.0%8.2%13.4%8.9%8.2%
HV 20d26.6%17.2%35.4%35.2%25.6%
HV 60d35.2%33.5%37.7%37.4%33.8%
IV Rank22.7%5.9%42.1%11.1%5.9%
IV Percentile37.3%3.2%77.8%7.5%3.2%
Term Structure-2.2%-7.0%6.8%6.8%-0.5%
VWIV39.1%28.4%46.7%31.2%41.2%
Skew 25d4.3%-0.1%7.4%0.5%1.0%
Skew 10d7.3%0.0%16.4%2.2%3.6%
Call IV 25d35.8%25.8%43.6%25.8%29.9%
Put IV 25d40.0%26.2%48.4%26.2%30.9%
Bid-Ask Spread %55.7914.3682.9514.3650.68
Gamma HHI0.610.440.770.600.64
Net GEX746.3K453.8K1.8M520.8K558.6K
Net DEX-11.8M-19.2M-7.4M-7.8M-16.7M
Net VEX-48.7K-63.1K-37.5K-38.4K-57.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.022.940.030.21
Total Volume11,648.570055,6905,7801,510
Total OI126,59886,840176,60086,840176,470

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$3.46$3.5031.2%8.9%35.2%11.1%31.2%0.5%6.8%520.8K-7.8M-38.4K0.0314.365,63015063,81023,030
2012-02-02$3.50$3.5032.0%9.2%33.8%12.8%32.1%4.5%5.8%578.7K-9.5M-40.8K0.1370.083,15041067,55023,060
2012-02-03$3.51$3.5029.9%10.7%33.7%8.4%35.8%4.8%-1.3%623.6K-9.7M-40.5K0.0432.432,35010067,95022,920
2012-02-06$3.43$3.5031.9%10.9%35.4%12.6%42.3%7.4%-1.7%592.3K-7.4M-37.5K0.9456.3436034068,58022,980
2012-02-07$3.46$3.5031.4%11.3%28.7%11.5%39.4%5.9%-3.1%636.3K-8.0M-37.6K0.0253.825,6709068,56023,320
2012-02-08$3.49$3.5031.3%11.1%28.6%11.3%39.3%3.8%-1.4%730.9K-9.8M-40.1K0.0441.3011,79049073,16023,390
2012-02-09$3.51$3.5040.1%11.5%28.3%29.0%40.6%4.8%-2.0%781.5K-10.7M-41.4K0.6675.147,4904,91076,06023,710
2012-02-10$3.45$3.5039.7%11.4%29.3%28.3%39.8%4.8%-1.7%813.1K-9.0M-44.1K1.2933.602,4203,12081,87028,440
2012-02-13$3.48$3.5043.7%12.5%29.2%36.3%43.7%4.3%-5.5%930.8K-9.8M-44.1K0.4544.5213,0105,81082,68030,020
2012-02-14$3.45$3.5044.3%12.7%29.6%37.5%44.1%6.0%-5.7%778.3K-7.8M-46.7K0.0765.4511,22073089,77034,630
2012-02-15$3.50$3.5044.1%12.7%17.2%37.2%43.6%6.5%-5.4%1.0M-11.3M-50.5K0.1869.762,27040096,42035,210
2012-02-16$3.59$3.5045.7%13.1%18.5%40.3%46.0%6.3%-7.0%1.0M-16.5M-49.9K0.1570.906,73098097,33035,530
2012-02-17$3.52$3.5045.1%12.9%19.9%39.0%44.9%5.9%-5.8%1.8M-15.1M-50.4K0.1144.8633,0203,670101,21036,260
2012-02-21$3.55$3.5046.6%13.4%19.8%42.1%46.7%5.3%-6.8%636.7K-11.8M-53.6K0.3464.964,0401,37097,79028,420
2012-02-22$3.59$3.5045.0%12.9%20.1%38.9%46.1%4.8%-6.2%690.1K-13.9M-56.0K2.9464.3014,15041,540100,46029,450
2012-02-23$3.72$3.5032.0%9.2%23.1%12.6%32.4%-0.1%-2.4%765.4K-19.2M-63.1K0.6826.9719,08012,940108,19066,990
2012-02-24$3.63$3.5030.8%8.8%25.2%10.2%28.4%2.2%1.3%453.8K-11.8M-63.1K0.2882.043,08086099,46075,500
2012-02-27$3.70$3.5033.4%9.6%25.6%15.5%32.4%2.9%-0.9%530.4K-14.8M-60.6K0.2871.312,700750101,27075,330
2012-02-28$3.70$3.5032.7%9.4%25.3%14.2%31.8%3.5%-0.5%522.4K-14.7M-58.4K1.4682.951,8902,75099,81075,370
2012-02-29$3.76$3.5028.6%8.2%25.6%5.9%41.2%1.0%-0.5%558.6K-16.7M-57.0K0.2150.681,25026099,10077,370