AVGO Options History — March 2012

In March 2012, AVGO traded between $3.53 and $3.90. ATM implied volatility averaged 30.9%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 4.2% (HV 20d: 26.6%). Max pain ranged from $3.50 to $3.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.07.

Notable Days

  • 2012-03-14: Highest Volume — 34,370 contracts
  • 2012-03-15: Largest IV drop — 46.5% change
  • 2012-03-14: Highest IV Rank — 56.1%
  • 2012-03-06: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.75$3.53$3.90$3.73$3.90
Max Pain$3.50$3.50$3.50$3.50$3.50
ATM IV30.9%25.3%53.5%31.6%25.3%
Expected Move8.2%7.2%9.6%9.1%7.2%
HV 20d26.6%23.2%29.5%25.4%23.4%
HV 60d31.1%28.3%34.0%33.0%28.4%
IV Rank10.5%0.0%56.1%11.8%0.0%
IV Percentile15.0%0.0%86.9%9.9%0.4%
Term Structure3.2%1.2%6.0%1.2%2.4%
VWIV29.1%25.6%33.5%30.0%26.4%
Skew 25d3.5%-0.4%5.7%3.3%5.5%
Skew 10d8.7%-1.9%24.5%6.9%9.7%
Call IV 25d27.1%23.3%31.7%26.7%23.3%
Put IV 25d30.6%28.6%35.9%30.0%28.9%
Bid-Ask Spread %47.8021.4278.9054.8026.13
Gamma HHI0.710.400.920.620.87
Net GEX628.7K373.2K1.0M544.7K1.0M
Net DEX-11.7M-18.5M-5.4M-15.5M-12.8M
Net VEX-42.4K-55.4K-35.3K-54.8K-35.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.008.210.270.47
Total Volume5,940.45540034,3701,6302,550
Total OI151,345.909111,950185,720176,050127,340

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$3.73$3.5031.6%9.1%25.4%11.8%30.0%3.3%1.2%544.7K-15.5M-54.8K0.2754.801,28035098,54077,510
2012-03-02$3.66$3.5029.6%8.5%26.5%7.9%29.6%-0.4%1.6%492.6K-12.0M-55.4K0.2863.5285024098,12077,580
2012-03-05$3.54$3.5031.2%9.0%29.1%11.1%29.6%4.0%3.6%387.5K-6.1M-52.5K0.7038.0969048098,42077,610
2012-03-06$3.53$3.5033.7%9.6%27.7%16.0%33.5%4.2%3.3%373.2K-5.4M-51.8K0.9149.131,9901,82098,64077,560
2012-03-07$3.58$3.5033.1%9.4%27.9%14.9%32.4%3.3%2.8%445.6K-8.3M-51.8K0.5350.247,0503,77099,73077,360
2012-03-08$3.64$3.5032.7%9.0%28.5%14.0%30.5%2.9%3.9%470.6K-12.0M-49.3K0.4378.901,050450100,74079,980
2012-03-09$3.68$3.5032.0%9.1%28.5%12.6%30.5%-0.4%3.6%577.1K-15.4M-48.7K0.3829.69290110105,34080,330
2012-03-12$3.66$3.5037.2%8.8%27.6%23.1%30.5%3.9%4.1%583.6K-14.6M-44.9K1.2023.302,1502,580105,30080,420
2012-03-13$3.76$3.5044.9%9.0%28.9%38.8%31.4%3.5%4.7%601.4K-18.5M-44.7K0.5843.7313,3707,820103,61081,670
2012-03-14$3.71$3.5053.5%8.4%29.3%56.1%27.2%3.3%6.0%537.0K-15.2M-42.0K0.0347.2833,48089099,29080,670
2012-03-15$3.78$3.5028.6%8.2%29.5%5.8%27.6%4.2%6.0%507.2K-13.0M-38.2K0.0075.082,500083,14079,790
2012-03-16$3.79$3.5027.2%7.8%28.4%3.1%28.0%2.6%4.6%562.7K-13.4M-37.6K0.0547.755,43025082,96079,460
2012-03-19$3.81$3.5026.6%7.6%27.4%1.7%28.3%3.6%2.2%616.1K-9.6M-35.6K0.8460.4243036063,89048,060
2012-03-20$3.80$3.5026.4%7.6%27.4%1.4%28.3%3.6%2.9%623.6K-9.5M-35.9K0.1737.5876013064,06048,120
2012-03-21$3.84$3.5025.9%7.4%27.3%0.3%26.6%3.6%2.8%709.5K-10.6M-35.9K0.1669.601,01016064,74048,150
2012-03-22$3.79$3.5027.1%7.8%25.0%2.8%30.2%4.1%2.6%629.7K-9.5M-36.0K8.2159.348206,73065,27048,130
2012-03-23$3.81$3.5028.1%8.0%23.2%4.7%28.1%2.6%1.2%630.1K-9.6M-36.5K0.0057.9114,3502065,10052,040
2012-03-26$3.88$3.5026.5%7.6%23.3%1.7%28.3%4.7%2.5%1.0M-13.3M-39.1K0.9238.521,2601,16077,02052,040
2012-03-27$3.88$3.5026.2%7.5%23.3%1.0%29.4%5.7%2.6%948.5K-12.5M-36.6K4.2552.761,2205,19072,77051,440
2012-03-28$3.80$3.5025.3%7.2%24.2%0.0%25.6%5.1%3.4%727.9K-9.3M-35.3K2.9021.429802,84072,52055,570
2012-03-29$3.83$3.5026.3%7.6%24.2%2.2%27.7%4.0%2.4%812.7K-10.4M-35.6K0.2426.461,47036072,31057,270
2012-03-30$3.90$3.5025.3%7.2%23.4%0.0%26.4%5.5%2.4%1.0M-12.8M-35.5K0.4726.131,74081072,52054,820