AVGO Options History — April 2012

In April 2012, AVGO traded between $3.27 and $3.87. ATM implied volatility averaged 30.2%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 2.6% (HV 20d: 27.6%). Max pain ranged from $3.50 to $4.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.82.

Notable Days

2012-04-25: Highest Volume — 59,270 contracts
2012-04-10: Largest IV spike — 39.3% change
2012-04-10: Highest IV Rank — 18.9%
2012-04-10: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.63	$3.27	$3.87	$3.87	$3.45
Max Pain	$3.63	$3.50	$4.00	$3.50	$3.50
ATM IV	30.2%	24.4%	34.0%	25.5%	30.1%
Expected Move	8.7%	7.2%	10.0%	7.3%	8.6%
HV 20d	27.6%	19.9%	41.5%	19.9%	40.2%
HV 60d	27.1%	23.3%	31.3%	28.5%	31.1%
IV Rank	11.0%	0.0%	18.9%	0.4%	11.2%
IV Percentile	14.9%	0.0%	34.9%	0.8%	11.9%
Term Structure	3.4%	0.5%	7.7%	2.5%	5.9%
VWIV	29.9%	25.5%	40.9%	25.5%	30.1%
Skew 25d	4.4%	-4.6%	11.3%	-4.6%	-0.3%
Skew 10d	9.8%	-2.8%	22.9%	-2.8%	1.4%
Call IV 25d	27.1%	20.9%	32.5%	24.5%	25.1%
Put IV 25d	31.6%	19.9%	37.0%	19.9%	24.8%
Bid-Ask Spread %	53.13	18.70	81.81	18.70	81.31
Gamma HHI	0.65	0.31	0.87	0.87	0.40
Net GEX	240.3K	-506.7K	1.0M	1.0M	-33.9K
Net DEX	-4.0M	-11.7M	6.3M	-11.7M	749.6K
Net VEX	-26.4K	-43.1K	-14.5K	-32.1K	-37.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.82	0.00	27.83	0.25	0.11
Total Volume	9,709	360	59,270	2,610	2,500
Total OI	111,740	40,570	129,590	127,020	87,210

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
2012-04-02	$3.87	$3.50	25.5%	7.3%	19.9%	0.4%	25.5%	-4.6%	2.5%	1.0M	-11.7M	-32.1K	0.25	18.70	2,090	520	72,500	54,520
2012-04-03	$3.84	$3.50	25.9%	7.4%	20.2%	1.2%	25.9%	3.0%	2.4%	894.3K	-10.3M	-31.4K	0.57	39.33	460	260	72,540	54,890
2012-04-04	$3.74	$3.50	31.3%	9.0%	22.4%	12.2%	30.3%	-2.2%	2.9%	551.0K	-7.2M	-29.6K	1.19	40.82	630	750	72,760	55,140
2012-04-05	$3.76	$3.50	25.1%	7.2%	21.6%	0.0%	26.6%	6.2%	0.5%	610.7K	-7.6M	-28.5K	0.00	58.86	390	0	72,760	55,820
2012-04-09	$3.76	$4.00	24.4%	8.3%	21.5%	0.0%	30.2%	1.7%	2.2%	585.8K	-7.3M	-26.1K	0.13	53.16	320	40	72,770	55,820
2012-04-10	$3.68	$4.00	34.0%	10.0%	22.8%	18.9%	27.9%	8.6%	1.9%	299.4K	-5.3M	-24.6K	0.52	43.06	1,450	750	72,560	55,800
2012-04-11	$3.75	$4.00	33.4%	9.7%	21.5%	17.6%	28.7%	6.0%	1.4%	511.1K	-6.9M	-23.9K	0.52	40.19	310	160	72,250	56,160
2012-04-12	$3.81	$4.00	29.2%	8.4%	21.7%	9.5%	30.8%	4.8%	2.7%	858.3K	-8.7M	-22.9K	3.36	25.73	670	2,250	72,120	56,030
2012-04-13	$3.73	$4.00	33.1%	9.5%	22.5%	17.2%	40.9%	5.3%	3.3%	403.1K	-6.3M	-22.5K	27.83	38.32	950	26,440	71,910	56,240
2012-04-16	$3.71	$3.50	33.7%	9.7%	22.5%	18.2%	29.5%	5.5%	2.3%	165.0K	-5.5M	-19.7K	0.10	73.80	1,470	140	71,730	57,280
2012-04-17	$3.77	$3.50	30.8%	8.8%	23.5%	12.5%	28.6%	6.1%	3.9%	279.0K	-7.0M	-17.2K	0.00	44.57	640	0	72,180	57,360
2012-04-18	$3.75	$3.50	34.0%	9.7%	23.6%	18.8%	27.6%	6.6%	0.8%	107.9K	-6.6M	-16.4K	0.02	58.55	930	20	72,230	57,360
2012-04-19	$3.57	$3.50	31.8%	9.1%	28.8%	14.5%	32.1%	5.5%	2.8%	-506.7K	-3.9M	-17.1K	0.62	35.79	3,220	1,990	72,100	57,340
2012-04-20	$3.43	$3.50	32.0%	9.2%	31.6%	14.8%	34.0%	4.5%	2.4%	-317.0K	6.3M	-14.5K	3.69	41.65	7,060	26,040	71,710	57,210
2012-04-23	$3.32	$3.50	31.4%	9.0%	32.7%	13.7%	32.0%	7.8%	3.5%	-18.1K	1.0M	-20.5K	4.14	50.92	2,430	10,070	20,050	20,520
2012-04-24	$3.27	$3.50	29.5%	8.5%	31.4%	10.1%	29.6%	5.5%	7.1%	-105.8K	3.2M	-23.0K	0.86	78.55	11,910	10,190	21,510	28,170
2012-04-25	$3.50	$3.50	29.0%	8.3%	41.5%	8.9%	29.0%	4.1%	7.7%	-190.4K	817.1K	-34.8K	0.27	81.30	46,580	12,690	32,500	38,030
2012-04-26	$3.51	$3.50	28.1%	8.1%	41.2%	7.2%	28.0%	3.6%	7.2%	-160.6K	131.3K	-43.1K	0.48	76.29	1,160	560	45,590	48,560
2012-04-27	$3.46	$3.50	30.7%	8.8%	40.9%	12.4%	30.7%	11.3%	5.5%	-149.2K	1.7M	-41.7K	11.71	81.81	1,270	14,870	45,030	48,540
2012-04-30	$3.45	$3.50	30.1%	8.6%	40.2%	11.2%	30.1%	-0.3%	5.9%	-33.9K	749.6K	-37.6K	0.11	81.31	2,250	250	45,250	41,960