AVGO Options History — May 2012

In May 2012, AVGO traded between $3.00 and $3.48. ATM implied volatility averaged 39.4%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 2.8% (HV 20d: 42.2%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.45.

Notable Days

  • 2012-05-23: Highest Volume — 34,070 contracts
  • 2012-05-04: Largest IV spike — 37.8% change
  • 2012-05-22: Highest IV Rank — 50.3%
  • 2012-05-22: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.20$3.00$3.48$3.45$3.31
Max Pain$3.20$3.00$3.50$3.50$3.00
ATM IV39.4%28.5%50.0%28.8%34.0%
Expected Move11.4%8.2%14.3%8.3%9.7%
HV 20d42.2%38.1%46.0%40.2%45.9%
HV 60d33.7%30.7%37.1%31.1%37.1%
IV Rank29.4%8.1%50.3%8.6%18.7%
IV Percentile52.3%7.9%82.9%8.7%34.1%
Term Structure-1.2%-6.7%6.8%6.8%-0.0%
VWIV39.1%28.5%49.4%28.8%34.1%
Skew 25d3.9%-5.7%10.2%-0.3%9.0%
Skew 10d9.5%-9.3%20.7%1.3%15.5%
Call IV 25d37.6%23.8%48.6%24.8%34.6%
Put IV 25d41.6%23.0%51.6%24.5%43.6%
Bid-Ask Spread %55.2019.0079.5579.0619.00
Gamma HHI0.460.320.650.410.59
Net GEX76.0K-382.0K544.5K-36.6K455.8K
Net DEX3.0M-8.3M9.7M834.6K-5.6M
Net VEX-37.3K-52.0K-27.4K-37.2K-51.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.001.420.271.03
Total Volume9,75535034,0709505,290
Total OI111,203.63687,600129,05087,600129,050

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$3.45$3.5028.8%8.3%40.2%8.6%28.8%-0.3%6.8%-36.6K834.6K-37.2K0.2779.0675020045,64041,960
2012-05-02$3.48$3.5028.5%8.2%40.5%8.1%28.5%1.8%6.8%-34.2K-82.7K-37.1K0.2478.284,1601,01045,78041,860
2012-05-03$3.34$3.5028.7%8.2%42.0%8.5%28.6%-5.7%6.7%-23.5K4.0M-34.4K0.2379.221,19027049,48042,240
2012-05-04$3.16$3.5039.6%12.3%45.0%29.8%42.4%-0.0%-3.3%-10.1K6.7M-27.4K1.4268.304,0905,81050,11042,500
2012-05-07$3.13$3.5041.6%12.4%44.9%33.9%41.6%4.8%-3.7%-42.5K7.8M-28.4K0.8240.699,1707,50052,21047,830
2012-05-08$3.15$3.5041.0%12.5%45.1%32.5%40.3%4.6%-3.9%-46.9K7.6M-33.2K0.0335.0910,67029058,21054,060
2012-05-09$3.11$3.5041.0%12.6%44.1%32.7%40.9%5.1%-3.3%-57.9K8.6M-30.1K0.2040.453507056,64054,060
2012-05-10$3.09$3.5044.1%12.6%42.9%38.6%0.0%4.4%-4.0%-54.8K9.0M-28.8K0.6729.3621014056,92053,990
2012-05-11$3.09$3.5044.2%12.7%42.9%39.0%44.3%4.6%-4.0%-49.3K9.1M-28.0K0.1146.046207057,11054,090
2012-05-14$3.11$3.0045.8%13.1%43.2%42.1%44.7%4.2%-4.5%-30.7K8.7M-28.1K0.2548.586,6501,64057,71054,140
2012-05-15$3.10$3.0045.4%13.0%42.1%41.2%44.8%2.9%-3.7%-10.5K8.3M-31.2K0.9746.746,4806,26062,84054,420
2012-05-16$3.08$3.0045.4%13.0%42.1%41.3%43.4%-4.6%-3.1%-46.2K9.0M-33.1K0.2354.891,63037067,82059,930
2012-05-17$3.01$3.0045.4%13.0%39.9%41.1%45.0%1.7%-3.3%-109.7K9.5M-30.1K0.9471.501,7101,60068,05058,350
2012-05-18$3.00$3.0045.4%13.0%38.1%41.3%45.3%2.1%-3.5%-382.0K9.7M-29.5K0.0259.3316,42039068,66058,820
2012-05-21$3.09$3.0046.0%13.2%39.0%42.4%46.0%3.8%-4.1%69.3K1.2M-37.2K0.4048.088,9503,61065,17035,150
2012-05-22$3.13$3.0050.0%14.3%39.0%50.3%49.4%3.0%-6.7%131.4K-357.7K-43.3K0.3858.367,7702,92071,79037,000
2012-05-23$3.35$3.0035.9%10.3%39.4%22.6%39.8%10.2%-0.4%353.2K-5.4M-47.6K0.8151.0418,79015,28072,67037,810
2012-05-24$3.25$3.0034.8%10.0%40.6%20.3%35.4%7.4%1.5%265.3K-3.4M-50.1K0.2762.6712,0103,25080,14041,400
2012-05-25$3.31$3.0033.0%9.5%41.2%16.9%30.0%8.2%1.5%359.6K-4.8M-50.7K0.0279.5528,50043079,00038,470
2012-05-29$3.44$3.0032.0%9.2%43.7%14.8%31.9%9.5%1.5%544.5K-8.3M-50.9K0.0064.4612,6102078,57038,620
2012-05-30$3.31$3.0035.4%10.2%46.0%21.7%36.0%9.1%-0.1%428.8K-5.6M-52.0K0.7153.603,2002,26087,61038,600
2012-05-31$3.31$3.0034.0%9.7%45.9%18.7%34.1%9.0%-0.0%455.8K-5.6M-51.9K1.0319.002,6102,68088,70040,350