AVGO Options History — June 2012

In June 2012, AVGO traded between $3.05 and $3.59. ATM implied volatility averaged 35.2%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 12.0% (HV 20d: 47.2%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.14.

Notable Days

  • 2012-06-08: Highest Volume — 17,720 contracts
  • 2012-06-07: Largest IV drop — 39.3% change
  • 2012-06-04: Highest IV Rank — 48.2%
  • 2012-06-01: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.38$3.05$3.59$3.10$3.59
Max Pain$3.48$3.00$3.50$3.00$3.50
ATM IV35.2%29.1%48.9%45.3%29.1%
Expected Move10.0%8.3%13.0%13.0%8.3%
HV 20d47.2%34.3%51.8%49.3%34.3%
HV 60d41.1%39.1%42.6%39.3%42.6%
IV Rank21.2%9.1%48.2%41.1%9.1%
IV Percentile33.7%9.9%81.0%71.0%9.9%
Term Structure3.0%-2.6%5.5%-2.6%3.6%
VWIV35.1%28.9%44.2%44.2%29.1%
Skew 25d9.4%4.3%26.3%12.8%26.3%
Skew 10d14.5%-1.9%52.2%14.9%52.2%
Call IV 25d29.7%19.0%38.2%30.1%19.0%
Put IV 25d39.1%34.1%46.1%42.9%45.3%
Bid-Ask Spread %43.3019.6693.4840.8142.18
Gamma HHI0.650.430.800.450.69
Net GEX472.8K40.1K824.5K114.4K618.0K
Net DEX-5.0M-9.9M2.1M498.9K-9.9M
Net VEX-58.1K-65.7K-41.1K-44.4K-61.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.005.782.580.29
Total Volume4,438.57113017,7204,8701,760
Total OI133,660115,700155,940131,330128,910

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$3.10$3.0045.3%13.0%49.3%41.1%44.2%12.8%-2.6%114.4K498.9K-44.4K2.5840.811,3603,51089,01042,320
2012-06-04$3.05$3.5048.9%12.2%46.0%48.2%42.4%7.9%0.1%40.1K2.1M-41.1K5.7848.775503,18089,86043,670
2012-06-05$3.14$3.5045.5%11.8%47.1%41.4%38.2%6.5%1.1%104.0K365.0K-45.0K0.7050.172,8602,00089,71045,920
2012-06-06$3.30$3.5048.2%9.9%50.1%46.7%35.5%9.8%4.9%407.2K-4.1M-50.6K0.5070.334,7202,35089,89044,740
2012-06-07$3.29$3.5029.3%9.9%49.7%9.5%38.9%8.8%5.5%416.9K-4.8M-49.1K1.4693.487601,11091,19044,320
2012-06-08$3.38$3.5029.7%10.3%50.2%10.3%36.1%4.4%4.5%600.9K-7.4M-51.4K1.5826.826,87010,85091,70045,220
2012-06-11$3.32$3.5036.4%10.1%50.8%23.5%36.3%4.7%4.6%530.2K-4.9M-60.9K0.0026.33230097,72054,670
2012-06-12$3.39$3.5030.6%10.5%51.2%12.2%36.5%12.6%3.9%685.2K-6.8M-62.2K0.0420.635,18021097,87054,670
2012-06-13$3.40$3.5035.3%10.4%51.1%21.3%36.0%5.3%4.7%730.6K-7.3M-62.1K0.0028.349,250098,45054,660
2012-06-14$3.33$3.5037.9%10.9%51.8%26.5%40.7%11.6%3.7%520.9K-4.1M-59.1K5.5438.381,2406,87095,28054,660
2012-06-15$3.41$3.5036.5%10.5%51.1%23.7%38.0%5.3%3.6%824.5K-5.7M-64.3K0.1375.212,71034095,58060,360
2012-06-18$3.48$3.5034.0%9.7%51.3%18.7%33.9%5.3%3.3%431.0K-6.3M-63.4K0.4144.081,86077073,91041,790
2012-06-19$3.47$3.5032.4%9.3%50.7%15.6%32.8%4.3%3.0%467.7K-6.4M-63.3K1.6567.791,9603,23075,41042,080
2012-06-20$3.53$3.5032.6%9.4%50.8%16.2%32.7%12.3%2.6%483.0K-7.6M-65.7K0.2626.9095025077,32044,300
2012-06-21$3.45$3.5032.6%9.4%45.8%16.1%32.1%10.8%2.3%458.1K-5.7M-64.5K0.0030.59150077,67044,480
2012-06-22$3.48$3.5030.5%8.7%44.3%11.9%30.4%11.1%3.1%542.2K-7.0M-60.2K2.4444.844,0509,88077,72039,020
2012-06-25$3.42$3.5032.8%9.4%44.4%16.4%32.8%7.6%1.2%439.3K-4.1M-63.0K0.0049.00130080,63047,450
2012-06-26$3.44$3.5030.8%8.8%42.3%12.5%30.8%9.9%2.9%488.3K-4.8M-62.8K0.0229.844201080,63047,450
2012-06-27$3.49$3.5029.6%8.5%39.6%10.3%28.9%11.3%4.1%538.7K-6.2M-63.4K0.2119.661,15024080,48047,440
2012-06-28$3.43$3.5031.2%8.9%40.3%13.3%31.2%8.9%2.0%488.2K-4.2M-61.7K0.3235.141906081,31047,390
2012-06-29$3.59$3.5029.1%8.3%34.3%9.1%29.1%26.3%3.6%618.0K-9.9M-61.9K0.2942.181,36040081,49047,420