AVGO Options History — July 2012

In July 2012, AVGO traded between $3.26 and $3.69. ATM implied volatility averaged 30.6%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 4.5% (HV 20d: 35.1%). Max pain ranged from $3.50 to $3.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.44.

Notable Days

  • 2012-07-18: Highest Volume — 11,840 contracts
  • 2012-07-12: Largest IV spike — 73.3% change
  • 2012-07-30: Highest IV Rank — 31.1%
  • 2012-07-30: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.45$3.26$3.69$3.55$3.69
Max Pain$3.50$3.50$3.50$3.50$3.50
ATM IV30.6%18.3%36.0%29.8%34.4%
Expected Move9.2%8.5%10.3%8.5%9.9%
HV 20d35.1%29.3%40.9%34.0%38.4%
HV 60d41.9%39.6%43.1%42.7%39.6%
IV Rank18.9%0.0%31.1%10.6%28.3%
IV Percentile21.9%0.0%45.2%12.3%41.3%
Term Structure4.1%2.0%7.4%2.9%4.7%
VWIV32.6%26.9%38.4%29.8%33.8%
Skew 25d7.0%-4.7%29.3%5.7%0.3%
Skew 10d13.2%-8.2%58.7%7.6%1.9%
Call IV 25d28.5%22.4%33.8%22.8%33.8%
Put IV 25d35.6%27.6%51.7%28.5%34.1%
Bid-Ask Spread %50.4124.6898.3444.1429.28
Gamma HHI0.590.310.910.710.46
Net GEX421.6K-102.5K2.9M627.3K56.6K
Net DEX-2.8M-15.4M4.0M-8.8M-7.6M
Net VEX-50.7K-63.3K-42.2K-60.5K-51.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.0015.220.030.04
Total Volume3,526.6676011,8406,45011,580
Total OI127,510.95299,090151,870129,340108,750

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$3.55$3.5029.8%8.5%34.0%10.6%29.8%5.7%2.9%627.3K-8.8M-60.5K0.0344.146,25020081,88047,460
2012-07-03$3.57$3.5030.2%8.7%33.1%11.3%30.2%29.3%2.0%709.8K-10.9M-62.9K2.5170.751,4903,74087,91047,500
2012-07-05$3.56$3.5029.7%8.5%29.3%10.4%29.7%3.1%2.0%685.7K-10.3M-63.3K1.4398.3435050087,66051,070
2012-07-06$3.45$3.5027.0%8.6%31.9%5.0%31.0%5.3%5.4%729.8K-4.6M-60.3K1.6330.866701,09087,86050,880
2012-07-09$3.33$3.5023.1%9.1%33.1%0.0%30.7%9.4%3.6%483.7K368.6K-53.5K0.0024.68370087,92051,040
2012-07-10$3.34$3.5023.6%9.0%32.5%1.0%31.2%7.9%4.9%645.8K210.3K-52.3K0.1364.845407087,66051,020
2012-07-11$3.31$3.5018.3%9.2%31.8%0.0%32.6%6.2%3.6%316.5K2.4M-46.9K1.6083.8410016087,86051,030
2012-07-12$3.26$3.5031.6%9.1%32.2%23.5%35.1%4.2%3.8%133.6K4.0M-43.9K1.4441.129801,41087,76051,160
2012-07-13$3.31$3.5030.4%8.7%32.1%21.3%0.0%4.7%5.6%332.7K3.0M-45.0K0.0075.6660087,07051,480
2012-07-16$3.27$3.5031.6%9.1%31.1%23.5%26.9%5.3%4.5%179.5K3.7M-42.9K0.0931.383303087,04051,350
2012-07-17$3.30$3.5030.7%8.8%30.3%21.8%28.9%4.2%4.4%254.3K3.5M-42.2K0.1348.176709086,72051,360
2012-07-18$3.38$3.5031.5%9.0%31.6%23.2%38.4%8.7%4.5%582.6K1.6M-45.1K15.2245.7073011,11086,59051,390
2012-07-19$3.60$3.5033.1%9.5%39.0%26.0%33.1%6.1%3.8%505.9K-15.4M-47.9K1.4837.372,8804,26086,09060,730
2012-07-20$3.53$3.5032.5%9.3%38.8%24.9%32.5%-4.7%3.4%2.9M-11.5M-50.8K0.1937.779,1001,75087,25064,620
2012-07-23$3.45$3.5033.3%9.6%39.6%26.4%37.7%12.6%7.4%-89.1K688.4K-47.6K1.5077.0248072046,75052,340
2012-07-24$3.42$3.5035.3%10.1%39.3%29.8%35.2%10.7%2.9%-102.5K1.2M-47.4K0.4359.591,94083047,00052,960
2012-07-25$3.42$3.5034.1%9.8%39.2%27.8%34.1%11.0%4.1%-88.8K1.3M-47.6K0.0031.09210048,29053,490
2012-07-26$3.54$3.5033.6%9.6%40.9%26.9%0.0%15.1%4.6%-50.3K-2.0M-48.6K0.0037.707,120048,46053,490
2012-07-27$3.61$3.5031.9%9.2%40.8%24.0%31.9%0.6%5.8%6.1K-5.0M-52.9K0.5133.681,24063054,63053,490
2012-07-30$3.60$3.5036.0%10.3%37.6%31.1%36.0%2.1%2.3%24.5K-5.0M-52.3K1.9255.5313025055,20053,520
2012-07-31$3.69$3.5034.4%9.9%38.4%28.3%33.8%0.3%4.7%56.6K-7.6M-51.1K0.0429.2811,13045055,23053,520