AVGO Options History — August 2012

In August 2012, AVGO traded between $3.58 and $3.75. ATM implied volatility averaged 44.8%, placing in the 43.7% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 17.4% (HV 20d: 27.4%). Max pain ranged from $3.50 to $3.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 5.89.

Notable Days

2012-08-16: Highest Volume — 29,610 contracts
2012-08-16: Largest IV drop — 50.4% change
2012-08-14: Highest IV Rank — 100.0%
2012-08-03: Largest Expected Move — 14.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.66	$3.58	$3.75	$3.67	$3.66
Max Pain	$3.50	$3.50	$3.50	$3.50	$3.50
ATM IV	44.8%	31.1%	85.0%	35.1%	31.1%
Expected Move	10.6%	8.9%	14.0%	10.1%	8.9%
HV 20d	27.4%	17.7%	38.4%	38.4%	18.7%
HV 60d	36.5%	29.6%	39.5%	39.5%	29.7%
IV Rank	43.7%	19.2%	100.0%	29.6%	19.2%
IV Percentile	55.4%	18.7%	100.0%	43.3%	18.7%
Term Structure	-1.1%	-7.6%	3.6%	3.6%	2.4%
VWIV	36.9%	26.9%	47.4%	35.0%	31.3%
Skew 25d	6.4%	-0.7%	14.6%	2.4%	12.0%
Skew 10d	10.0%	-3.8%	20.7%	1.8%	14.8%
Call IV 25d	30.0%	18.0%	44.1%	32.7%	19.1%
Put IV 25d	36.4%	27.4%	51.7%	35.1%	31.1%
Bid-Ask Spread %	55.94	17.18	84.35	28.31	62.80
Gamma HHI	0.64	0.51	0.85	0.51	0.69
Net GEX	224.8K	105.9K	305.9K	105.9K	246.9K
Net DEX	-7.5M	-10.9M	-4.7M	-7.4M	-6.5M
Net VEX	-47.9K	-58.0K	-40.3K	-55.5K	-40.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.89	0.00	74.60	0.29	2.20
Total Volume	5,061.739	90	29,610	2,380	320
Total OI	107,802.609	81,830	132,130	117,050	86,300

Daily Data (23 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
2012-08-01	$3.67	$3.50	35.1%	10.1%	38.4%	29.6%	35.0%	2.4%	3.6%	105.9K	-7.4M	-55.5K	0.29	28.31	1,840	540	63,280	53,770
2012-08-02	$3.65	$3.50	48.4%	13.9%	38.4%	52.9%	46.6%	9.1%	-7.6%	108.8K	-6.8M	-57.6K	1.02	61.21	11,420	11,680	64,310	53,740
2012-08-03	$3.71	$3.50	48.8%	14.0%	36.7%	53.6%	46.4%	4.7%	-5.7%	208.2K	-9.3M	-58.0K	3.27	50.14	2,330	7,610	71,650	54,990
2012-08-06	$3.71	$3.50	52.0%	12.0%	33.8%	59.2%	41.8%	4.9%	-3.5%	245.9K	-9.9M	-56.0K	3.61	38.22	880	3,180	72,510	53,620
2012-08-07	$3.74	$3.50	51.7%	11.6%	33.8%	58.6%	40.6%	5.5%	-1.0%	274.8K	-10.7M	-55.0K	1.16	55.37	580	670	72,720	52,740
2012-08-08	$3.75	$3.50	53.7%	11.6%	33.4%	62.2%	40.5%	5.2%	-1.3%	285.3K	-10.8M	-54.6K	1.40	64.00	1,890	2,640	73,060	52,980
2012-08-09	$3.73	$3.50	57.8%	11.7%	32.6%	69.4%	0.0%	5.4%	-3.7%	259.0K	-10.4M	-53.5K	74.60	33.45	50	3,730	72,420	54,200
2012-08-10	$3.71	$3.50	58.1%	11.5%	32.6%	69.8%	38.7%	6.2%	-0.7%	232.8K	-9.8M	-53.0K	16.43	60.86	140	2,300	72,470	55,070
2012-08-13	$3.63	$3.50	70.8%	11.8%	33.7%	92.1%	40.8%	4.1%	-0.6%	167.2K	-7.4M	-50.6K	1.73	66.59	2,010	3,480	72,540	54,740
2012-08-14	$3.62	$3.50	77.9%	11.7%	33.8%	100.0%	40.8%	6.8%	-2.5%	144.6K	-6.7M	-50.6K	10.84	63.25	320	3,470	73,840	57,090
2012-08-15	$3.66	$3.50	85.0%	11.5%	33.2%	100.0%	47.4%	6.7%	-2.1%	166.1K	-7.9M	-49.9K	0.70	79.76	1,260	880	74,120	58,010
2012-08-16	$3.69	$3.50	42.1%	12.1%	24.5%	35.8%	39.3%	7.1%	-5.3%	282.8K	-9.5M	-47.1K	2.02	67.37	9,790	19,820	70,870	50,400
2012-08-17	$3.68	$3.50	31.9%	9.1%	23.1%	20.4%	30.7%	1.7%	-0.1%	305.9K	-10.9M	-43.3K	0.64	70.58	5,970	3,850	72,130	51,220
2012-08-20	$3.60	$3.50	31.7%	9.1%	23.3%	20.2%	31.6%	-0.7%	1.5%	247.5K	-5.0M	-42.2K	4.17	79.22	1,410	5,880	54,910	26,920
2012-08-21	$3.64	$3.50	31.1%	8.9%	23.1%	19.3%	30.6%	10.8%	0.6%	243.5K	-5.6M	-43.6K	0.10	84.35	2,060	200	55,590	28,700
2012-08-22	$3.65	$3.50	31.4%	9.0%	23.1%	19.7%	26.9%	1.7%	1.1%	249.4K	-6.3M	-44.0K	0.49	48.41	410	200	56,480	28,800
2012-08-23	$3.60	$3.50	32.2%	9.2%	20.4%	20.9%	0.0%	0.1%	-0.1%	230.0K	-5.2M	-42.6K	1.00	52.34	100	100	56,470	28,800
2012-08-24	$3.60	$3.50	31.5%	9.0%	19.2%	19.9%	31.5%	9.4%	0.1%	235.0K	-5.4M	-42.1K	8.67	32.07	30	260	56,400	28,700
2012-08-27	$3.58	$3.50	31.3%	9.0%	19.4%	19.6%	29.6%	7.8%	0.0%	210.2K	-4.7M	-40.8K	0.03	56.00	1,630	50	56,390	28,960
2012-08-28	$3.63	$3.50	31.9%	9.1%	17.7%	20.4%	0.0%	10.7%	0.3%	238.7K	-5.8M	-41.1K	0.00	48.20	90	0	56,910	28,960
2012-08-29	$3.66	$3.50	33.7%	9.7%	17.9%	23.2%	0.0%	14.6%	-1.0%	263.4K	-6.7M	-41.1K	0.84	17.18	490	410	56,840	28,960
2012-08-30	$3.60	$3.50	31.1%	8.9%	18.7%	19.2%	31.1%	10.1%	1.1%	219.0K	-5.2M	-40.3K	0.36	67.02	330	120	56,700	29,180
2012-08-31	$3.66	$3.50	31.1%	8.9%	18.7%	19.2%	31.3%	12.0%	2.4%	246.9K	-6.5M	-40.5K	2.20	62.80	100	220	57,000	29,300