AVGO Options History — September 2012

In September 2012, AVGO traded between $3.30 and $3.66. ATM implied volatility averaged 31.9%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 2.4% (HV 20d: 29.4%). Max pain ranged from $3.50 to $3.50. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.19.

Notable Days

2012-09-21: Highest Volume — 32,330 contracts
2012-09-10: Largest IV spike — 17.3% change
2012-09-10: Highest IV Rank — 27.2%
2012-09-06: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.50	$3.30	$3.66	$3.59	$3.49
Max Pain	$3.50	$3.50	$3.50	$3.50	$3.50
ATM IV	31.9%	30.4%	36.4%	33.9%	31.0%
Expected Move	9.0%	8.7%	9.8%	9.7%	8.9%
HV 20d	29.4%	19.8%	41.5%	19.8%	41.2%
HV 60d	31.1%	29.5%	33.8%	29.5%	33.7%
IV Rank	20.4%	18.2%	27.2%	23.5%	19.1%
IV Percentile	26.6%	15.5%	52.0%	42.5%	21.0%
Term Structure	1.7%	-1.8%	5.2%	-1.5%	0.7%
VWIV	31.5%	29.1%	34.1%	33.9%	31.0%
Skew 25d	4.1%	-4.2%	19.9%	7.8%	2.3%
Skew 10d	8.5%	-7.6%	61.4%	9.2%	3.8%
Call IV 25d	28.9%	21.0%	33.2%	24.2%	24.3%
Put IV 25d	33.0%	25.7%	40.9%	32.0%	26.6%
Bid-Ask Spread %	57.58	25.46	95.79	25.46	76.12
Gamma HHI	0.57	0.35	0.88	0.65	0.48
Net GEX	120.4K	-330.4K	352.9K	217.7K	352.9K
Net DEX	-3.2M	-7.1M	6.4M	-5.0M	-5.6M
Net VEX	-36.2K	-42.7K	-28.6K	-38.7K	-42.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.19	0.04	8.96	0.04	0.41
Total Volume	7,587.368	390	32,330	1,870	2,490
Total OI	98,743.158	86,320	119,940	86,320	115,450

Daily Data (19 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
2012-09-04	$3.59	$3.50	33.9%	9.7%	19.8%	23.5%	33.9%	7.8%	-1.5%	217.7K	-5.0M	-38.7K	0.04	25.46	1,800	70	57,100	29,220
2012-09-05	$3.52	$3.50	34.1%	9.8%	20.4%	23.7%	34.1%	4.6%	-1.8%	186.8K	-3.5M	-38.0K	0.18	50.46	330	60	58,340	29,280
2012-09-06	$3.66	$3.50	34.2%	9.8%	25.4%	23.8%	31.7%	19.9%	-0.7%	260.9K	-6.6M	-39.0K	0.13	48.77	1,250	160	58,630	29,340
2012-09-07	$3.62	$3.50	31.0%	8.9%	25.7%	19.1%	29.1%	4.3%	2.9%	257.7K	-6.4M	-38.4K	0.18	37.33	2,220	400	59,590	29,340
2012-09-10	$3.50	$3.50	36.4%	9.2%	28.1%	27.2%	31.9%	2.2%	1.5%	189.9K	-3.1M	-35.8K	0.17	41.46	4,850	810	60,350	29,250
2012-09-11	$3.50	$3.50	32.3%	9.0%	27.0%	21.0%	31.2%	3.3%	3.1%	187.9K	-3.1M	-36.6K	0.07	43.81	2,440	180	63,560	29,430
2012-09-12	$3.52	$3.50	32.8%	9.0%	27.2%	21.8%	31.4%	3.1%	3.6%	207.1K	-3.7M	-36.7K	0.04	51.32	760	30	64,150	29,550
2012-09-13	$3.51	$3.50	30.6%	8.8%	26.8%	18.6%	30.5%	1.8%	4.4%	186.2K	-3.2M	-35.4K	0.64	70.50	660	420	64,290	29,530
2012-09-14	$3.51	$3.50	30.8%	8.8%	26.4%	18.8%	30.8%	1.9%	2.4%	184.3K	-3.3M	-35.1K	0.15	33.56	4,390	650	64,390	29,630
2012-09-17	$3.53	$3.50	31.8%	9.1%	26.6%	20.2%	33.3%	4.2%	1.7%	162.4K	-3.7M	-34.1K	8.96	83.18	1,410	12,630	63,890	30,170
2012-09-18	$3.52	$3.50	30.4%	8.7%	25.3%	18.2%	30.3%	3.9%	3.4%	-249.1K	-2.2M	-34.4K	0.29	86.34	1,910	560	63,780	40,550
2012-09-19	$3.50	$3.50	31.0%	8.9%	24.9%	19.1%	32.2%	4.8%	2.0%	-330.4K	-1.8M	-33.8K	7.41	70.85	2,550	18,900	63,070	40,400
2012-09-20	$3.38	$3.50	31.1%	8.9%	27.9%	19.3%	33.4%	1.6%	2.3%	-84.6K	6.4M	-28.6K	1.00	75.09	9,470	9,430	64,880	51,780
2012-09-21	$3.55	$3.50	31.1%	8.9%	33.7%	19.3%	31.2%	-4.2%	5.2%	-291.1K	-7.1M	-36.9K	1.26	95.79	14,330	18,000	69,670	50,270
2012-09-24	$3.46	$3.50	31.1%	8.9%	34.9%	19.2%	30.4%	1.4%	0.3%	226.7K	-3.3M	-36.7K	0.09	35.43	2,840	250	63,570	33,940
2012-09-25	$3.30	$3.50	30.6%	8.8%	38.3%	18.5%	31.4%	4.5%	0.2%	144.2K	45.9K	-33.1K	0.46	26.45	3,880	1,780	64,990	34,000
2012-09-26	$3.35	$3.50	30.7%	8.8%	38.3%	18.6%	31.0%	7.2%	1.6%	171.0K	-318.8K	-34.0K	0.25	63.75	5,620	1,420	67,370	35,180
2012-09-27	$3.49	$3.50	30.7%	8.8%	41.5%	18.6%	30.7%	4.1%	0.5%	308.0K	-4.9M	-40.3K	0.86	78.24	8,160	7,050	71,660	36,530
2012-09-28	$3.49	$3.50	31.0%	8.9%	41.2%	19.1%	31.0%	2.3%	0.7%	352.9K	-5.6M	-42.7K	0.41	76.12	1,770	720	76,740	38,710