AVGO Options History — October 2012

In October 2012, AVGO traded between $3.26 and $3.47. ATM implied volatility averaged 31.6%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 2.7% (HV 20d: 34.3%). 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 19 of 21 days. Put/call ratio averaged 5.24.

Notable Days

  • 2012-10-22: Highest Volume — 38,830 contracts
  • 2012-10-11: Largest IV spike — 30.0% change
  • 2012-10-11: Highest IV Rank — 28.3%
  • 2012-10-11: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.37$3.26$3.47$3.47$3.30
Max Pain$3.50$3.50$3.50$3.50$3.50
ATM IV31.6%27.1%37.1%32.4%27.1%
Expected Move9.2%7.8%10.6%9.3%7.8%
HV 20d34.3%24.5%40.7%40.7%25.8%
HV 60d30.6%28.5%33.1%33.1%29.4%
IV Rank20.0%13.2%28.3%21.2%13.2%
IV Percentile30.8%6.3%61.9%37.7%6.3%
Term Structure2.7%-1.2%10.0%0.0%10.0%
VWIV32.0%26.4%34.9%32.4%26.4%
Skew 25d3.3%-2.0%9.1%1.0%-2.0%
Skew 10d10.3%-4.0%23.1%2.5%-4.0%
Call IV 25d29.1%26.0%32.5%26.7%26.5%
Put IV 25d32.4%24.5%36.0%27.6%24.5%
Bid-Ask Spread %59.2319.36102.5193.33102.51
Gamma HHI0.540.420.700.490.44
Net GEX210.7K-89.3K404.1K346.7K-58.7K
Net DEX-124.4K-5.2M3.5M-5.2M3.5M
Net VEX-33.7K-48.2K-21.3K-41.8K-44.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.240.0045.450.0645.45
Total Volume4,914.76211038,83037020,440
Total OI109,597.61946,350119,920117,780108,160

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$3.47$3.5032.4%9.3%40.7%21.2%32.4%1.0%0.0%346.7K-5.2M-41.8K0.0693.333502078,22039,560
2012-10-02$3.44$3.5032.0%9.2%40.3%20.6%32.0%-0.8%0.4%328.6K-4.0M-40.3K0.1124.433,84043078,02039,560
2012-10-03$3.46$3.5030.4%8.7%39.8%18.2%30.4%-0.7%2.0%404.1K-5.0M-40.7K0.0026.02710080,67039,250
2012-10-04$3.44$3.5033.6%9.6%36.8%22.9%33.6%-1.3%-1.2%320.3K-3.8M-38.4K0.1823.9576014077,61039,250
2012-10-05$3.44$3.5030.9%9.4%36.7%19.0%32.9%2.1%1.0%330.8K-3.6M-37.5K0.0057.03940077,15039,320
2012-10-08$3.39$3.5032.6%9.4%35.2%21.6%34.6%9.1%1.8%282.9K-1.6M-34.0K0.0570.334202076,87039,320
2012-10-09$3.36$3.5031.2%9.6%35.3%19.4%33.7%6.9%0.6%275.6K-289.9K-31.4K0.0097.97890077,03039,340
2012-10-10$3.26$3.5028.6%9.4%36.5%15.4%33.5%6.6%2.1%170.1K2.4M-26.3K0.2753.9271019076,96039,330
2012-10-11$3.29$3.5037.1%10.6%36.8%28.3%34.9%2.8%-0.4%194.1K2.0M-26.6K0.0435.591,4306076,54039,520
2012-10-12$3.30$3.5032.1%9.2%36.8%20.7%31.3%3.7%1.6%213.0K2.0M-26.9K0.4919.3651025077,40039,510
2012-10-15$3.32$3.5031.5%9.0%36.8%19.8%31.9%4.6%2.7%245.8K2.4M-24.5K0.0436.366703077,91039,750
2012-10-16$3.44$3.5031.5%9.0%39.1%19.8%31.5%8.1%3.2%359.4K-1.4M-29.4K0.0242.472,5306078,25039,750
2012-10-17$3.41$3.5031.6%9.0%39.2%19.9%31.4%6.2%2.1%385.4K859.6K-26.5K1.1790.5130035079,84039,710
2012-10-18$3.40$3.5030.1%8.6%36.8%17.8%30.1%6.8%3.7%344.2K1.9M-24.8K3.6784.943011078,23039,710
2012-10-19$3.32$3.5032.1%9.2%32.6%20.7%32.3%2.4%1.6%219.8K3.3M-22.0K0.6792.5715010078,24039,720
2012-10-22$3.34$3.5031.6%9.1%31.7%20.0%31.9%2.4%4.1%238.2K-2.6M-21.3K9.1691.803,82035,01036,7809,570
2012-10-23$3.32$3.5033.1%9.5%26.9%22.3%33.4%1.6%3.0%13.9K223.2K-36.9K8.2672.826605,45039,33044,570
2012-10-24$3.27$3.5031.6%9.1%26.9%20.1%31.8%2.1%4.3%-52.6K1.5M-37.8K39.8732.3938015,15039,28049,780
2012-10-25$3.37$3.5030.7%8.8%24.5%18.7%30.7%3.6%7.4%-89.3K2.7M-47.7K0.5436.184,0302,16039,53064,910
2012-10-26$3.38$3.5031.4%9.0%24.5%19.8%31.4%4.2%6.4%-47.9K1.8M-48.2K0.0059.29110043,23064,870
2012-10-31$3.30$3.5027.1%7.8%25.8%13.2%26.4%-2.0%10.0%-58.7K3.5M-44.5K45.45102.5144020,00043,29064,870