AVGO Options History — November 2012

In November 2012, AVGO traded between $3.19 and $3.53. ATM implied volatility averaged 34.8%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 2.7% (HV 20d: 32.1%). Max pain ranged from $3.50 to $3.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 4.55.

Notable Days

2012-11-06: Highest Volume — 40,620 contracts
2012-11-15: Largest IV spike — 48.8% change
2012-11-01: Highest IV Rank — 40.1%
2012-11-01: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.37	$3.19	$3.53	$3.45	$3.51
Max Pain	$3.50	$3.50	$3.50	$3.50	$3.50
ATM IV	34.8%	27.6%	45.0%	45.0%	27.6%
Expected Move	10.5%	7.9%	12.9%	12.9%	7.9%
HV 20d	32.1%	26.4%	35.0%	30.4%	26.4%
HV 60d	32.1%	30.8%	32.7%	30.8%	32.4%
IV Rank	24.8%	14.0%	40.1%	40.1%	14.0%
IV Percentile	54.9%	7.5%	83.7%	83.7%	7.5%
Term Structure	-2.3%	-6.0%	2.8%	-6.0%	1.1%
VWIV	37.4%	27.8%	42.4%	41.8%	27.8%
Skew 25d	7.8%	-4.1%	44.9%	44.9%	10.8%
Skew 10d	11.0%	-4.1%	64.5%	64.5%	17.3%
Call IV 25d	33.4%	22.8%	39.0%	36.4%	22.8%
Put IV 25d	41.2%	27.4%	81.3%	81.3%	33.6%
Bid-Ask Spread %	30.22	11.63	106.92	106.92	16.69
Gamma HHI	0.51	0.37	0.67	0.41	0.67
Net GEX	252.4K	65.1K	469.0K	102.2K	469.0K
Net DEX	-2.4M	-5.9M	215.5K	-2.1M	-5.7M
Net VEX	-27.4K	-41.0K	-18.9K	-38.3K	-27.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.55	0.00	71.54	0.00	0.34
Total Volume	5,109.048	270	40,620	8,120	3,500
Total OI	74,652.857	52,420	105,080	97,160	72,800

Daily Data (21 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
2012-11-01	$3.45	$3.50	45.0%	12.9%	30.4%	40.1%	41.8%	44.9%	-6.0%	102.2K	-2.1M	-38.3K	0.00	106.92	8,120	0	43,660	53,500
2012-11-02	$3.40	$3.50	32.9%	9.4%	30.8%	22.0%	35.0%	-4.1%	2.8%	183.3K	-1.8M	-41.0K	0.31	11.63	1,240	380	50,050	53,500
2012-11-05	$3.43	$3.50	34.4%	10.4%	31.1%	24.2%	0.0%	4.4%	-1.1%	229.6K	-2.8M	-39.9K	0.00	38.41	270	0	51,020	53,800
2012-11-06	$3.53	$3.50	33.0%	10.6%	32.6%	22.1%	42.4%	6.0%	-2.1%	348.8K	-5.3M	-39.8K	71.54	17.33	560	40,060	51,280	53,800
2012-11-07	$3.40	$3.50	32.0%	10.6%	35.0%	20.7%	37.0%	4.7%	-1.8%	250.2K	-1.9M	-39.0K	2.13	14.60	380	810	51,280	53,590
2012-11-08	$3.38	$3.50	31.5%	10.4%	34.9%	19.9%	36.9%	4.4%	-1.0%	456.8K	-3.4M	-28.2K	0.31	51.63	1,240	380	51,400	20,030
2012-11-09	$3.35	$3.50	30.8%	10.5%	33.2%	18.8%	40.8%	4.8%	-1.6%	388.7K	-2.4M	-26.4K	18.33	17.62	60	1,100	51,400	20,070
2012-11-12	$3.36	$3.50	33.6%	10.6%	33.1%	23.1%	38.1%	4.2%	-1.3%	421.3K	-2.4M	-25.4K	0.18	42.72	1,300	240	51,430	20,000
2012-11-13	$3.33	$3.50	31.1%	10.5%	33.3%	19.3%	36.4%	9.6%	-0.7%	343.5K	-1.9M	-24.6K	0.01	23.68	1,060	10	52,060	20,100
2012-11-14	$3.30	$3.50	28.4%	10.3%	33.3%	15.2%	39.5%	9.0%	-1.1%	199.6K	-1.0M	-22.7K	0.08	83.18	980	80	51,900	20,110
2012-11-15	$3.23	$3.50	42.3%	12.1%	31.7%	36.0%	40.2%	3.8%	-5.2%	110.4K	-243.3K	-20.0K	0.71	31.88	490	350	50,750	19,120
2012-11-16	$3.19	$3.50	40.0%	11.5%	31.8%	32.6%	36.9%	0.9%	-1.5%	65.1K	215.5K	-18.9K	0.45	29.20	600	270	50,650	19,470
2012-11-19	$3.27	$3.50	34.6%	9.9%	33.3%	24.5%	36.1%	3.5%	-1.8%	89.2K	-330.5K	-19.2K	0.02	14.10	7,480	150	35,090	17,330
2012-11-20	$3.28	$3.50	34.9%	10.0%	32.1%	25.0%	35.4%	4.4%	-2.7%	153.3K	-1.1M	-22.1K	0.10	24.92	990	100	41,800	17,360
2012-11-21	$3.28	$3.50	34.7%	9.9%	32.0%	24.6%	35.3%	6.4%	-1.4%	163.5K	-1.2M	-22.1K	0.04	14.01	1,170	50	42,290	17,360
2012-11-23	$3.35	$3.50	35.3%	10.1%	33.0%	25.6%	35.8%	8.9%	-3.5%	206.6K	-2.1M	-23.3K	0.00	18.89	840	0	42,510	17,400
2012-11-26	$3.40	$3.50	35.6%	10.2%	32.8%	26.0%	35.6%	10.7%	-3.6%	237.2K	-2.9M	-23.5K	0.15	18.66	1,250	190	42,730	17,400
2012-11-27	$3.41	$3.50	36.7%	10.5%	31.2%	27.6%	39.4%	9.8%	-5.0%	248.3K	-3.2M	-24.0K	0.01	19.71	8,550	70	43,560	17,560
2012-11-28	$3.46	$3.50	37.4%	10.7%	31.5%	28.6%	37.6%	12.9%	-5.4%	263.6K	-3.8M	-23.6K	0.14	18.77	13,200	1,900	42,660	17,590
2012-11-29	$3.51	$3.50	38.8%	11.1%	30.4%	30.7%	39.2%	3.3%	-5.3%	371.3K	-5.9M	-27.3K	0.66	20.10	4,730	3,140	49,990	18,310
2012-11-30	$3.51	$3.50	27.6%	7.9%	26.4%	14.0%	27.8%	10.8%	1.1%	469.0K	-5.7M	-27.0K	0.34	16.69	2,620	880	52,630	20,170