AVGO Options History — December 2012

In December 2012, AVGO traded between $3.09 and $3.51. ATM implied volatility averaged 31.9%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 1.8% (HV 20d: 30.1%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.30.

Notable Days

  • 2012-12-14: Highest Volume — 312,730 contracts
  • 2012-12-14: Largest IV spike — 25.9% change
  • 2012-12-24: Highest IV Rank — 29.8%
  • 2012-12-24: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.29$3.09$3.51$3.48$3.17
Max Pain$3.25$3.00$3.50$3.50$3.00
ATM IV31.9%25.1%38.1%26.0%34.5%
Expected Move9.2%7.2%10.9%7.5%9.9%
HV 20d30.1%20.4%37.3%25.9%35.3%
HV 60d31.8%30.2%35.7%32.2%30.7%
IV Rank20.4%10.2%29.8%11.6%24.4%
IV Percentile44.1%1.6%81.3%4.0%68.7%
Term Structure2.3%-0.1%4.7%1.7%1.0%
VWIV31.8%25.1%37.3%26.0%37.2%
Skew 25d3.6%-2.4%13.0%13.0%2.4%
Skew 10d7.6%-1.6%20.4%20.4%7.7%
Call IV 25d30.5%22.0%36.4%22.3%34.3%
Put IV 25d34.1%22.3%40.0%35.3%36.7%
Bid-Ask Spread %12.907.4421.1716.6715.30
Gamma HHI0.600.370.930.720.39
Net GEX943.8K417.1K1.7M492.5K1.3M
Net DEX-15.6M-28.3M-2.9M-4.9M-28.3M
Net VEX-74.7K-117.5K-20.9K-25.0K-106.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.002.570.070.31
Total Volume31,535.5290312,73013,720460
Total OI213,42770,610338,48071,840326,150

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$3.48$3.5026.0%7.5%25.9%11.6%26.0%13.0%1.7%492.5K-4.9M-25.0K0.0716.6712,88084051,97019,870
2012-12-04$3.49$3.5025.6%7.4%25.7%11.1%25.6%0.3%1.8%445.3K-4.7M-24.0K1.107.4442046050,49020,140
2012-12-05$3.45$3.5025.1%7.2%24.0%10.2%25.1%-1.0%2.3%436.5K-3.7M-22.9K0.169.752504050,51020,140
2012-12-06$3.51$3.5025.6%7.3%20.4%11.0%25.2%1.1%1.5%481.0K-5.1M-23.5K2.5710.2914036050,51020,100
2012-12-07$3.42$3.5026.4%7.9%22.4%12.1%27.5%4.0%4.7%417.1K-2.9M-21.4K0.1410.801,51021050,60020,050
2012-12-10$3.44$3.5027.6%8.1%22.1%14.0%26.6%10.5%4.2%461.3K-3.4M-20.9K0.0010.541,200051,04019,970
2012-12-11$3.46$3.5029.9%8.8%22.1%17.4%30.7%2.9%3.2%452.0K-3.7M-20.9K0.0021.17113,64024050,67019,970
2012-12-12$3.46$3.5030.5%8.8%21.7%18.3%30.9%2.0%2.8%1.6M-20.5M-82.1K0.1612.6918,7202,970153,81019,890
2012-12-13$3.37$3.5029.9%8.6%23.6%17.5%29.8%8.3%3.6%1.7M-16.3M-81.4K0.048.6811,580450167,49022,760
2012-12-14$3.11$3.5037.7%10.8%36.1%29.1%36.8%-2.4%0.8%714.3K-5.3M-58.5K0.2310.65253,44059,290169,57022,950
2012-12-17$3.20$3.0036.1%10.4%37.3%26.8%36.6%1.7%1.9%947.7K-23.6M-107.9K0.0616.2114,240810236,39070,100
2012-12-18$3.23$3.0034.5%9.9%36.3%24.4%36.7%3.4%2.8%1.3M-27.2M-114.1K0.0217.4852,9501,260251,70075,300
2012-12-19$3.20$3.0034.2%9.8%36.4%24.0%32.8%3.6%3.5%1.3M-27.7M-117.2K0.0411.946,900300264,04074,440
2012-12-20$3.19$3.0033.7%9.7%36.4%23.1%32.0%4.2%3.5%1.2M-22.4M-109.2K0.0212.848,820200245,77073,620
2012-12-21$3.14$3.0034.9%10.0%35.7%24.9%37.3%3.3%2.8%959.8K-18.9M-108.6K0.1811.4146,6708,540244,95073,720
2012-12-24$3.12$3.0038.1%10.9%35.1%29.8%36.1%4.1%-0.1%1.2M-23.4M-117.5K0.0514.131,23060251,67065,740
2012-12-26$3.09$3.0036.4%10.4%35.0%27.2%36.2%4.3%1.1%1.1M-20.6M-111.4K0.6311.15540340252,73065,780
2012-12-27$3.14$3.0034.4%9.9%35.3%24.1%35.3%3.5%1.5%1.2M-25.5M-110.3K0.1213.656,920860252,85065,800
2012-12-28$3.12$3.0036.8%10.6%34.4%27.8%37.2%2.4%0.9%1.2M-24.2M-112.0K0.0215.1195020258,63066,660
2012-12-31$3.17$3.0034.5%9.9%35.3%24.4%0.0%2.4%1.0%1.3M-28.3M-106.0K0.3115.30350110259,49066,660