AVGO Options History — January 2013

In January 2013, AVGO traded between $3.21 and $3.58. ATM implied volatility averaged 30.0%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 1.2% (HV 20d: 28.8%). Max pain ranged from $2.75 to $3.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.41.

Notable Days

  • 2013-01-04: Highest Volume — 50,490 contracts
  • 2013-01-08: Largest IV drop — 10.7% change
  • 2013-01-07: Highest IV Rank — 22.0%
  • 2013-01-04: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.39$3.21$3.58$3.25$3.58
Max Pain$3.19$2.75$3.25$3.00$3.25
ATM IV30.0%27.3%32.9%32.6%28.1%
Expected Move8.7%7.8%9.7%9.3%8.1%
HV 20d28.8%20.6%38.5%37.1%20.6%
HV 60d30.7%28.6%31.4%31.2%28.7%
IV Rank17.5%13.5%22.0%21.4%14.8%
IV Percentile25.1%9.5%54.0%50.4%12.7%
Term Structure3.2%1.3%5.7%1.3%5.4%
VWIV30.1%23.5%36.2%32.6%26.2%
Skew 25d3.6%1.6%7.3%2.9%3.5%
Skew 10d7.4%-3.6%15.6%5.0%6.5%
Call IV 25d28.8%21.5%32.3%32.3%25.7%
Put IV 25d32.4%28.8%36.1%35.2%29.2%
Bid-Ask Spread %28.739.8386.9210.6186.92
Gamma HHI0.500.320.830.450.32
Net GEX2.1M909.6K6.4M1.6M1.6M
Net DEX-36.8M-50.6M-24.5M-36.2M-41.0M
Net VEX-97.0K-104.5K-87.8K-101.6K-92.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.042.040.120.74
Total Volume13,100.4761,06050,4905,6803,050
Total OI283,828.571181,970346,000326,070213,930

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$3.25$3.0032.6%9.3%37.1%21.4%32.6%2.9%1.3%1.6M-36.2M-101.6K0.1210.615,080600259,50066,570
2013-01-03$3.27$3.0031.5%9.0%37.2%19.8%31.3%3.0%1.6%1.7M-38.4M-99.2K0.1412.433,620520262,84066,890
2013-01-04$3.25$2.7532.3%9.7%37.1%21.0%36.2%4.5%1.8%1.6M-36.5M-97.6K0.3713.6436,77013,720262,58067,210
2013-01-07$3.23$3.0032.9%9.2%36.3%22.0%32.0%4.7%3.7%1.2M-26.3M-93.3K0.9425.551,030970236,92079,510
2013-01-08$3.21$3.2529.4%9.3%35.5%16.7%31.5%3.2%2.9%909.6K-24.5M-87.8K0.0715.3420,6701,510237,27080,380
2013-01-09$3.28$3.2531.7%9.5%36.5%20.2%33.5%4.2%2.1%1.6M-30.8M-95.8K0.1415.0012,5601,730253,06080,950
2013-01-10$3.35$3.2532.9%9.4%37.4%21.9%32.5%4.1%2.1%2.2M-40.5M-95.5K0.0410.4919,480820263,84082,160
2013-01-11$3.43$3.2529.8%8.6%38.5%17.4%29.1%3.7%3.5%3.3M-48.6M-96.1K0.079.8338,2802,520261,45082,540
2013-01-14$3.46$3.2529.9%8.6%37.4%17.5%31.7%3.4%2.9%3.2M-50.6M-95.1K0.199.9713,7102,590256,26084,510
2013-01-15$3.39$3.2529.3%8.4%24.1%16.5%30.2%3.3%3.1%2.3M-39.7M-90.1K0.0811.8233,7702,600247,63085,450
2013-01-16$3.46$3.2529.3%8.4%23.4%16.6%29.4%2.4%3.0%4.0M-45.1M-103.8K0.0734.554,970350249,73086,370
2013-01-17$3.48$3.2529.3%8.4%23.4%16.6%29.3%3.0%2.8%6.4M-47.1M-104.5K0.2632.185,4401,390250,75086,010
2013-01-18$3.44$3.2528.9%8.3%23.5%15.9%29.1%3.0%2.7%3.0M-39.2M-98.0K0.0541.024,750250250,81086,250
2013-01-22$3.44$3.2530.0%8.6%23.4%17.6%29.7%3.3%2.1%1.2M-32.7M-96.0K0.9723.223,0902,990163,41018,560
2013-01-23$3.44$3.2530.6%8.8%22.2%18.6%30.7%1.6%2.0%1.3M-32.7M-98.6K0.2013.2017,5903,590165,97020,490
2013-01-24$3.39$3.2530.1%8.6%22.9%17.8%31.7%2.5%2.8%1.3M-30.1M-102.0K2.0442.461,6003,270181,29023,880
2013-01-25$3.42$3.2527.3%7.8%22.3%13.5%23.5%6.7%5.7%1.4M-30.8M-100.8K0.2833.623,070870182,45027,020
2013-01-28$3.45$3.2527.7%7.9%22.1%14.2%27.5%2.5%5.0%1.5M-32.9M-97.4K0.5227.311,230640183,61027,560
2013-01-29$3.46$3.2527.8%8.0%21.6%14.3%26.5%7.3%5.3%1.5M-33.2M-96.9K0.8066.51590470184,07028,080
2013-01-30$3.50$3.2527.7%7.9%21.5%14.2%28.0%2.6%5.2%1.6M-36.1M-94.8K0.5367.642,1901,170184,28028,360
2013-01-31$3.58$3.2528.1%8.1%20.6%14.8%26.2%3.5%5.4%1.6M-41.0M-92.5K0.7486.921,7501,300185,15028,780