AVGO Options History — February 2013

In February 2013, AVGO traded between $3.29 and $3.63. ATM implied volatility averaged 36.8%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 13.2% (HV 20d: 23.5%). Max pain ranged from $3.25 to $4.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.30.

Notable Days

2013-02-26: Highest Volume — 184,620 contracts
2013-02-27: Largest IV drop — 35.6% change
2013-02-26: Highest IV Rank — 51.5%
2013-02-26: Largest Expected Move — 15.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.48	$3.29	$3.63	$3.63	$3.42
Max Pain	$3.63	$3.25	$4.00	$4.00	$3.25
ATM IV	36.8%	28.1%	52.6%	28.2%	28.2%
Expected Move	10.8%	8.1%	15.1%	9.1%	8.1%
HV 20d	23.5%	19.8%	28.1%	20.9%	28.1%
HV 60d	28.2%	27.3%	29.2%	28.8%	29.2%
IV Rank	27.7%	14.7%	51.5%	14.9%	14.9%
IV Percentile	62.2%	11.9%	97.2%	13.1%	13.5%
Term Structure	-4.9%	-12.7%	0.4%	-1.2%	0.4%
VWIV	37.4%	28.5%	53.0%	31.0%	28.5%
Skew 25d	2.3%	-0.7%	3.6%	3.3%	2.4%
Skew 10d	1.6%	-14.7%	10.3%	7.1%	-2.6%
Call IV 25d	36.6%	28.9%	52.5%	30.5%	28.9%
Put IV 25d	38.9%	31.3%	54.3%	33.8%	31.3%
Bid-Ask Spread %	14.88	9.97	25.07	15.32	20.59
Gamma HHI	0.43	0.31	0.81	0.31	0.34
Net GEX	2.4M	1.5M	5.3M	1.7M	3.5M
Net DEX	-37.3M	-47.2M	-25.0M	-43.8M	-44.0M
Net VEX	-119.0K	-159.3K	-76.2K	-90.5K	-149.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.30	0.01	1.85	1.24	0.08
Total Volume	36,094.737	1,080	184,620	3,220	23,180
Total OI	305,181.579	186,960	487,930	215,480	464,490

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
2013-02-01	$3.63	$4.00	28.2%	9.1%	20.9%	14.9%	31.0%	3.3%	-1.2%	1.7M	-43.8M	-90.5K	1.24	15.32	1,440	1,780	185,620	29,860
2013-02-04	$3.52	$4.00	28.9%	9.5%	24.1%	16.0%	30.1%	1.7%	-2.4%	1.6M	-36.5M	-89.7K	0.05	11.91	41,060	2,150	184,740	31,320
2013-02-05	$3.54	$4.00	28.7%	9.3%	23.8%	15.7%	0.0%	3.3%	-2.3%	1.5M	-28.1M	-77.6K	1.85	11.48	1,190	2,200	153,740	33,220
2013-02-06	$3.56	$4.00	28.1%	9.3%	23.4%	14.7%	30.4%	3.5%	-2.5%	1.6M	-29.1M	-76.4K	0.32	12.14	820	260	153,930	34,720
2013-02-07	$3.50	$4.00	31.9%	9.2%	24.1%	20.5%	32.0%	2.0%	-2.7%	1.5M	-25.0M	-76.2K	0.23	13.15	17,790	4,170	154,550	34,950
2013-02-08	$3.53	$4.00	35.8%	10.3%	23.3%	26.2%	35.4%	3.2%	-4.4%	1.6M	-30.1M	-89.3K	0.09	9.97	95,150	8,600	167,950	37,310
2013-02-11	$3.54	$3.50	35.5%	10.2%	21.9%	25.8%	34.9%	2.8%	-4.2%	2.6M	-44.1M	-120.3K	0.20	10.02	8,470	1,720	247,170	44,300
2013-02-12	$3.51	$3.50	34.2%	9.8%	22.0%	23.9%	34.3%	3.5%	-3.6%	2.7M	-42.0M	-121.2K	0.04	12.72	8,770	380	251,530	45,240
2013-02-13	$3.52	$3.50	34.4%	9.9%	20.5%	24.3%	34.2%	3.0%	-3.8%	2.8M	-41.9M	-118.3K	0.15	10.60	3,660	540	250,640	45,180
2013-02-14	$3.56	$3.50	33.3%	9.5%	19.8%	22.5%	33.2%	3.6%	-2.6%	2.7M	-47.2M	-115.2K	0.10	16.24	2,810	290	250,260	45,540
2013-02-15	$3.51	$3.50	37.9%	10.9%	20.5%	29.4%	38.2%	-0.7%	-5.1%	5.3M	-42.8M	-116.5K	0.09	19.98	91,570	7,910	249,820	45,830
2013-02-19	$3.56	$3.50	40.2%	11.5%	20.4%	32.9%	38.2%	2.1%	-6.6%	2.5M	-47.1M	-137.3K	0.14	14.02	21,270	3,070	281,240	47,000
2013-02-20	$3.47	$3.50	41.3%	11.9%	22.5%	34.6%	41.0%	1.6%	-6.2%	2.5M	-40.2M	-144.1K	0.01	14.09	23,810	290	299,520	49,450
2013-02-21	$3.37	$3.50	47.6%	13.7%	24.8%	44.0%	46.7%	1.4%	-8.9%	2.2M	-32.9M	-146.3K	0.18	12.44	20,540	3,680	307,590	49,570
2013-02-22	$3.41	$3.50	46.2%	13.2%	24.7%	41.8%	46.1%	3.2%	-9.6%	2.3M	-36.4M	-148.3K	0.04	15.47	12,940	510	311,130	51,570
2013-02-25	$3.29	$3.50	51.5%	14.8%	27.4%	49.9%	52.5%	1.2%	-12.0%	2.0M	-26.7M	-134.3K	0.04	25.07	49,980	2,100	314,380	51,620
2013-02-26	$3.31	$3.50	52.6%	15.1%	27.2%	51.5%	53.0%	1.8%	-12.7%	2.3M	-31.8M	-150.8K	0.37	18.13	134,660	49,960	353,600	51,940
2013-02-27	$3.37	$3.25	33.9%	9.7%	28.0%	23.4%	33.3%	1.4%	-2.6%	3.2M	-38.8M	-159.3K	0.49	19.38	24,880	12,200	393,750	94,180
2013-02-28	$3.42	$3.25	28.2%	8.1%	28.1%	14.9%	28.5%	2.4%	0.4%	3.5M	-44.0M	-149.0K	0.08	20.59	21,420	1,760	371,280	93,210