AVGO Options History — March 2013

In March 2013, AVGO traded between $3.35 and $3.67. ATM implied volatility averaged 27.0%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 1.8% (HV 20d: 25.2%). 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 0.49.

Notable Days

  • 2013-03-20: Highest Volume — 31,580 contracts
  • 2013-03-14: Largest IV drop — 20.9% change
  • 2013-03-04: Highest IV Rank — 19.8%
  • 2013-03-04: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.53$3.35$3.67$3.37$3.59
Max Pain$3.14$3.00$3.50$3.25$3.50
ATM IV27.0%24.2%31.4%30.3%24.2%
Expected Move7.7%6.9%8.8%8.7%6.9%
HV 20d25.2%19.8%28.0%27.3%19.8%
HV 60d26.1%23.4%29.6%29.3%23.4%
IV Rank13.0%8.9%19.8%18.1%8.9%
IV Percentile11.5%1.2%42.5%27.4%1.2%
Term Structure1.5%-1.1%3.9%-1.1%1.7%
VWIV27.5%23.6%40.0%28.1%24.3%
Skew 25d2.6%0.4%5.8%0.4%2.1%
Skew 10d7.7%-10.3%17.3%-10.3%9.0%
Call IV 25d25.3%22.8%28.5%28.0%22.9%
Put IV 25d27.9%25.0%32.2%28.4%25.0%
Bid-Ask Spread %13.338.4116.4513.3513.16
Gamma HHI0.350.280.540.320.35
Net GEX2.8M1.7M5.1M3.2M1.9M
Net DEX-48.1M-82.3M-30.5M-39.3M-33.5M
Net VEX-121.2K-158.9K-94.1K-158.9K-94.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.012.300.650.03
Total Volume7,692.566031,58015,4207,410
Total OI376,098.5235,290487,790479,240237,460

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$3.37$3.2530.3%8.7%27.3%18.1%28.1%0.4%-1.1%3.2M-39.3M-158.9K0.6513.359,3406,080385,07094,170
2013-03-04$3.35$3.0031.4%8.8%26.6%19.8%30.1%3.7%0.6%3.1M-37.8M-157.3K0.1815.658,0101,410388,49099,300
2013-03-05$3.43$3.0028.9%8.2%26.4%16.0%28.9%2.9%1.5%3.4M-46.8M-150.4K0.2413.4112,0602,900387,54098,860
2013-03-06$3.47$3.0029.5%8.1%26.6%16.8%28.3%3.1%1.9%3.6M-52.5M-149.6K0.7116.451,5001,060387,07099,420
2013-03-07$3.50$3.0028.1%8.1%26.6%14.8%28.0%3.8%1.5%3.9M-56.9M-146.5K0.3116.092,080650386,39099,320
2013-03-08$3.53$3.0026.2%8.0%25.9%11.9%27.9%3.1%2.0%4.1M-61.8M-141.6K0.1416.222,660380385,96099,390
2013-03-11$3.53$3.0029.2%8.1%25.7%16.4%28.9%2.8%1.8%3.9M-61.4M-131.8K0.2115.453,490740384,40099,380
2013-03-12$3.54$3.0027.6%8.1%25.7%14.0%29.7%3.2%1.4%3.8M-64.0M-125.1K0.2214.623,640810382,67098,150
2013-03-13$3.60$3.0030.6%7.7%26.1%18.6%26.7%5.8%2.4%3.8M-71.2M-120.4K0.3011.628,9602,670378,39095,990
2013-03-14$3.67$3.0024.3%7.0%26.8%9.0%24.6%2.1%3.9%5.1M-82.3M-112.6K0.1114.9122,2602,370377,01095,610
2013-03-15$3.60$3.0026.3%7.5%27.4%12.0%26.3%2.8%3.0%1.9M-70.1M-112.6K0.0513.938,840430369,95095,110
2013-03-18$3.53$3.0025.8%7.4%28.0%11.4%25.6%2.1%1.3%1.8M-40.5M-110.6K1.428.411,6902,400214,76055,730
2013-03-19$3.53$3.0025.9%7.4%27.6%11.4%25.4%2.2%1.1%1.8M-40.7M-110.7K0.489.661,040500215,21057,970
2013-03-20$3.59$3.0025.3%7.3%26.7%10.6%40.0%1.7%1.5%1.9M-45.1M-107.2K0.0112.2331,300280215,14058,280
2013-03-21$3.56$3.2525.7%7.4%24.6%11.2%26.9%2.6%1.1%1.7M-31.0M-102.9K2.309.09200460176,79058,500
2013-03-22$3.58$3.2525.4%7.3%24.3%10.7%25.1%2.6%0.8%1.7M-32.6M-100.5K1.829.75450820176,86058,480
2013-03-25$3.55$3.5025.3%7.2%20.6%10.5%23.6%2.4%0.7%1.7M-30.5M-97.9K0.3312.841,970650176,87059,300
2013-03-26$3.58$3.5024.6%7.1%20.7%9.5%26.5%1.5%1.5%1.8M-32.2M-96.9K0.3214.941,170370176,27059,750
2013-03-27$3.56$3.5024.5%7.0%20.3%9.4%24.1%1.9%1.5%1.8M-31.5M-95.6K0.0414.8077030177,44059,520
2013-03-28$3.59$3.5024.2%6.9%19.8%8.9%24.3%2.1%1.7%1.9M-33.5M-94.1K0.0313.167,200210177,93059,530