AVGO Options History — April 2013

In April 2013, AVGO traded between $3.13 and $3.56. ATM implied volatility averaged 29.0%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 2.5% (HV 20d: 26.5%). Max pain ranged from $3.25 to $3.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 4.93.

Notable Days

  • 2013-04-12: Highest Volume — 60,050 contracts
  • 2013-04-17: Largest IV spike — 15.8% change
  • 2013-04-17: Highest IV Rank — 21.7%
  • 2013-04-17: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.35$3.13$3.56$3.53$3.20
Max Pain$3.40$3.25$3.50$3.50$3.25
ATM IV29.0%25.4%32.8%25.4%29.6%
Expected Move8.3%7.3%9.4%7.3%8.5%
HV 20d26.5%19.6%35.1%19.8%35.1%
HV 60d25.2%22.5%28.2%23.0%28.0%
IV Rank16.1%10.6%21.7%10.7%17.1%
IV Percentile25.0%5.6%60.3%5.6%25.0%
Term Structure1.9%-0.8%4.4%1.3%4.4%
VWIV29.3%24.7%32.8%24.7%29.5%
Skew 25d2.6%-3.9%10.3%-3.9%0.3%
Skew 10d5.8%-7.5%15.2%-4.7%-3.6%
Call IV 25d27.7%19.7%32.8%24.5%30.0%
Put IV 25d30.3%20.6%33.8%20.6%30.3%
Bid-Ask Spread %32.088.9567.4516.5015.70
Gamma HHI0.340.220.490.360.28
Net GEX1.4M330.7K2.6M1.9M1.0M
Net DEX-23.5M-52.5M-5.6M-30.0M-16.0M
Net VEX-110.4K-161.1K-88.4K-93.0K-101.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.930.0166.220.062.43
Total Volume17,903.63637060,05037012,810
Total OI278,377.727188,990390,260242,020221,220

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$3.53$3.5025.4%7.3%19.8%10.7%24.7%-3.9%1.3%1.9M-30.0M-93.0K0.0616.5035020182,50059,520
2013-04-02$3.49$3.5025.4%7.3%20.4%10.6%25.5%2.3%0.8%1.8M-26.3M-90.8K0.569.19870490182,77059,540
2013-04-03$3.43$3.5025.6%7.3%19.8%11.0%25.5%5.8%0.5%1.6M-22.0M-88.4K0.6414.35590380182,75059,220
2013-04-04$3.46$3.5026.4%7.6%19.6%12.2%26.7%10.3%0.3%1.7M-23.9M-89.5K66.228.9565043,040182,87059,010
2013-04-05$3.43$3.5026.3%7.7%19.6%12.1%29.1%4.2%2.6%1.2M-18.2M-102.4K0.7719.74470360182,73098,760
2013-04-08$3.47$3.5028.0%8.2%19.7%14.6%29.1%4.1%1.2%1.4M-20.7M-98.8K0.0314.3445,6901,360182,73098,940
2013-04-09$3.48$3.5030.3%8.6%19.7%18.0%29.8%3.4%1.2%1.7M-31.8M-127.6K0.0241.2644,420690225,92099,530
2013-04-10$3.54$3.5030.0%8.5%20.6%17.7%28.6%4.6%1.8%2.3M-47.0M-150.4K0.0948.4216,9101,440265,98099,820
2013-04-11$3.56$3.5029.3%8.4%20.0%16.5%29.4%6.3%1.2%2.6M-52.5M-153.4K0.0354.9529,4601,020280,870100,200
2013-04-12$3.49$3.5027.4%7.8%19.9%13.6%27.4%3.2%2.3%2.5M-46.1M-161.1K0.0157.2859,200850289,280100,980
2013-04-15$3.38$3.5029.6%8.5%22.0%17.1%30.9%2.5%0.5%1.7M-30.6M-149.1K2.9541.441,3003,840278,990101,660
2013-04-16$3.46$3.5028.3%8.1%22.9%15.0%31.5%4.3%1.3%2.0M-26.5M-115.9K0.5437.73480260225,530101,450
2013-04-17$3.24$3.5032.8%9.4%32.2%21.7%32.8%2.3%-0.8%330.7K-8.3M-106.4K1.0542.4418,30019,250225,280101,590
2013-04-18$3.14$3.2532.2%9.2%32.6%21.0%32.3%1.1%0.6%416.4K-5.9M-98.9K0.3618.189,8003,550238,75089,730
2013-04-19$3.13$3.2529.4%8.4%32.6%16.7%29.7%-0.3%2.1%481.2K-5.6M-97.2K32.1344.0183026,670239,80088,040
2013-04-22$3.16$3.2530.4%8.7%32.8%18.2%30.6%1.8%3.4%761.2K-12.3M-92.5K0.0551.2916,510800157,00031,990
2013-04-23$3.24$3.2530.2%8.7%34.6%17.9%30.2%1.6%2.8%984.4K-18.1M-103.1K0.1367.454,350580170,82032,530
2013-04-24$3.26$3.2530.0%8.6%34.6%17.5%29.8%1.1%3.5%1.0M-19.6M-105.1K0.0266.143,94060173,14032,720
2013-04-25$3.26$3.2529.8%8.5%34.6%17.3%29.9%1.6%3.2%1.0M-19.4M-101.9K0.3511.791,270450170,68032,780
2013-04-26$3.21$3.2530.0%8.6%34.6%17.6%29.9%1.4%3.4%958.0K-16.5M-100.1K0.0312.2111,050380170,63032,660
2013-04-29$3.25$3.2531.2%9.0%34.9%19.4%31.3%0.0%3.2%1.1M-19.5M-102.6K0.0812.418,440700180,76032,640
2013-04-30$3.20$3.2529.6%8.5%35.1%17.1%29.5%0.3%4.4%1.0M-16.0M-101.4K2.4315.703,7409,070188,11033,110