AVGO Options History — May 2013

In May 2013, AVGO traded between $3.13 and $3.78. ATM implied volatility averaged 29.3%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 2.3% (HV 20d: 31.6%). Max pain ranged from $3.25 to $3.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.48.

Notable Days

  • 2013-05-30: Highest Volume — 63,220 contracts
  • 2013-05-16: Largest IV spike — 88.9% change
  • 2013-05-29: Highest IV Rank — 29.0%
  • 2013-05-29: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.40$3.13$3.78$3.13$3.77
Max Pain$3.25$3.25$3.25$3.25$3.25
ATM IV29.3%17.2%36.8%29.2%27.1%
Expected Move9.2%7.7%10.6%8.4%7.8%
HV 20d31.6%23.2%39.2%35.3%37.9%
HV 60d28.6%27.1%32.9%27.6%32.9%
IV Rank17.4%0.0%29.0%16.4%14.6%
IV Percentile36.2%0.0%87.3%20.6%11.9%
Term Structure-1.5%-4.4%5.5%5.3%-0.6%
VWIV32.6%27.7%37.1%30.1%27.7%
Skew 25d3.5%2.1%7.5%4.7%3.4%
Skew 10d10.1%3.6%16.3%3.6%12.6%
Call IV 25d30.5%22.3%35.5%27.4%25.5%
Put IV 25d34.0%28.8%38.3%32.1%28.9%
Bid-Ask Spread %26.949.1370.259.279.88
Gamma HHI0.300.260.460.300.41
Net GEX1.3M873.9K1.6M873.9K1.3M
Net DEX-27.6M-51.4M-11.4M-11.4M-49.6M
Net VEX-100.9K-106.4K-93.6K-101.6K-93.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.011.961.310.14
Total Volume10,298.18265063,2201,48017,250
Total OI228,278.636193,730245,870231,430245,870

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$3.13$3.2529.2%8.4%35.3%16.4%30.1%4.7%5.3%873.9K-11.4M-101.6K1.319.27640840189,74041,690
2013-05-02$3.21$3.2528.5%8.2%36.5%15.3%28.5%7.5%5.4%1.0M-15.8M-106.3K0.1617.061,010160189,93042,360
2013-05-03$3.19$3.2528.0%8.0%36.5%14.6%28.0%4.9%5.5%988.9K-14.2M-103.8K0.0111.881,44010190,27042,350
2013-05-06$3.28$3.2528.5%9.7%38.0%15.4%33.8%3.0%-2.6%1.2M-20.3M-105.4K0.3212.593,8701,220190,26042,360
2013-05-07$3.25$3.2527.7%9.6%38.0%14.2%33.6%2.7%-3.1%1.2M-18.4M-103.3K0.219.135,6301,170193,17042,730
2013-05-08$3.35$3.2528.7%9.5%39.1%15.7%32.6%3.5%-3.0%1.4M-25.4M-106.4K1.9610.412,3204,550193,20043,800
2013-05-09$3.39$3.2528.3%9.3%39.2%15.1%33.8%3.1%-2.6%1.5M-28.4M-106.4K0.9814.397,2407,070193,47042,800
2013-05-10$3.41$3.2526.4%9.2%38.7%12.1%33.3%4.0%-2.5%1.6M-30.2M-105.7K0.7617.31590450196,17043,630
2013-05-13$3.36$3.2528.8%9.8%37.2%15.8%33.7%2.5%-3.3%1.5M-27.2M-102.7K0.2116.447,0001,460197,17043,220
2013-05-14$3.37$3.2517.3%9.9%36.1%0.0%33.0%2.8%-3.6%1.3M-27.7M-101.0K0.3913.041,540600194,50044,430
2013-05-15$3.42$3.2517.2%9.2%27.6%0.0%33.2%4.5%-2.1%1.5M-30.7M-99.1K0.5149.531,420730195,15045,030
2013-05-16$3.42$3.2532.4%9.3%24.3%22.5%32.4%2.9%-2.3%1.6M-31.2M-96.6K0.2056.331,050210192,74043,720
2013-05-17$3.44$3.2531.2%8.9%24.1%20.7%31.7%2.5%-1.7%1.6M-32.5M-95.2K0.4269.1611,3304,780193,45043,640
2013-05-20$3.44$3.2532.3%9.2%24.1%22.3%32.6%3.8%-3.5%1.1M-26.6M-96.0K0.1935.912,050390160,16033,570
2013-05-21$3.51$3.2533.1%9.5%23.5%23.6%32.9%3.8%-3.1%1.1M-30.1M-95.3K0.0421.3711,590490161,57033,840
2013-05-22$3.46$3.2533.4%9.6%24.4%23.9%33.3%2.8%-2.7%1.2M-28.0M-101.4K0.0217.8613,410260171,87034,140
2013-05-23$3.40$3.2534.3%9.8%25.4%25.3%35.7%2.5%-2.3%1.2M-25.9M-103.8K0.2155.501,290270181,38034,340
2013-05-24$3.41$3.2533.5%9.6%24.5%24.1%34.5%3.1%-2.6%1.3M-26.1M-102.1K0.7670.25370280181,45034,500
2013-05-28$3.44$3.2536.0%10.3%24.3%27.8%36.7%2.1%-3.9%1.3M-28.5M-99.9K0.3232.432,280720181,58034,550
2013-05-29$3.44$3.2536.8%10.6%23.2%29.0%37.1%3.2%-4.4%1.3M-28.5M-99.9K0.8430.6824,15020,210182,88035,100
2013-05-30$3.78$3.2527.0%7.7%38.1%14.5%28.3%4.3%-0.1%1.4M-51.4M-93.6K0.5612.3040,42022,800194,13050,220
2013-05-31$3.77$3.2527.1%7.8%37.9%14.6%27.7%3.4%-0.6%1.3M-49.6M-93.8K0.149.8815,1702,080193,32052,550