AVGO Options History — June 2013

In June 2013, AVGO traded between $3.60 and $3.88. ATM implied volatility averaged 27.8%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 10.4% (HV 20d: 38.2%). Max pain ranged from $3.00 to $3.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.61.

Notable Days

2013-06-12: Highest Volume — 55,000 contracts
2013-06-10: Largest IV spike — 11.6% change
2013-06-12: Highest IV Rank — 18.5%
2013-06-12: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.73	$3.60	$3.88	$3.73	$3.74
Max Pain	$3.20	$3.00	$3.25	$3.25	$3.25
ATM IV	27.8%	25.5%	29.7%	28.3%	25.5%
Expected Move	8.0%	7.3%	8.6%	8.1%	7.3%
HV 20d	38.2%	24.9%	41.8%	38.2%	24.9%
HV 60d	33.6%	32.9%	34.4%	32.9%	34.0%
IV Rank	15.7%	12.3%	18.5%	16.4%	12.3%
IV Percentile	18.2%	6.0%	31.7%	19.4%	6.0%
Term Structure	2.7%	-1.1%	5.7%	-1.1%	5.6%
VWIV	28.7%	22.7%	40.0%	28.9%	25.5%
Skew 25d	3.2%	1.8%	5.6%	1.8%	3.6%
Skew 10d	7.6%	-1.7%	18.5%	0.1%	2.1%
Call IV 25d	26.6%	24.3%	28.5%	27.6%	24.6%
Put IV 25d	29.8%	27.5%	31.7%	29.4%	28.2%
Bid-Ask Spread %	12.32	6.80	21.90	11.72	14.24
Gamma HHI	0.46	0.34	0.60	0.40	0.60
Net GEX	1.3M	1.2M	1.5M	1.4M	1.3M
Net DEX	-36.2M	-49.9M	-25.6M	-47.1M	-29.3M
Net VEX	-91.7K	-103.6K	-80.2K	-93.8K	-92.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.01	3.27	0.89	1.22
Total Volume	10,205	1,120	55,000	7,790	2,180
Total OI	225,849	187,810	251,350	248,150	205,660

Daily Data (20 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
2013-06-03	$3.73	$3.25	28.3%	8.1%	38.2%	16.4%	28.9%	1.8%	-1.1%	1.4M	-47.1M	-93.8K	0.89	11.72	4,130	3,660	195,190	52,960
2013-06-04	$3.78	$3.25	29.5%	8.4%	37.5%	18.2%	29.7%	2.3%	-1.0%	1.3M	-49.9M	-91.5K	0.29	9.84	30,290	8,680	194,000	52,770
2013-06-05	$3.70	$3.25	28.1%	8.1%	38.5%	16.1%	28.8%	3.7%	0.2%	1.3M	-42.5M	-102.2K	0.25	6.80	5,740	1,450	192,570	58,720
2013-06-06	$3.67	$3.25	27.9%	8.0%	37.8%	15.8%	28.1%	5.6%	0.5%	1.3M	-39.9M	-103.6K	0.41	12.28	1,390	570	192,220	58,670
2013-06-07	$3.73	$3.00	26.4%	7.9%	37.9%	13.6%	34.1%	4.1%	3.0%	1.3M	-43.9M	-100.5K	0.55	21.90	5,970	3,260	192,770	58,580
2013-06-10	$3.68	$3.00	29.4%	8.2%	38.4%	18.1%	30.3%	2.4%	2.3%	1.3M	-40.5M	-98.2K	0.25	13.06	8,170	2,030	191,790	58,770
2013-06-11	$3.63	$3.00	29.5%	8.3%	38.5%	18.2%	30.6%	3.3%	1.8%	1.3M	-36.1M	-97.6K	0.59	11.89	850	500	190,850	59,540
2013-06-12	$3.60	$3.00	29.7%	8.6%	38.7%	18.5%	40.0%	3.4%	1.9%	1.3M	-33.8M	-96.1K	0.01	12.87	54,610	390	191,130	59,450
2013-06-13	$3.71	$3.25	28.0%	8.0%	39.8%	16.1%	28.2%	2.6%	2.8%	1.2M	-31.3M	-92.4K	0.78	19.76	970	760	157,960	59,360
2013-06-14	$3.76	$3.25	28.1%	8.1%	39.9%	16.2%	28.6%	2.3%	2.7%	1.2M	-34.8M	-88.8K	0.25	18.18	1,220	310	157,930	59,230
2013-06-17	$3.81	$3.25	28.2%	8.1%	40.0%	16.3%	28.4%	3.1%	3.0%	1.2M	-38.2M	-84.9K	0.12	13.15	2,410	300	158,030	59,410
2013-06-18	$3.88	$3.25	28.3%	8.1%	40.2%	16.5%	26.5%	3.1%	2.9%	1.2M	-42.2M	-80.2K	0.04	7.69	9,960	350	157,870	59,180
2013-06-19	$3.81	$3.25	27.1%	7.8%	40.7%	14.6%	28.0%	3.2%	3.2%	1.3M	-39.3M	-82.4K	0.35	7.28	5,910	2,080	162,190	59,170
2013-06-20	$3.71	$3.25	28.4%	8.1%	41.7%	16.6%	28.9%	3.6%	2.7%	1.3M	-31.4M	-87.0K	3.27	11.68	840	2,750	162,340	55,690
2013-06-21	$3.74	$3.25	27.3%	7.8%	41.0%	14.9%	27.2%	3.3%	3.8%	1.5M	-32.8M	-85.5K	0.55	11.86	10,370	5,710	162,520	56,490
2013-06-24	$3.67	$3.25	27.9%	8.0%	41.8%	15.9%	28.6%	3.7%	4.1%	1.2M	-25.6M	-87.6K	0.19	13.05	940	180	144,600	43,210
2013-06-25	$3.71	$3.25	26.6%	7.6%	41.8%	14.0%	27.1%	2.6%	4.5%	1.3M	-28.3M	-85.4K	1.52	8.33	6,820	10,370	145,100	43,170
2013-06-26	$3.73	$3.25	26.0%	7.5%	41.8%	13.1%	23.6%	3.2%	5.3%	1.3M	-28.9M	-91.8K	0.64	8.87	2,310	1,480	149,880	52,820
2013-06-27	$3.73	$3.25	25.6%	7.3%	24.9%	12.5%	22.7%	3.0%	5.7%	1.3M	-29.0M	-93.0K	0.03	11.93	4,070	120	151,120	54,070
2013-06-28	$3.74	$3.25	25.5%	7.3%	24.9%	12.3%	25.5%	3.6%	5.6%	1.3M	-29.3M	-92.4K	1.22	14.24	980	1,200	151,510	54,150