AVGO Options History — July 2013

In July 2013, AVGO traded between $3.66 and $3.90. ATM implied volatility averaged 30.5%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 3.7% (HV 20d: 26.8%). Max pain ranged from $3.25 to $3.75. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.45.

Notable Days

  • 2013-07-05: Highest Volume — 46,730 contracts
  • 2013-07-11: Largest IV spike — 19.4% change
  • 2013-07-31: Highest IV Rank — 26.5%
  • 2013-07-31: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.78$3.66$3.90$3.76$3.67
Max Pain$3.68$3.25$3.75$3.25$3.75
ATM IV30.5%24.8%35.1%24.8%35.1%
Expected Move9.0%7.1%10.1%7.1%10.1%
HV 20d26.8%23.9%29.1%24.6%25.7%
HV 60d32.3%30.2%35.1%34.0%30.2%
IV Rank19.7%11.3%26.5%11.3%26.5%
IV Percentile47.2%3.6%84.9%3.6%84.9%
Term Structure-0.2%-5.2%6.4%6.4%-5.2%
VWIV31.5%25.2%36.0%25.2%36.0%
Skew 25d4.5%3.0%5.6%4.8%5.6%
Skew 10d11.7%5.5%16.4%5.5%14.4%
Call IV 25d29.6%23.8%33.2%23.8%33.2%
Put IV 25d34.1%28.5%38.8%28.5%38.8%
Bid-Ask Spread %18.809.0273.5910.7516.81
Gamma HHI0.440.190.820.620.19
Net GEX1.1M137.2K3.5M1.4M161.5K
Net DEX-24.4M-42.5M-5.4M-30.8M-6.0M
Net VEX-95.6K-106.1K-86.6K-88.4K-86.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.048.033.331.43
Total Volume11,048.63643046,7301,9501,410
Total OI234,335.909182,310290,610206,970197,620

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$3.76$3.2524.8%7.1%24.6%11.3%25.2%4.8%6.4%1.4M-30.8M-88.4K3.3310.754501,500152,00054,970
2013-07-02$3.85$3.2528.0%8.0%25.5%15.9%26.2%4.0%3.7%1.3M-36.4M-87.8K0.7110.5425,15017,740151,99054,770
2013-07-03$3.86$3.2528.0%8.0%24.1%16.1%30.5%4.8%5.1%1.0M-33.3M-93.0K0.379.668,4003,080155,63071,460
2013-07-05$3.88$3.7527.4%9.1%23.9%15.1%33.1%4.3%-0.9%1.2M-37.2M-103.9K0.5511.0730,22016,510178,54070,430
2013-07-08$3.73$3.7530.8%9.9%27.9%20.1%33.2%4.7%-2.1%1.3M-21.0M-105.5K1.659.0212,77021,110188,00085,980
2013-07-09$3.76$3.7529.3%9.8%27.7%17.9%33.1%4.6%-1.6%1.5M-28.3M-106.1K8.039.041,52012,210193,21071,340
2013-07-10$3.83$3.7528.4%9.6%27.8%16.6%35.2%4.7%-1.5%1.6M-36.6M-104.2K0.049.2667030193,89066,180
2013-07-11$3.86$3.7534.0%9.7%27.5%24.8%33.8%3.7%-2.0%1.5M-38.7M-104.2K0.799.591,3801,090193,66066,190
2013-07-12$3.90$3.7531.7%9.1%25.6%21.5%34.0%3.4%-0.5%1.4M-41.7M-101.1K2.9112.31340990194,30066,920
2013-07-15$3.80$3.7532.8%9.4%27.0%23.1%33.0%3.8%-0.8%1.9M-34.0M-95.8K1.9312.856,79013,130194,34067,670
2013-07-16$3.89$3.7531.6%9.1%27.8%21.3%32.3%3.4%-1.4%1.3M-41.5M-99.4K0.6814.833,0302,060199,16079,900
2013-07-17$3.89$3.7528.7%8.2%27.1%17.1%29.2%3.0%1.9%740.5K-42.5M-95.4K1.7112.386,92011,840198,94081,720
2013-07-18$3.76$3.7530.8%8.8%29.1%20.1%31.6%4.0%0.5%3.0M-24.8M-100.6K2.9817.442,8708,540199,26091,350
2013-07-19$3.79$3.7530.8%8.8%27.5%20.2%31.3%4.6%-0.1%3.5M-32.1M-97.0K0.8173.592,7102,200199,24091,360
2013-07-22$3.78$3.7532.3%9.3%27.4%22.3%31.1%5.5%-1.4%297.2K-10.9M-92.6K0.4514.703,7901,720118,75063,560
2013-07-23$3.76$3.7531.8%9.1%26.5%21.6%30.5%4.8%-1.0%285.1K-10.4M-93.5K0.1551.895,540840120,96064,810
2013-07-24$3.69$3.7530.3%8.7%27.2%19.4%30.4%4.0%-0.3%244.9K-7.7M-90.3K1.7812.783,3005,870124,95065,060
2013-07-25$3.69$3.7530.1%8.6%27.2%19.1%29.9%5.6%-0.2%172.1K-6.5M-92.0K0.7957.50890700126,71069,700
2013-07-26$3.68$3.7530.2%8.7%27.2%19.2%28.6%5.3%-0.6%149.2K-5.7M-89.4K0.1811.951,270230126,56069,700
2013-07-29$3.66$3.7531.7%9.1%27.2%21.4%32.5%4.4%-1.6%137.2K-5.4M-87.3K0.6313.591,120710127,13069,910
2013-07-30$3.69$3.7532.5%9.3%27.2%22.7%31.9%5.0%-2.0%165.8K-6.5M-88.6K0.0712.0140030127,36070,210
2013-07-31$3.67$3.7535.1%10.1%25.7%26.5%36.0%5.6%-5.2%161.5K-6.0M-86.6K1.4316.81580830127,38070,240