AVGO Options History — August 2013

In August 2013, AVGO traded between $3.60 and $3.90. ATM implied volatility averaged 29.9%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 6.6% (HV 20d: 23.3%). Max pain ranged from $3.75 to $3.75. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2013-08-29: Highest Volume — 38,010 contracts
  • 2013-08-15: Largest IV spike — 57.0% change
  • 2013-08-26: Highest IV Rank — 54.5%
  • 2013-08-26: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.72$3.60$3.90$3.74$3.85
Max Pain$3.75$3.75$3.75$3.75$3.75
ATM IV29.9%22.7%36.5%27.1%28.9%
Expected Move9.2%7.7%10.5%7.8%8.3%
HV 20d23.3%20.6%29.3%26.8%29.3%
HV 60d29.1%24.1%31.2%30.4%26.4%
IV Rank27.3%8.2%54.5%14.7%33.0%
IV Percentile43.3%0.8%92.9%13.9%34.5%
Term Structure-0.8%-3.9%3.3%3.0%-1.4%
VWIV32.0%26.2%36.7%27.7%28.1%
Skew 25d3.4%1.5%5.3%4.5%2.8%
Skew 10d5.8%0.8%11.4%4.5%3.9%
Call IV 25d30.6%24.7%35.7%25.7%26.2%
Put IV 25d33.9%29.0%38.2%30.2%29.0%
Bid-Ask Spread %21.968.5151.7617.9517.57
Gamma HHI0.250.200.300.200.29
Net GEX532.8K150.1K1.2M150.1K1.2M
Net DEX-12.3M-24.8M-2.9M-9.0M-21.5M
Net VEX-85.1K-94.6K-76.5K-88.6K-82.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.003.790.390.72
Total Volume11,545.4551,41038,01032,9201,410
Total OI211,689.091172,770227,680198,280214,690

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$3.74$3.7527.1%7.8%26.8%14.7%27.7%4.5%3.0%150.1K-9.0M-88.6K0.3917.9523,6009,320127,88070,400
2013-08-02$3.75$3.7526.8%7.7%26.8%14.2%26.2%5.3%3.3%320.1K-11.0M-94.6K0.208.512,320460142,38075,640
2013-08-05$3.70$3.7527.9%8.6%23.0%15.9%30.6%2.5%0.9%262.6K-8.4M-88.7K0.0714.599,090660143,71075,850
2013-08-06$3.69$3.7528.3%8.5%22.8%16.4%30.2%3.4%0.7%265.7K-8.5M-93.0K0.2214.891,860400150,71076,250
2013-08-07$3.73$3.7526.1%8.6%21.9%13.2%31.2%3.6%0.6%328.2K-11.1M-94.6K0.3815.4413,6405,160150,72076,650
2013-08-08$3.73$3.7525.3%8.7%21.8%12.1%30.1%3.2%0.2%308.0K-11.1M-91.7K1.399.401,2401,720149,27076,080
2013-08-09$3.68$3.7523.2%8.9%21.7%8.9%31.4%3.0%0.1%252.8K-8.0M-87.5K2.0415.481,8003,680150,08075,140
2013-08-12$3.77$3.7525.2%9.3%22.0%11.8%32.3%4.7%-0.8%386.9K-13.8M-87.6K0.8019.304,0703,270151,21076,470
2013-08-13$3.80$3.7525.3%9.5%20.6%12.0%33.2%4.3%-1.8%461.3K-16.3M-88.1K0.5415.062,4601,340151,28075,370
2013-08-14$3.72$3.7522.7%9.5%21.8%8.2%33.7%3.8%-1.3%221.6K-10.5M-84.8K0.3928.046,2702,460151,08075,400
2013-08-15$3.60$3.7535.6%10.2%21.5%27.2%36.0%2.5%-1.6%387.1K-2.9M-76.5K0.3927.063,3501,320150,78074,410
2013-08-16$3.63$3.7535.5%10.2%21.5%27.1%34.6%3.3%-1.9%463.1K-3.5M-77.7K1.6131.352,0303,260150,54075,220
2013-08-19$3.63$3.7536.1%10.4%21.5%28.0%34.1%2.7%-2.3%519.7K-11.0M-76.7K3.7950.536202,350130,08042,690
2013-08-20$3.68$3.7533.2%9.5%22.2%45.3%33.1%4.7%-1.6%575.8K-12.4M-77.0K3.1034.682,5808,000130,55044,260
2013-08-21$3.66$3.7533.7%9.7%21.3%46.6%33.0%4.0%-1.9%500.0K-10.8M-79.1K0.1922.0210,3101,930132,37049,930
2013-08-22$3.66$3.7534.4%9.9%21.3%48.6%34.2%3.4%-2.1%594.8K-11.9M-81.6K0.0026.748,1700140,93050,040
2013-08-23$3.67$3.7534.8%10.0%21.3%49.7%34.7%3.0%-2.5%703.0K-13.2M-82.4K0.0821.128,920730147,57050,040
2013-08-26$3.75$3.7536.5%10.5%22.3%54.5%36.4%3.3%-3.9%910.1K-17.5M-86.9K0.5251.769,4004,870155,43050,440
2013-08-27$3.66$3.7535.9%10.3%24.0%53.0%36.7%2.4%-3.2%744.3K-12.8M-81.0K1.8716.036,22011,620154,79052,370
2013-08-28$3.83$3.7527.9%8.0%29.0%30.2%27.9%2.1%0.3%1.0M-20.8M-82.9K0.4912.1222,91011,170156,64059,410
2013-08-29$3.90$3.7527.7%7.9%28.9%29.7%29.0%1.5%0.3%1.2M-24.8M-88.2K0.5813.4824,11013,900161,23061,180
2013-08-30$3.85$3.7528.9%8.3%29.3%33.0%28.1%2.8%-1.4%1.2M-21.5M-82.8K0.7217.57820590159,49055,200