AVGO Options History — September 2013

In September 2013, AVGO traded between $3.83 and $4.31. ATM implied volatility averaged 27.0%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 1.7% (HV 20d: 25.3%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2013-09-20: Highest Volume — 90,970 contracts
  • 2013-09-04: Largest IV drop — 9.8% change
  • 2013-09-03: Highest IV Rank — 35.5%
  • 2013-09-25: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.04$3.83$4.31$3.83$4.31
Max Pain$3.61$3.00$4.00$3.75$4.00
ATM IV27.0%26.3%29.8%29.8%27.3%
Expected Move8.5%7.6%9.2%8.5%9.1%
HV 20d25.3%16.0%29.3%28.9%16.0%
HV 60d25.3%24.6%26.4%26.3%24.7%
IV Rank27.7%25.7%35.5%35.5%28.6%
IV Percentile18.2%12.3%42.5%42.5%23.8%
Term Structure1.7%-0.2%3.4%-0.2%0.0%
VWIV30.0%26.7%34.2%29.5%31.5%
Skew 25d1.9%0.9%4.4%1.0%2.5%
Skew 10d5.4%-2.8%14.1%8.2%9.3%
Call IV 25d26.5%23.7%29.2%29.2%26.1%
Put IV 25d28.3%27.1%30.2%30.2%28.6%
Bid-Ask Spread %21.246.9974.5413.0911.87
Gamma HHI0.330.260.450.290.30
Net GEX1.3M980.5K1.8M1.1M1.3M
Net DEX-24.7M-30.0M-19.6M-20.5M-30.0M
Net VEX-94.1K-104.2K-79.3K-79.3K-94.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.016.000.790.75
Total Volume17,708.585090,97020,51017,210
Total OI210,373159,000241,120214,350182,450

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$3.83$3.7529.8%8.5%28.9%35.5%29.5%1.0%-0.2%1.1M-20.5M-79.3K0.7913.0911,4309,080159,06055,290
2013-09-04$3.90$3.7526.8%7.7%29.2%27.3%28.8%4.4%0.7%1.3M-24.3M-97.4K0.116.998,300880166,28063,760
2013-09-05$3.88$3.7526.5%7.6%29.2%26.4%27.7%3.5%1.0%1.2M-22.4M-94.7K0.057.6211,630560164,16064,390
2013-09-06$3.86$3.0027.9%8.1%29.3%30.4%26.7%3.2%2.3%1.2M-22.7M-104.2K0.1630.682,660420174,98064,550
2013-09-09$3.88$3.0026.9%7.8%28.8%27.5%27.7%2.9%2.2%1.3M-23.5M-100.1K6.0029.481,0806,480174,40064,690
2013-09-10$3.97$3.0026.3%7.9%28.7%25.8%27.8%1.7%1.6%1.5M-29.3M-101.4K0.0832.1116,4101,380174,95066,170
2013-09-11$3.92$3.0026.8%7.6%29.0%27.1%26.8%1.9%3.3%1.3M-25.3M-96.7K0.0926.6210,100880170,56066,260
2013-09-12$3.90$3.0027.3%7.8%27.9%28.5%31.1%1.2%2.6%1.3M-24.2M-96.3K0.7514.831,3801,030171,55066,040
2013-09-13$3.90$3.0026.6%7.6%24.6%26.5%27.3%1.4%2.9%1.3M-24.3M-95.1K1.3014.49370480172,26065,940
2013-09-16$3.93$0.0026.8%9.0%24.6%27.2%32.4%0.9%3.4%1.4M-25.9M-91.2K0.0174.5483,330790170,63066,090
2013-09-17$4.01$3.7526.9%9.1%25.3%27.5%33.5%1.7%3.0%1.6M-19.6M-89.4K0.0328.1710,870300138,06066,500
2013-09-18$4.07$3.7526.9%9.0%25.3%27.4%32.8%1.6%2.9%1.8M-23.6M-91.3K0.1438.3310,2701,470139,64066,380
2013-09-19$4.08$3.7527.3%9.1%25.0%28.7%32.2%3.1%2.4%1.7M-23.7M-89.0K0.1613.404,370680138,85064,050
2013-09-20$4.16$4.0026.4%9.0%25.5%26.1%34.2%0.9%2.9%1.4M-28.8M-88.5K0.1014.8682,7908,180139,83064,580
2013-09-23$4.19$4.0027.6%9.0%25.5%29.4%0.0%1.2%0.1%980.5K-22.3M-86.4K0.2912.0515,3304,500105,02053,980
2013-09-24$4.24$4.0026.5%9.2%25.1%26.3%0.0%1.2%0.8%1.1M-25.9M-94.8K0.3915.196,8502,650114,67057,160
2013-09-25$4.22$4.0026.4%9.2%22.7%26.1%0.0%0.9%1.1%1.2M-25.0M-96.0K0.0611.1713,170780117,38057,940
2013-09-26$4.23$4.0026.4%9.1%17.6%26.0%31.5%1.4%0.8%1.2M-25.3M-97.9K0.1515.442,060300120,73057,950
2013-09-27$4.27$4.0026.3%9.1%17.1%25.7%0.0%0.9%1.2%1.2M-27.9M-97.2K0.0513.923,550170122,25058,030
2013-09-30$4.31$4.0027.3%9.1%16.0%28.6%0.0%2.5%0.0%1.3M-30.0M-94.0K0.7511.879,8507,360124,31058,140