AVGO Options History — October 2013

In October 2013, AVGO traded between $4.22 and $4.71. ATM implied volatility averaged 26.1%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 6.7% (HV 20d: 19.4%). Max pain ranged from $4.00 to $4.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.64.

Notable Days

  • 2013-10-29: Highest Volume — 21,670 contracts
  • 2013-10-23: Largest IV spike — 12.8% change
  • 2013-10-09: Highest IV Rank — 35.2%
  • 2013-10-09: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.45$4.22$4.71$4.34$4.54
Max Pain$4.00$4.00$4.00$4.00$4.00
ATM IV26.1%22.8%29.6%27.0%25.4%
Expected Move9.3%9.0%9.5%9.3%9.4%
HV 20d19.4%14.5%25.3%15.6%25.3%
HV 60d22.8%21.7%23.7%23.2%23.7%
IV Rank25.2%15.9%35.2%27.8%23.2%
IV Percentile16.0%1.2%51.2%21.0%8.3%
Term Structure3.8%0.1%7.7%0.1%6.1%
VWIV34.5%32.8%36.7%33.6%35.0%
Skew 25d2.9%0.5%4.3%2.7%2.8%
Skew 10d8.7%2.1%13.8%10.9%6.6%
Call IV 25d24.8%22.1%27.7%24.7%24.4%
Put IV 25d27.7%24.6%30.5%27.4%27.2%
Bid-Ask Spread %17.5810.2824.8311.0217.98
Gamma HHI0.330.180.800.300.26
Net GEX1.1M448.6K2.7M1.3M745.2K
Net DEX-26.9M-44.9M-16.2M-30.6M-18.9M
Net VEX-102.9K-112.8K-89.6K-105.5K-112.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.064.540.070.51
Total Volume8,063.4781,67021,6706,5105,370
Total OI182,877.826132,300211,040192,040175,920

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$4.34$4.0027.0%9.3%15.6%27.8%33.6%2.7%0.1%1.3M-30.6M-105.5K0.0711.026,080430126,71065,330
2013-10-02$4.34$4.0026.7%9.2%15.3%26.8%32.8%2.3%0.7%1.3M-30.4M-105.0K1.2810.791,0601,360126,79065,700
2013-10-03$4.33$4.0026.4%9.3%15.1%26.1%0.0%0.5%0.9%1.3M-30.3M-103.1K0.1613.812,470390126,57067,060
2013-10-04$4.35$4.0025.8%9.2%14.5%24.3%0.0%3.2%2.6%1.4M-30.8M-101.1K0.3210.286,9902,260125,84067,420
2013-10-07$4.30$4.0026.6%9.5%15.8%26.8%0.0%2.4%2.6%1.4M-28.3M-102.5K0.3814.121,880720129,16068,470
2013-10-08$4.26$4.0027.9%9.4%15.2%30.2%0.0%2.1%2.3%1.3M-26.2M-103.2K4.5416.931,4106,400130,37068,990
2013-10-09$4.22$4.0029.6%9.5%15.1%35.2%35.4%2.8%1.7%1.2M-23.2M-107.7K0.2524.836,8301,690130,29074,380
2013-10-10$4.35$4.0027.9%9.2%17.4%30.2%0.0%2.9%2.8%1.4M-29.7M-104.2K0.0824.185,250410126,20072,780
2013-10-11$4.33$4.0027.3%9.4%17.7%28.5%0.0%2.2%2.9%1.3M-28.2M-102.9K0.0723.321,990130125,84072,800
2013-10-14$4.42$4.0026.4%9.2%18.6%26.2%0.0%2.9%2.9%1.5M-33.2M-98.6K0.3820.494,9201,880126,18072,820
2013-10-15$4.37$4.0028.0%9.4%18.6%30.7%0.0%3.1%3.2%1.4M-29.8M-99.3K0.4116.829,9704,100126,02074,190
2013-10-16$4.45$4.0026.6%9.0%18.9%26.7%0.0%3.7%2.8%1.9M-35.8M-101.9K1.0819.225,4305,880133,29076,290
2013-10-17$4.51$4.0024.9%9.4%19.1%22.0%0.0%2.5%3.7%2.7M-38.0M-98.8K0.3020.306,0801,820130,44080,360
2013-10-18$4.61$4.0024.6%9.1%19.1%20.9%0.0%2.7%4.0%704.0K-44.9M-91.2K0.0619.0213,280800129,02082,020
2013-10-21$4.71$4.0023.3%9.1%20.0%17.3%34.1%2.1%5.7%511.3K-23.9M-89.6K0.4023.5713,9805,56081,05051,250
2013-10-22$4.69$4.0022.8%9.2%20.1%15.9%0.0%3.0%6.3%534.1K-23.1M-99.3K0.3314.864,5501,50089,24055,590
2013-10-23$4.54$4.0025.7%9.4%23.8%24.1%0.0%4.0%5.6%568.8K-19.0M-106.6K1.6518.863,5105,78095,72056,380
2013-10-24$4.55$4.0025.6%9.4%23.8%23.8%36.7%3.8%5.6%448.6K-18.2M-106.7K1.0917.652,0402,23092,88060,150
2013-10-25$4.56$4.0024.7%9.4%23.7%21.3%34.0%3.4%6.3%556.0K-19.4M-105.0K0.0715.049,83073093,79057,400
2013-10-28$4.55$4.0025.9%9.2%23.7%24.7%0.0%4.1%5.2%741.9K-19.7M-105.7K0.4916.571,120550101,49057,890
2013-10-29$4.58$4.0025.4%9.2%23.7%23.1%0.0%4.3%7.7%772.3K-21.1M-103.5K0.7117.8812,6808,990101,80058,060
2013-10-30$4.49$4.0025.7%9.2%25.1%24.1%0.0%3.7%6.2%663.5K-16.2M-112.8K0.0816.754,760370110,79065,460
2013-10-31$4.54$4.0025.4%9.4%25.3%23.2%35.0%2.8%6.1%745.2K-18.9M-112.6K0.5117.983,5601,810110,32065,600