AVGO Options History — November 2013

In November 2013, AVGO traded between $4.27 and $4.54. ATM implied volatility averaged 30.9%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 0.4% (HV 20d: 30.5%). Max pain ranged from $4.00 to $4.50. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2013-11-14: Highest Volume — 30,970 contracts
  • 2013-11-14: Largest IV spike — 30.6% change
  • 2013-11-29: Highest IV Rank — 53.5%
  • 2013-11-19: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.42$4.27$4.54$4.47$4.47
Max Pain$4.25$4.00$4.50$4.00$4.50
ATM IV30.9%23.5%36.1%24.6%36.1%
Expected Move9.4%9.1%9.7%9.3%9.2%
HV 20d30.5%25.0%34.8%26.1%33.6%
HV 60d25.2%23.4%27.9%24.0%25.7%
IV Rank38.7%18.0%53.5%21.0%53.5%
IV Percentile57.9%2.4%94.4%4.4%94.4%
Term Structure-2.9%-6.4%6.6%6.6%-6.4%
VWIV33.3%30.6%37.0%37.0%32.5%
Skew 25d4.6%3.5%5.4%4.3%5.4%
Skew 10d10.3%1.4%18.1%1.4%4.7%
Call IV 25d31.4%23.2%33.9%23.2%33.9%
Put IV 25d36.0%27.5%39.3%27.5%39.3%
Bid-Ask Spread %18.9610.2232.7421.7232.67
Gamma HHI0.250.220.300.230.25
Net GEX280.0K-239.6K789.3K627.7K287.3K
Net DEX-10.6M-19.2M-1.5M-15.5M-13.7M
Net VEX-114.8K-124.8K-107.9K-108.4K-110.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.092.670.181.00
Total Volume8,1801,62030,9704,2601,620
Total OI201,715.5174,120227,250174,120205,480

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$4.47$4.0024.6%9.3%26.1%21.0%37.0%4.3%6.6%627.7K-15.5M-108.4K0.1821.723,610650108,67065,450
2013-11-04$4.50$4.0026.8%9.3%25.7%27.3%35.1%4.9%-2.6%707.7K-16.8M-109.1K0.1414.251,500210111,74065,890
2013-11-05$4.50$4.0025.2%9.2%25.4%22.7%0.0%4.8%-2.3%724.3K-17.2M-107.9K0.4015.001,640660112,38065,380
2013-11-06$4.54$4.0025.5%9.3%25.0%23.6%0.0%3.5%-2.0%789.3K-19.2M-108.3K1.0912.7112,83013,960113,36065,260
2013-11-07$4.37$4.0027.5%9.4%27.1%29.2%0.0%3.5%-2.8%403.9K-10.3M-114.4K2.6712.826,56017,530122,94077,870
2013-11-08$4.43$4.0023.5%9.1%27.5%18.0%31.7%4.0%-1.7%253.4K-9.2M-124.8K2.5716.554,18010,730122,38093,880
2013-11-11$4.42$4.0029.1%9.3%26.5%33.8%0.0%4.5%-2.1%170.1K-8.4M-123.4K1.5510.571,5902,460123,070101,040
2013-11-12$4.51$4.0027.7%9.6%27.1%29.6%31.3%4.6%-2.3%376.8K-13.8M-122.1K0.4831.471,620780123,82098,510
2013-11-13$4.54$4.0026.7%9.4%26.5%26.9%0.0%4.3%-1.7%373.6K-15.4M-119.3K0.4818.881,370660124,10098,850
2013-11-14$4.29$4.0034.8%9.6%32.7%49.9%32.4%4.6%-3.4%-239.6K-1.5M-115.6K1.5921.8211,95019,020121,54098,680
2013-11-15$4.46$4.5032.6%9.2%34.8%43.6%0.0%5.2%-2.4%478.4K-10.6M-121.0K0.3514.152,720950127,92099,330
2013-11-18$4.40$4.5033.2%9.5%34.0%45.2%0.0%5.0%-3.1%62.7K-8.4M-118.3K0.2711.274,4201,210105,27087,790
2013-11-19$4.29$4.5035.2%9.7%34.7%51.0%0.0%4.8%-4.2%-6.4K-4.7M-114.9K0.9016.422,3602,120108,13087,950
2013-11-20$4.27$4.5035.0%9.4%33.1%50.4%0.0%5.3%-4.1%-39.7K-3.1M-114.1K0.5426.018,3304,470110,00088,750
2013-11-21$4.30$4.5034.8%9.5%33.3%49.7%30.6%4.7%-4.3%7.3K-4.8M-112.7K0.1332.742,390310108,95087,290
2013-11-22$4.33$4.5034.2%9.4%33.4%48.2%37.0%4.9%-4.1%22.4K-5.7M-112.0K0.1910.222,260440109,87087,290
2013-11-25$4.37$4.5035.8%9.5%33.7%52.6%0.0%5.1%-5.2%86.8K-7.8M-111.5K0.3620.593,6801,310111,69087,530
2013-11-26$4.47$4.5034.4%9.6%34.8%48.7%34.4%4.2%-4.6%253.3K-13.1M-114.1K0.0916.035,650520114,41087,840
2013-11-27$4.47$4.5034.8%9.1%34.0%49.8%31.1%4.6%-5.1%260.6K-13.0M-113.1K0.3123.304,0801,250115,79088,220
2013-11-29$4.47$4.5036.1%9.2%33.6%53.5%32.5%5.4%-6.4%287.3K-13.7M-110.5K1.0032.67810810117,08088,400