AVGO Options History — December 2013

In December 2013, AVGO traded between $4.45 and $5.36. ATM implied volatility averaged 30.3%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 12.7% (HV 20d: 43.0%). Max pain ranged from $4.25 to $4.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2013-12-17: Highest Volume — 221,250 contracts
  • 2013-12-05: Largest IV drop — 40.7% change
  • 2013-12-03: Highest IV Rank — 68.9%
  • 2013-12-23: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.93$4.45$5.36$4.50$5.29
Max Pain$4.45$4.25$4.50$4.50$4.25
ATM IV30.3%23.7%41.6%39.9%30.9%
Expected Move9.1%8.6%9.3%9.2%9.1%
HV 20d43.0%32.8%49.6%33.2%49.4%
HV 60d32.6%25.4%37.3%25.7%37.3%
IV Rank37.2%18.5%68.9%64.1%38.7%
IV Percentile53.7%2.8%98.4%97.6%71.8%
Term Structure0.1%-10.1%4.1%-8.5%0.3%
VWIV32.5%27.6%35.3%32.7%32.3%
Skew 25d3.5%0.8%7.9%5.3%3.4%
Skew 10d9.8%-0.1%17.7%11.0%13.2%
Call IV 25d28.8%22.0%39.7%37.9%29.2%
Put IV 25d32.3%26.0%45.0%43.2%32.6%
Bid-Ask Spread %27.4411.6052.0017.1143.75
Gamma HHI0.290.210.500.270.28
Net GEX1.1M323.3K2.3M337.6K1.5M
Net DEX-33.9M-79.0M-13.5M-15.1M-41.5M
Net VEX-116.6K-123.3K-94.0K-109.9K-113.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.011.250.540.18
Total Volume28,225.7141,820221,25015,4602,900
Total OI233,833.333185,150290,450205,800201,390

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$4.50$4.5039.9%9.2%33.2%64.1%32.7%5.3%-8.5%337.6K-15.1M-109.9K0.5417.1110,0605,400117,17088,630
2013-12-03$4.48$4.5041.6%9.1%33.2%68.9%0.0%5.7%-10.1%323.3K-13.7M-115.2K0.2523.2114,4403,550121,14091,450
2013-12-04$4.45$4.5041.2%9.3%33.3%67.9%0.0%5.3%-9.1%376.6K-13.5M-116.1K0.5035.6743,18021,590127,18092,110
2013-12-05$4.76$4.5024.4%8.6%41.0%20.6%0.0%5.2%0.6%1.5M-37.9M-121.8K0.5552.0029,28015,970157,500102,520
2013-12-06$4.70$4.5023.7%8.9%38.6%18.5%31.5%2.1%4.1%1.2M-31.8M-122.1K0.1014.0224,7102,400153,13099,830
2013-12-09$4.74$4.5024.0%9.0%38.4%19.3%0.0%4.0%4.0%1.4M-34.2M-119.1K0.4912.806,1603,030159,37099,120
2013-12-10$4.66$4.5024.5%8.9%39.0%20.7%0.0%3.5%4.1%1.0M-28.9M-120.8K0.0212.722,23040158,560100,130
2013-12-11$4.61$4.5026.8%9.0%38.6%27.3%0.0%2.8%3.5%822.2K-25.7M-116.7K0.1217.884,870570158,960100,160
2013-12-12$4.58$4.5025.9%9.3%38.7%24.8%0.0%3.2%3.4%638.9K-22.7M-117.6K0.9522.41940890161,640100,680
2013-12-13$4.57$4.5025.4%9.0%32.8%23.2%31.3%3.3%3.9%526.0K-21.7M-114.8K1.2511.601,4901,870162,250100,570
2013-12-16$5.01$4.5028.7%8.9%44.3%32.7%27.6%1.1%2.0%2.3M-55.6M-106.8K0.2033.79105,18020,630162,480100,560
2013-12-17$5.36$4.5032.7%9.3%48.6%43.8%35.3%1.2%0.3%1.4M-79.0M-94.0K0.0829.79204,02017,230176,770113,680
2013-12-18$5.32$4.2530.9%9.2%47.5%38.6%33.5%7.9%0.4%1.4M-40.6M-123.3K0.5929.236,5103,830130,190124,600
2013-12-19$5.14$4.5031.1%9.1%49.6%39.4%32.2%1.0%1.6%1.0M-31.2M-122.5K0.8626.933,4002,920124,210117,360
2013-12-20$5.17$4.5030.2%9.2%49.6%36.8%34.3%0.8%2.0%1.1M-31.6M-120.9K0.5448.302,7801,490124,860117,420
2013-12-23$5.21$4.5030.6%9.3%49.6%37.8%0.0%1.6%0.1%1.0M-33.3M-119.9K0.4235.853,1201,310112,43072,720
2013-12-24$5.26$4.5031.6%9.1%49.6%40.7%0.0%4.6%-0.3%1.0M-36.0M-120.7K0.0128.1910,970150113,92073,720
2013-12-26$5.27$4.5031.2%9.1%49.4%39.5%34.1%3.9%0.5%1.3M-39.6M-118.0K0.1534.693,070460122,42073,850
2013-12-27$5.28$4.2530.4%9.2%49.3%37.5%32.3%4.1%-0.1%1.4M-39.7M-119.3K0.1022.501,650170123,64074,130
2013-12-30$5.27$4.2531.5%9.1%49.4%40.5%0.0%4.1%-0.6%1.4M-39.6M-114.5K0.0723.727,740540123,88074,170
2013-12-31$5.29$4.2530.9%9.1%49.4%38.7%0.0%3.4%0.3%1.5M-41.5M-113.5K0.1843.752,450450126,98074,410