AVGO Options History — February 2014

In February 2014, AVGO traded between $5.33 and $6.19. ATM implied volatility averaged 32.0%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 2.5% (HV 20d: 29.4%). Max pain ranged from $4.50 to $4.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.38.

Notable Days

2014-02-25: Highest Volume — 77,260 contracts
2014-02-13: Largest IV spike — 34.7% change
2014-02-25: Highest IV Rank — 58.1%
2014-02-03: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.79	$5.33	$6.19	$5.33	$6.17
Max Pain	$4.50	$4.50	$4.50	$4.50	$4.50
ATM IV	32.0%	25.9%	37.8%	32.3%	27.3%
Expected Move	9.0%	8.6%	9.3%	9.3%	8.9%
HV 20d	29.4%	24.7%	34.0%	31.6%	29.0%
HV 60d	36.9%	35.4%	38.8%	38.7%	36.9%
IV Rank	43.2%	24.8%	58.1%	42.8%	41.5%
IV Percentile	69.7%	17.9%	98.0%	80.6%	36.1%
Term Structure	-1.1%	-5.2%	5.9%	4.1%	-0.3%
VWIV	30.7%	24.4%	33.3%	32.9%	30.6%
Skew 25d	3.7%	2.0%	4.4%	2.9%	3.8%
Skew 10d	8.1%	-7.7%	16.0%	-7.7%	8.8%
Call IV 25d	32.1%	26.0%	36.7%	30.9%	26.0%
Put IV 25d	35.7%	29.8%	40.1%	33.7%	29.8%
Bid-Ask Spread %	27.78	12.03	63.76	25.85	22.66
Gamma HHI	0.27	0.19	0.34	0.19	0.21
Net GEX	1.9M	841.7K	2.9M	841.7K	1.5M
Net DEX	-63.2M	-79.5M	-27.9M	-27.9M	-77.3M
Net VEX	-162.8K	-190.8K	-136.2K	-137.0K	-155.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.38	0.01	1.61	0.34	0.18
Total Volume	17,897.368	2,120	77,260	3,450	3,930
Total OI	249,303.684	197,860	286,590	198,140	286,590

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2014-02-03	$5.33	$4.50	32.3%	9.3%	31.6%	42.8%	32.9%	2.9%	4.1%	841.7K	-27.9M	-137.0K	0.34	25.85	2,580	870	134,560	63,580
2014-02-04	$5.40	$4.50	29.4%	8.6%	31.8%	34.5%	0.0%	3.5%	4.8%	910.6K	-30.3M	-136.2K	0.13	63.76	1,870	250	134,130	63,730
2014-02-05	$5.40	$4.50	29.8%	9.2%	31.7%	35.6%	29.8%	2.7%	5.4%	934.6K	-31.0M	-136.3K	0.01	33.09	9,940	70	134,770	63,680
2014-02-06	$5.52	$4.50	30.3%	9.1%	32.3%	37.2%	32.1%	2.0%	5.9%	1.3M	-38.5M	-138.9K	0.07	33.73	68,910	5,130	140,690	63,680
2014-02-07	$5.66	$4.50	28.6%	9.1%	33.0%	32.3%	31.3%	3.8%	-2.2%	2.2M	-61.3M	-190.8K	0.29	23.98	26,930	7,850	192,410	67,070
2014-02-10	$5.63	$4.50	29.9%	9.0%	33.1%	36.1%	0.0%	4.3%	-3.2%	2.3M	-58.7M	-180.7K	0.13	17.56	5,800	760	189,610	64,970
2014-02-11	$5.81	$4.50	27.2%	9.1%	34.0%	28.4%	33.3%	3.9%	-2.7%	2.5M	-71.8M	-178.5K	0.08	22.66	17,340	1,360	193,020	65,160
2014-02-12	$5.89	$4.50	25.9%	9.0%	30.1%	24.8%	31.6%	3.8%	-2.9%	2.5M	-78.4M	-170.2K	0.38	23.54	13,350	5,070	194,100	65,390
2014-02-13	$5.91	$4.50	34.9%	9.0%	28.3%	50.2%	24.4%	3.6%	-3.0%	2.6M	-78.3M	-179.9K	0.06	22.58	10,220	590	196,930	69,420
2014-02-14	$5.81	$4.50	36.1%	8.7%	27.1%	53.4%	0.0%	4.3%	-3.2%	2.6M	-71.2M	-180.8K	0.13	41.35	10,530	1,330	196,540	69,440
2014-02-18	$5.84	$4.50	36.5%	9.1%	26.9%	54.5%	0.0%	3.7%	-3.3%	2.9M	-77.0M	-175.5K	1.39	12.03	1,380	1,920	204,240	69,770
2014-02-19	$5.77	$4.50	36.5%	9.2%	27.3%	54.6%	0.0%	4.1%	-3.5%	2.8M	-68.9M	-171.5K	0.36	20.45	7,090	2,560	196,990	70,960
2014-02-20	$5.90	$4.50	35.6%	9.0%	27.6%	52.0%	32.1%	4.3%	-3.0%	2.4M	-75.2M	-167.6K	0.30	26.23	2,880	850	193,010	72,460
2014-02-21	$5.86	$4.50	37.2%	9.1%	26.8%	56.5%	0.0%	4.3%	-4.5%	1.8M	-74.0M	-157.3K	0.04	19.13	2,530	100	193,070	72,980
2014-02-24	$5.96	$4.50	36.8%	9.1%	24.7%	55.5%	0.0%	4.4%	-4.1%	1.4M	-64.3M	-157.8K	0.20	17.24	8,860	1,780	159,440	61,450
2014-02-25	$5.90	$4.50	37.8%	9.2%	25.1%	58.1%	31.1%	3.5%	-5.2%	1.5M	-61.7M	-161.6K	1.61	23.00	29,590	47,670	161,760	62,550
2014-02-26	$6.19	$4.50	28.0%	8.9%	29.6%	30.5%	28.1%	3.0%	-0.6%	1.6M	-79.5M	-157.0K	0.96	61.16	17,120	16,360	183,380	100,120
2014-02-27	$6.14	$4.50	27.5%	8.9%	29.3%	42.4%	30.6%	3.9%	-0.2%	1.6M	-75.1M	-159.7K	0.65	17.81	2,830	1,850	184,260	100,860
2014-02-28	$6.17	$4.50	27.3%	8.9%	29.0%	41.5%	0.0%	3.8%	-0.3%	1.5M	-77.3M	-155.1K	0.18	22.66	3,330	600	184,680	101,910