AVGO Options History — January 2014

In January 2014, AVGO traded between $5.25 and $5.71. ATM implied volatility averaged 28.7%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 7.1% (HV 20d: 35.7%). Max pain ranged from $4.25 to $4.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2014-01-14: Highest Volume — 29,410 contracts
  • 2014-01-14: Largest IV drop — 9.0% change
  • 2014-01-02: Highest IV Rank — 41.3%
  • 2014-01-02: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.45$5.25$5.71$5.26$5.46
Max Pain$4.25$4.25$4.25$4.25$4.25
ATM IV28.7%26.7%31.8%31.8%28.7%
Expected Move8.9%8.7%9.1%9.1%8.9%
HV 20d35.7%25.0%49.4%49.4%30.1%
HV 60d37.6%36.5%38.5%37.2%38.3%
IV Rank32.5%27.0%41.3%41.3%32.6%
IV Percentile50.2%27.0%77.0%77.0%54.4%
Term Structure3.6%-0.8%6.2%-0.8%5.8%
VWIV31.8%20.9%41.4%20.9%32.9%
Skew 25d2.5%1.5%4.0%3.7%1.8%
Skew 10d7.4%-3.6%15.1%12.9%2.5%
Call IV 25d28.1%26.3%30.9%30.9%28.4%
Put IV 25d30.6%28.4%34.5%34.5%30.2%
Bid-Ask Spread %30.3219.0253.4519.0223.63
Gamma HHI0.270.170.510.280.21
Net GEX1.2M660.1K1.8M1.6M832.7K
Net DEX-42.0M-63.3M-29.7M-39.8M-32.9M
Net VEX-119.0K-139.7K-96.6K-114.7K-139.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.012.400.260.10
Total Volume8,823.811,52029,4107,44013,550
Total OI196,800.476159,380241,730202,200187,840

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$5.26$4.2531.8%9.1%49.4%41.3%20.9%3.7%-0.8%1.6M-39.8M-114.7K0.2619.025,9101,530127,42074,780
2014-01-03$5.29$4.2530.6%9.0%49.2%38.0%31.4%4.0%0.2%1.6M-40.6M-114.9K0.2225.362,690600127,69076,120
2014-01-06$5.25$4.2530.9%9.0%44.2%38.8%0.0%2.0%2.0%1.6M-39.5M-110.6K1.3223.973,9805,240128,25076,390
2014-01-07$5.30$4.2531.0%8.7%43.7%39.2%0.0%3.6%1.3%1.6M-41.6M-110.5K0.5227.214,0402,120127,98080,530
2014-01-08$5.38$4.2528.7%8.9%43.8%32.5%0.0%3.3%1.7%1.6M-45.9M-105.7K0.1721.513,330560127,48080,710
2014-01-09$5.32$4.2530.1%8.9%43.5%36.6%0.0%3.0%1.8%1.7M-42.7M-106.5K0.5322.253,6301,910126,90081,180
2014-01-10$5.33$4.2529.0%9.0%43.0%33.4%33.1%2.4%1.9%1.7M-44.0M-105.1K0.8320.37830690128,44082,840
2014-01-13$5.26$4.2529.4%8.8%43.3%34.5%0.0%2.3%2.6%1.8M-40.2M-103.3K0.1420.8313,8001,940128,75083,520
2014-01-14$5.53$4.2526.7%8.8%45.6%27.0%30.3%2.0%3.3%1.5M-56.9M-96.6K0.3037.6022,7006,710133,90084,540
2014-01-15$5.70$4.2529.1%9.0%34.4%33.7%0.0%2.1%3.7%888.8K-62.1M-102.3K0.0820.8011,460920136,79087,660
2014-01-16$5.54$4.2527.7%8.7%28.2%29.6%0.0%2.1%3.5%1.6M-58.0M-111.0K0.0639.9818,3601,010142,02088,020
2014-01-17$5.61$4.2527.6%8.8%28.2%29.4%0.0%2.1%4.1%931.1K-63.3M-127.8K0.1739.924,760800153,00088,730
2014-01-21$5.61$4.2528.1%8.8%25.0%30.8%32.9%1.7%4.6%724.4K-36.5M-125.9K0.2053.453,570710105,72053,660
2014-01-22$5.71$4.2526.9%9.0%25.4%27.4%30.9%2.1%5.2%815.2K-39.7M-121.6K0.0843.967,830630108,04054,320
2014-01-23$5.61$4.2527.2%9.0%26.8%28.2%0.0%2.5%5.6%882.6K-38.4M-130.8K0.5040.414,2402,120113,62054,760
2014-01-24$5.45$4.2526.9%8.7%29.0%27.6%41.4%2.8%6.1%810.1K-32.6M-135.1K1.9842.153,2906,500114,23056,030
2014-01-27$5.45$4.2527.4%9.0%29.0%29.0%0.0%1.5%6.2%704.2K-31.9M-134.0K2.4026.911,2603,030114,51060,410
2014-01-28$5.47$4.2527.4%8.8%29.0%28.9%0.0%2.4%5.8%707.2K-32.0M-134.9K1.0524.951,6201,700114,90061,460
2014-01-29$5.41$4.2528.4%8.9%29.4%31.6%0.0%2.3%5.3%660.1K-29.7M-134.2K0.0140.217,55090115,03062,240
2014-01-30$5.50$4.2528.3%8.9%30.0%31.5%31.9%2.1%5.1%795.4K-34.3M-134.2K0.2922.166,2601,830120,11062,290
2014-01-31$5.46$4.2528.7%8.9%30.1%32.6%32.9%1.8%5.8%832.7K-32.9M-139.7K0.1023.6312,2901,260125,37062,470