AVGO Options History — March 2014

In March 2014, AVGO traded between $6.17 and $6.53. ATM implied volatility averaged 27.4%, placing in the 42.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 2.3% (HV 20d: 25.2%). Max pain ranged from $4.50 to $5.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2014-03-17: Highest Volume — 124,600 contracts
  • 2014-03-11: Largest IV drop — 7.0% change
  • 2014-03-03: Highest IV Rank — 50.1%
  • 2014-03-11: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.33$6.17$6.53$6.17$6.44
Max Pain$4.74$4.50$5.50$4.50$5.50
ATM IV27.4%26.3%29.4%29.4%27.3%
Expected Move8.9%8.5%9.2%8.8%9.0%
HV 20d25.2%20.3%28.7%28.7%21.5%
HV 60d30.2%25.3%37.0%36.9%26.7%
IV Rank42.1%37.3%50.1%50.1%41.4%
IV Percentile37.1%15.5%61.5%61.5%34.9%
Term Structure1.8%-1.5%4.3%-1.5%-0.2%
VWIV31.5%29.2%33.3%30.1%29.8%
Skew 25d2.5%1.5%3.3%3.3%1.5%
Skew 10d6.1%2.8%10.8%5.6%2.8%
Call IV 25d26.6%25.3%27.9%27.9%27.0%
Put IV 25d29.1%27.5%31.3%31.3%28.5%
Bid-Ask Spread %25.0711.3039.9123.0625.57
Gamma HHI0.250.210.550.210.22
Net GEX1.4M813.3K2.4M1.6M852.2K
Net DEX-61.0M-90.2M-26.9M-77.0M-33.7M
Net VEX-133.3K-154.3K-113.6K-154.3K-133.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.014.330.040.59
Total Volume14,4102,290124,6004,4403,340
Total OI244,220.952152,620309,600286,470175,820

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$6.17$4.5029.4%8.8%28.7%50.1%30.1%3.3%-1.5%1.6M-77.0M-154.3K0.0423.064,280160184,170102,300
2014-03-04$6.33$4.5027.6%8.7%26.9%42.8%32.6%3.1%-0.7%1.7M-88.0M-139.3K0.0518.3230,4001,610185,390102,350
2014-03-05$6.31$4.5027.8%8.9%27.2%43.4%0.0%1.8%-0.7%1.8M-88.6M-144.1K0.1325.0610,5201,320190,980102,950
2014-03-06$6.36$4.5028.1%9.1%27.0%44.8%32.0%2.8%-0.7%1.7M-90.2M-139.8K0.2925.021,770520187,980103,770
2014-03-07$6.28$4.5027.6%8.8%27.6%42.8%0.0%2.7%3.5%1.7M-85.5M-143.1K0.0817.722,940240188,990103,800
2014-03-10$6.28$4.5028.6%8.9%26.8%47.0%30.2%2.5%2.9%1.8M-86.5M-136.1K0.1411.302,610370189,600103,870
2014-03-11$6.20$4.5026.6%9.2%27.3%38.7%0.0%2.5%3.8%1.8M-81.3M-142.5K2.8520.733,85010,980190,620103,880
2014-03-12$6.32$4.5026.8%8.6%26.1%39.5%0.0%2.7%3.9%1.4M-85.9M-138.8K0.3224.073,8701,250190,980113,760
2014-03-13$6.27$4.5027.9%8.9%26.1%43.8%0.0%3.0%2.3%1.4M-82.3M-137.6K0.4224.757,9003,310189,780113,820
2014-03-14$6.27$4.5028.1%8.9%26.1%44.7%0.0%3.0%3.1%1.4M-82.6M-140.0K0.0627.6516,5301,000192,240116,260
2014-03-17$6.34$4.5027.8%8.5%25.2%43.7%0.0%2.3%3.5%1.5M-88.6M-130.4K0.0134.81123,0301,570193,100116,500
2014-03-18$6.38$4.5026.7%8.9%25.2%39.0%31.6%2.2%3.6%1.2M-36.0M-125.0K0.4020.382,490990103,610117,610
2014-03-19$6.44$4.5026.7%8.7%24.5%39.0%32.4%2.6%3.4%1.5M-40.0M-121.9K0.2439.912,170520103,920117,770
2014-03-20$6.53$4.5026.8%8.9%23.9%39.4%32.7%2.5%3.6%2.4M-43.9M-113.6K0.3332.533,0601,010100,770115,790
2014-03-21$6.39$4.5026.4%8.9%25.4%38.0%31.4%1.9%4.3%1.1M-37.1M-115.6K0.1623.437,0701,120101,720115,900
2014-03-24$6.32$4.5027.8%9.0%25.5%43.8%32.8%2.8%-0.5%972.9K-31.6M-118.9K1.0521.464,3004,51088,04064,580
2014-03-25$6.40$5.5026.7%8.9%25.3%39.2%29.2%2.3%1.0%1.0M-33.7M-120.2K0.5827.271,56091088,28064,920
2014-03-26$6.28$5.5027.8%9.1%20.6%43.6%33.3%2.7%0.3%1.0M-30.4M-121.7K4.3326.094,54019,66089,05065,730
2014-03-27$6.28$5.5027.2%9.1%20.3%41.2%0.0%3.1%1.4%813.3K-26.9M-140.6K0.0522.0112,43060088,51084,880
2014-03-28$6.41$5.5026.3%8.8%21.5%37.3%29.8%2.1%1.1%843.1K-32.0M-141.0K0.6435.411,40090089,61085,040
2014-03-31$6.44$5.5027.3%9.0%21.5%41.4%0.0%1.5%-0.2%852.2K-33.7M-133.6K0.5925.572,1001,24090,09085,730