AVGO Options History — April 2014

In April 2014, AVGO traded between $5.85 and $6.54. ATM implied volatility averaged 30.1%, placing in the 52.9% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 0.0% (HV 20d: 30.1%). Max pain ranged from $5.50 to $5.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2014-04-24: Highest Volume — 96,620 contracts
  • 2014-04-07: Largest IV spike — 12.7% change
  • 2014-04-28: Highest IV Rank — 70.8%
  • 2014-04-11: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.18$5.85$6.54$6.50$6.35
Max Pain$5.50$5.50$5.50$5.50$5.50
ATM IV30.1%25.5%34.4%26.9%33.1%
Expected Move9.1%8.8%9.6%9.0%9.4%
HV 20d30.1%19.9%40.4%19.9%40.4%
HV 60d28.3%26.8%30.5%26.8%30.5%
IV Rank52.9%34.1%70.8%39.7%65.4%
IV Percentile62.3%9.1%89.3%28.2%84.5%
Term Structure2.3%0.0%4.3%0.0%4.3%
VWIV32.1%30.2%34.5%32.0%32.7%
Skew 25d3.3%1.2%4.8%1.2%4.1%
Skew 10d7.5%-5.2%20.2%4.0%16.0%
Call IV 25d29.1%24.8%33.9%26.3%31.0%
Put IV 25d32.4%27.4%36.0%27.5%35.1%
Bid-Ask Spread %35.4524.3457.7024.3443.63
Gamma HHI0.250.130.540.220.54
Net GEX814.3K109.3K2.3M853.5K2.3M
Net DEX-22.3M-46.3M-5.9M-35.2M-46.3M
Net VEX-163.2K-240.1K-133.5K-133.5K-240.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.023.111.450.08
Total Volume14,970.9521,64096,6205,92024,780
Total OI204,268.571144,750263,740177,520263,740

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$6.50$5.5026.9%9.0%19.9%39.7%32.0%1.2%0.0%853.5K-35.2M-133.5K1.4524.342,4203,50090,75086,770
2014-04-02$6.46$5.5026.0%9.0%20.0%36.4%31.0%2.1%0.6%883.1K-33.7M-136.9K0.2425.352,41058091,91088,670
2014-04-03$6.39$5.5025.5%8.8%20.2%34.1%0.0%2.6%1.3%946.0K-31.8M-139.5K0.4628.841,14052093,47088,630
2014-04-04$6.18$5.5026.6%8.9%23.1%38.7%34.2%4.6%2.5%864.9K-23.8M-144.8K2.5834.314,87012,56094,30088,700
2014-04-07$6.04$5.5030.0%9.1%24.4%52.5%31.9%4.0%1.1%568.3K-15.9M-146.7K0.7842.4313,64010,61096,55098,280
2014-04-08$6.02$5.5029.8%9.3%24.1%51.9%34.5%3.3%2.5%490.0K-15.1M-154.5K1.4732.272,6203,840104,590104,180
2014-04-09$6.25$5.5028.1%8.8%27.0%45.0%0.0%3.3%2.5%730.5K-24.8M-155.0K0.0524.653,800200104,810104,020
2014-04-10$5.99$5.5031.3%9.1%30.8%58.0%0.0%4.0%1.3%425.1K-13.8M-152.9K3.1130.512,5808,030106,530104,090
2014-04-11$5.85$5.5032.6%9.6%31.6%63.1%30.3%2.5%1.4%236.7K-5.9M-157.4K1.8335.523,3506,130107,670111,410
2014-04-14$5.88$5.5031.4%9.2%31.3%58.2%0.0%4.3%1.2%109.3K-6.3M-148.6K0.0246.722,58060108,760108,870
2014-04-15$5.89$5.5030.8%8.9%31.1%55.8%0.0%3.4%1.9%113.3K-7.2M-150.4K0.1930.134,690870108,940108,910
2014-04-16$5.93$5.5029.8%9.0%31.0%51.8%0.0%3.6%2.2%160.9K-9.3M-145.4K0.6730.21980660109,120105,680
2014-04-17$6.09$5.5029.3%9.0%32.2%49.6%30.2%2.5%3.1%311.6K-18.3M-149.4K0.4233.216,2102,630109,430105,890
2014-04-21$6.19$5.5030.0%9.0%32.2%52.5%33.0%3.4%3.6%376.3K-13.9M-146.2K0.3024.7724,5807,37078,56066,190
2014-04-22$6.34$5.5029.9%9.2%33.2%52.0%31.5%3.0%3.4%814.5K-22.0M-150.5K0.2446.1710,4702,52090,02072,850
2014-04-23$6.46$5.5029.0%8.9%33.5%48.7%32.7%4.8%3.3%865.4K-26.3M-149.3K0.1549.634,56070090,24074,440
2014-04-24$6.54$5.5030.9%8.8%33.0%56.4%0.0%3.8%3.8%849.2K-29.1M-151.6K0.0557.7092,3104,31091,24074,800
2014-04-25$6.23$5.5032.3%9.2%37.4%61.8%0.0%3.1%3.9%1.8M-34.8M-223.4K0.3334.5214,3304,670163,01078,230
2014-04-28$6.08$5.5034.4%9.3%37.5%70.8%0.0%1.7%2.0%1.6M-27.3M-222.8K2.6834.475,41014,520172,31080,480
2014-04-29$6.09$5.5034.1%9.3%37.5%69.5%0.0%4.4%2.1%1.8M-27.2M-227.6K0.2735.001,880500183,17079,430
2014-04-30$6.35$5.5033.1%9.4%40.4%65.4%0.0%4.1%4.3%2.3M-46.3M-240.1K0.0843.6323,0301,750184,13079,610