AVGO Options History — May 2014

In May 2014, AVGO traded between $6.35 and $7.09. ATM implied volatility averaged 33.8%, placing in the 65.0% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 0.0% (HV 20d: 33.9%). 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 2 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2014-05-30: Highest Volume — 42,980 contracts
  • 2014-05-30: Largest IV drop — 23.5% change
  • 2014-05-28: Highest IV Rank — 81.8%
  • 2014-05-06: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.81$6.35$7.09$6.35$7.07
Max Pain$5.50$5.50$5.50$5.50$5.50
ATM IV33.8%27.8%38.1%33.1%27.8%
Expected Move9.2%8.8%9.5%9.2%9.0%
HV 20d33.9%23.9%40.5%40.4%24.0%
HV 60d30.4%29.1%31.3%30.4%29.2%
IV Rank65.0%27.1%81.8%65.5%27.1%
IV Percentile83.7%40.5%98.8%84.5%40.5%
Term Structure-2.8%-6.5%4.6%3.3%-0.4%
VWIV31.7%29.9%33.3%33.3%30.2%
Skew 25d4.3%3.1%5.7%3.8%3.5%
Skew 10d9.0%4.6%18.4%15.1%8.4%
Call IV 25d33.4%25.9%35.5%30.7%25.9%
Put IV 25d37.7%29.3%40.5%34.5%29.3%
Bid-Ask Spread %40.2023.9159.9823.9133.86
Gamma HHI0.450.280.560.550.28
Net GEX3.0M2.4M3.6M2.8M3.3M
Net DEX-82.1M-101.0M-51.6M-51.6M-101.0M
Net VEX-216.9K-251.5K-186.0K-251.5K-198.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.063.800.060.78
Total Volume12,862.3811,73042,98019,91042,980
Total OI280,002.857244,380311,920281,940311,920

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$6.35$5.5033.1%9.2%40.4%65.5%33.3%3.8%3.3%2.8M-51.6M-251.5K0.0623.9118,8201,090201,84080,100
2014-05-02$6.43$5.5030.9%9.3%40.5%56.2%29.9%4.1%4.6%2.9M-56.8M-251.5K0.5140.523,5901,830197,68080,720
2014-05-05$6.42$5.5033.2%9.1%38.4%65.6%0.0%5.1%-3.0%2.9M-55.8M-244.6K0.7743.225,7504,450199,12081,920
2014-05-06$6.73$5.5033.1%9.5%40.3%65.4%33.3%5.6%-2.0%3.2M-82.0M-238.7K0.1750.8915,6702,710202,40085,520
2014-05-07$6.68$5.5032.5%9.3%40.5%63.0%31.1%3.7%-3.0%3.2M-78.1M-239.7K0.4059.982,360950205,22086,740
2014-05-08$6.79$5.5032.1%9.2%38.9%61.3%32.7%4.9%-2.3%3.3M-87.6M-230.3K2.9548.993,80011,200205,70087,200
2014-05-09$6.74$5.5030.6%9.2%35.1%55.2%0.0%5.7%-3.2%3.5M-83.0M-232.2K3.8033.836502,470206,12086,390
2014-05-12$6.91$5.5030.5%8.9%34.1%54.8%31.7%4.3%-3.1%3.2M-97.7M-208.4K0.6757.753,2802,200206,19087,750
2014-05-13$6.88$5.5030.3%9.2%34.4%54.1%31.0%4.7%-2.4%3.3M-95.6M-213.2K0.6133.132,0001,230207,48088,900
2014-05-14$6.85$5.5032.1%9.1%34.6%61.3%0.0%3.3%-2.4%3.5M-95.3M-210.6K2.5036.402,9907,460207,88089,340
2014-05-15$6.79$5.5035.5%9.2%35.1%75.3%31.7%3.7%-2.6%3.6M-88.6M-215.0K1.3130.242,9503,870206,18092,270
2014-05-16$6.85$5.5035.6%9.2%34.3%68.5%0.0%3.6%-2.6%3.0M-93.8M-210.9K0.2149.027,4701,570206,89095,700
2014-05-19$6.83$5.5036.6%9.3%34.2%73.7%31.2%3.1%-5.0%2.5M-74.0M-201.7K0.8856.353,3202,910175,59068,790
2014-05-20$6.75$5.5036.4%9.2%33.9%72.8%0.0%5.0%-4.2%2.6M-68.0M-211.0K0.3336.317,3602,460177,46070,490
2014-05-21$6.84$5.5036.2%9.0%33.6%71.8%0.0%4.5%-4.2%2.6M-73.4M-210.0K0.6732.121,9501,310180,04072,710
2014-05-22$6.87$5.5035.9%9.2%33.4%69.9%32.2%3.1%-3.7%2.6M-77.6M-209.2K2.3341.325201,210181,10073,630
2014-05-23$7.05$5.5036.0%8.8%28.8%70.4%32.9%4.4%-5.2%2.4M-88.1M-192.9K0.5131.023,7601,920181,20074,430
2014-05-27$7.09$5.5037.7%9.2%26.3%79.5%0.0%4.9%-6.1%2.4M-91.2M-186.0K0.3040.3915,2304,550183,13076,030
2014-05-28$7.01$5.5038.1%9.1%27.1%81.8%0.0%5.0%-6.5%2.6M-87.9M-198.2K0.4126.1221,2208,730188,82078,720
2014-05-29$7.08$5.5036.3%9.2%23.9%72.2%30.4%4.9%-4.5%2.9M-97.0M-200.1K0.5038.8726,87013,450205,26085,490
2014-05-30$7.07$5.5027.8%9.0%24.0%27.1%30.2%3.5%-0.4%3.3M-101.0M-198.9K0.7833.8624,10018,880217,52094,400