AVGO Options History — June 2014

In June 2014, AVGO traded between $7.07 and $7.21. ATM implied volatility averaged 25.7%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 11.0% (HV 20d: 14.8%). Max pain ranged from $5.25 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 0.60.

Notable Days

  • 2014-06-16: Highest Volume — 317,760 contracts
  • 2014-06-20: Largest IV drop — 6.4% change
  • 2014-06-16: Highest IV Rank — 25.7%
  • 2014-06-23: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.14$7.07$7.21$7.16$7.21
Max Pain$5.39$5.25$5.50$5.50$5.50
ATM IV25.7%24.1%27.5%25.8%24.1%
Expected Move8.9%8.5%9.3%9.0%8.8%
HV 20d14.8%10.1%24.1%24.0%11.0%
HV 60d28.4%27.6%29.3%29.3%27.7%
IV Rank16.1%7.4%25.7%16.3%7.4%
IV Percentile14.1%2.8%39.7%11.1%2.8%
Term Structure2.3%0.4%3.8%0.5%2.0%
VWIV32.5%30.2%35.1%33.8%30.5%
Skew 25d3.6%1.4%5.3%4.5%5.3%
Skew 10d7.7%2.8%16.0%8.6%16.0%
Call IV 25d25.0%22.9%26.9%25.6%23.1%
Put IV 25d28.6%26.9%30.1%30.1%28.4%
Bid-Ask Spread %32.5925.6846.1332.6132.15
Gamma HHI0.240.160.410.260.20
Net GEX2.3M568.4K3.4M3.2M801.0K
Net DEX-71.3M-118.7M-18.3M-110.0M-24.3M
Net VEX-164.0K-190.0K-131.6K-187.8K-184.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.011.740.761.06
Total Volume28,774.7623,390317,76012,8106,690
Total OI262,540.476146,140334,600314,500203,010

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$7.16$5.5025.8%9.0%24.0%16.3%33.8%4.5%0.5%3.2M-110.0M-187.8K0.7632.617,2705,540219,50095,000
2014-06-03$7.14$5.5025.9%9.0%24.1%17.3%31.2%3.8%0.4%3.2M-110.6M-185.9K0.3330.486,5102,180221,38097,640
2014-06-04$7.16$5.5025.8%8.9%18.4%16.7%30.9%4.7%0.4%3.3M-111.3M-190.0K0.8536.222,8402,410225,50098,310
2014-06-05$7.19$5.5025.1%8.9%17.9%12.5%32.0%4.1%1.2%3.3M-112.5M-185.6K0.0630.3792,1305,710224,86099,770
2014-06-06$7.16$5.5025.2%8.5%17.4%13.4%31.5%1.9%3.7%3.3M-112.6M-181.1K0.7246.135,1603,740225,810102,670
2014-06-09$7.18$5.5026.1%8.9%16.9%17.9%34.1%2.7%3.2%3.3M-116.1M-175.3K0.1931.0316,8203,270228,760103,200
2014-06-10$7.19$5.5025.5%8.8%14.8%14.8%32.5%3.1%3.3%3.1M-115.0M-171.7K0.7036.262,5801,800223,810105,060
2014-06-11$7.17$5.5024.7%8.9%14.6%10.6%34.4%2.6%3.2%2.9M-117.3M-165.1K0.6541.822,0601,330224,260105,800
2014-06-12$7.18$5.5026.0%9.0%14.5%17.8%33.6%3.3%3.6%3.2M-118.7M-160.0K0.1229.508,9301,110224,590106,210
2014-06-13$7.14$5.2526.2%8.9%14.2%18.6%32.6%1.9%3.8%3.4M-116.9M-160.1K0.0630.745,690330227,990106,310
2014-06-16$7.09$5.2527.5%8.7%14.4%25.7%32.1%1.9%3.2%3.0M-114.1M-151.4K0.0136.43315,2402,520228,220106,380
2014-06-17$7.15$5.2526.3%9.2%14.5%19.2%34.5%4.1%3.8%2.2M-31.2M-144.3K0.5129.178,3804,270102,430106,090
2014-06-18$7.12$5.2527.5%9.0%13.8%25.5%0.0%3.9%2.3%2.4M-29.3M-146.3K1.3931.421,4201,980104,570107,990
2014-06-19$7.09$5.2526.6%8.7%13.4%20.7%35.1%4.3%3.1%2.7M-27.1M-138.5K0.1239.246,330760100,430104,500
2014-06-20$7.16$5.2524.9%8.9%13.6%11.6%32.7%4.0%3.8%2.0M-31.3M-135.1K0.2025.773,640710100,890105,070
2014-06-23$7.12$5.2526.1%9.3%10.1%18.2%32.4%3.3%1.5%726.5K-21.3M-131.6K1.7429.432,6904,69067,60078,540
2014-06-24$7.07$5.2525.6%9.1%10.4%15.4%31.4%1.4%1.2%715.5K-20.4M-134.8K1.6630.4516,27027,08069,08082,410
2014-06-25$7.16$5.2524.7%9.2%10.5%10.9%32.7%4.9%1.9%639.3K-20.4M-168.7K0.9129.212,9902,73082,570107,560
2014-06-26$7.10$5.5025.8%9.0%10.6%16.6%31.2%4.4%0.6%568.4K-18.3M-171.8K0.4030.253,5301,41083,760109,560
2014-06-27$7.09$5.5024.9%9.0%10.6%11.7%30.2%5.0%2.2%587.3K-18.4M-174.4K0.0525.6812,86067085,570110,690
2014-06-30$7.21$5.5024.1%8.8%11.0%7.4%30.5%5.3%2.0%801.0K-24.3M-184.8K1.0632.153,2403,45092,050110,960