AVGO Options History — July 2014

In July 2014, AVGO traded between $6.94 and $7.54. ATM implied volatility averaged 25.9%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 4.5% (HV 20d: 21.4%). Max pain ranged from $5.50 to $5.50. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.00.

Notable Days

  • 2014-07-23: Highest Volume — 26,520 contracts
  • 2014-07-10: Largest IV spike — 11.1% change
  • 2014-07-31: Highest IV Rank — 29.4%
  • 2014-07-10: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.31$6.94$7.54$7.40$6.94
Max Pain$5.50$5.50$5.50$5.50$5.50
ATM IV25.9%23.3%28.2%23.3%28.2%
Expected Move8.8%8.6%9.1%8.6%8.9%
HV 20d21.4%14.4%29.5%14.4%27.7%
HV 60d23.9%21.0%27.1%27.1%21.0%
IV Rank17.2%3.2%29.4%3.2%29.4%
IV Percentile22.3%1.2%58.7%1.2%58.7%
Term Structure3.1%1.2%3.9%2.5%3.5%
VWIV31.0%29.2%34.0%29.9%31.2%
Skew 25d2.7%-0.5%4.8%3.9%3.1%
Skew 10d5.2%-4.4%12.9%12.9%4.5%
Call IV 25d25.3%22.7%27.3%22.7%27.3%
Put IV 25d28.0%25.9%30.4%26.6%30.4%
Bid-Ask Spread %54.0928.5173.1037.4053.85
Gamma HHI0.270.190.650.240.22
Net GEX802.9K-549.3K2.7M971.6K-496.4K
Net DEX-23.9M-42.0M5.2M-33.8M4.0M
Net VEX-174.5K-189.3K-157.8K-180.8K-167.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.134.630.320.44
Total Volume8,366.8182,03026,52010,6003,860
Total OI200,712.273147,630229,610206,770183,070

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$7.40$5.5023.3%8.6%14.4%3.2%29.9%3.9%2.5%971.6K-33.8M-180.8K0.3237.408,0202,58093,020113,750
2014-07-02$7.43$5.5023.9%8.9%14.4%6.2%31.2%3.5%2.2%1.1M-35.7M-184.6K0.7852.873,2602,54095,780114,950
2014-07-03$7.52$5.5024.1%8.7%14.8%7.3%0.0%3.4%1.8%1.1M-39.3M-178.8K0.2166.105,0001,07096,280114,960
2014-07-07$7.45$5.5025.6%8.8%15.2%15.7%31.4%1.8%3.1%1.1M-38.4M-177.3K0.5028.515,4702,73098,240115,210
2014-07-08$7.34$5.5026.6%8.8%16.4%20.8%31.0%4.8%1.2%1.1M-32.0M-181.7K0.2553.896,7901,700101,390116,760
2014-07-09$7.42$5.5024.1%8.7%16.8%7.4%29.2%3.5%2.8%1.3M-36.8M-178.9K0.6570.984,8703,160102,570116,700
2014-07-10$7.32$5.5026.7%9.1%17.7%21.4%34.0%4.4%2.8%1.3M-31.6M-186.6K0.3054.633,6701,090104,810118,870
2014-07-11$7.32$5.5026.3%9.0%17.7%18.9%0.0%3.2%3.4%1.3M-32.4M-181.8K0.6739.581,400940105,710119,600
2014-07-14$7.40$5.5025.9%8.6%18.0%16.9%33.1%2.1%2.6%1.5M-37.3M-173.7K0.3443.394,2701,440105,880120,200
2014-07-15$7.34$5.5026.2%8.8%18.0%18.4%31.4%2.5%3.2%1.5M-34.3M-175.0K0.4643.873,6201,670107,150120,680
2014-07-16$7.37$5.5026.2%8.6%17.9%18.8%31.5%1.9%3.2%1.5M-35.7M-174.1K0.7835.201,8601,450108,100121,510
2014-07-17$7.19$5.5026.2%8.8%20.0%18.6%32.5%1.5%2.9%1.1M-25.1M-166.6K1.1038.732,9103,190106,090120,530
2014-07-18$7.50$5.5025.3%8.8%24.8%14.1%30.1%4.5%3.6%2.7M-42.0M-162.7K0.6356.165,2403,290105,230121,660
2014-07-21$7.54$5.5026.3%8.6%24.7%19.1%0.0%3.8%3.7%727.7K-25.2M-157.8K0.5255.576,5003,35073,27074,360
2014-07-22$7.54$5.5025.6%8.7%24.6%15.7%29.2%3.1%3.9%865.8K-27.3M-160.9K0.6848.875,7703,90077,40077,230
2014-07-23$7.36$5.5026.5%8.9%26.1%20.2%0.0%2.3%3.6%606.5K-21.0M-165.2K4.6373.104,71021,81079,94080,820
2014-07-24$7.25$5.5026.2%8.9%26.4%18.4%0.0%2.8%3.8%-85.3K-6.6M-189.3K2.9262.363,73010,89080,690101,750
2014-07-25$6.99$5.5026.6%8.8%29.3%20.8%30.7%1.1%3.5%-549.3K5.2M-181.3K0.9172.236,2105,67081,360102,110
2014-07-28$7.05$5.5027.0%8.7%29.5%22.8%31.0%2.7%3.5%-344.0K-260.0K-171.1K4.5365.973,10014,03081,96094,350
2014-07-29$6.99$5.5026.8%8.8%29.0%21.7%29.3%0.5%3.7%-451.6K1.1M-169.0K0.1364.804,66062082,75096,420
2014-07-30$7.05$5.5026.8%8.7%27.3%21.8%31.2%-0.5%3.5%-290.7K-1.1M-175.0K0.3171.961,55048085,80096,760
2014-07-31$6.94$5.5028.2%8.9%27.7%29.4%0.0%3.1%3.5%-496.4K4.0M-167.0K0.4453.852,6801,18086,17096,900