AVGO Options History — August 2014

In August 2014, AVGO traded between $6.96 and $8.21. ATM implied volatility averaged 29.2%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 4.8% (HV 20d: 24.4%). Max pain ranged from $5.50 to $8.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.98.

Notable Days

  • 2014-08-28: Highest Volume — 67,280 contracts
  • 2014-08-14: Largest IV spike — 40.9% change
  • 2014-08-28: Highest IV Rank — 61.1%
  • 2014-08-11: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.39$6.96$8.21$7.04$8.21
Max Pain$6.25$5.50$8.00$5.50$8.00
ATM IV29.2%21.9%33.9%29.0%23.0%
Expected Move8.7%7.7%9.3%8.8%8.2%
HV 20d24.4%15.0%28.5%27.9%28.2%
HV 60d21.0%20.4%25.1%21.2%25.1%
IV Rank35.9%0.0%61.1%33.6%5.4%
IV Percentile60.5%0.0%87.3%63.1%0.8%
Term Structure-1.6%-4.7%3.3%3.3%0.8%
VWIV31.1%25.8%34.9%31.5%28.5%
Skew 25d4.0%0.2%6.0%3.4%0.2%
Skew 10d7.6%0.8%12.4%5.8%0.8%
Call IV 25d29.1%23.0%32.6%27.4%23.0%
Put IV 25d33.1%23.2%37.1%30.8%23.2%
Bid-Ask Spread %49.9618.7772.4572.4569.98
Gamma HHI0.260.140.710.220.19
Net GEX533.5K-794.8K4.0M-328.3K2.6M
Net DEX-18.0M-71.3M2.5M-659.0K-71.3M
Net VEX-160.3K-171.7K-148.2K-169.0K-149.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.980.1216.160.340.28
Total Volume15,498.5712,24067,2804,51066,650
Total OI175,633.333131,100208,540183,780208,540

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$7.04$5.5029.0%8.8%27.9%33.6%31.5%3.4%3.3%-328.3K-659.0K-169.0K0.3472.453,3601,15086,38097,400
2014-08-04$7.13$5.5028.8%9.1%28.4%32.3%25.8%2.9%-1.8%-62.0K-5.6M-171.7K0.4169.425,8302,39088,36097,300
2014-08-05$7.01$5.5029.1%9.0%28.5%33.8%0.0%4.0%-1.5%-310.5K-1.0M-167.5K1.5163.951,0601,60091,73098,230
2014-08-06$7.03$5.5028.9%8.9%28.1%33.0%28.2%5.3%-2.1%-414.1K-1.1M-166.1K0.9647.841,6501,59092,22097,770
2014-08-07$6.96$5.5028.9%9.2%27.9%33.2%33.0%4.0%-1.6%-654.3K2.4M-162.2K16.1664.4570011,31092,47098,520
2014-08-08$7.04$5.5027.1%9.0%28.3%23.3%33.4%5.4%-1.2%-794.8K2.5M-171.3K2.3170.516,06013,97092,780107,970
2014-08-11$7.08$5.5032.4%9.3%28.0%51.5%0.0%4.3%-0.6%-527.3K-1.3M-167.5K8.0335.152,79022,39097,770107,900
2014-08-12$7.12$5.5027.4%9.0%28.0%25.0%0.0%4.1%-1.3%-389.8K-2.1M-166.3K0.3344.481,68056099,010107,540
2014-08-13$7.20$5.5021.9%9.1%28.4%0.0%31.9%4.5%-0.7%166.9K-7.8M-163.2K0.6563.933,9502,55098,500107,360
2014-08-14$7.38$5.5030.9%8.7%28.5%45.7%34.9%4.6%-1.8%2.3M-23.4M-158.0K0.1640.8211,3701,86097,710104,050
2014-08-15$7.48$5.5030.3%8.7%24.6%42.7%32.3%6.0%-1.4%4.0M-33.3M-155.9K0.1256.428,8401,070102,400104,850
2014-08-18$7.54$0.0029.9%8.6%24.7%40.5%32.0%4.0%-1.4%270.4K-19.6M-152.0K0.7843.086,8605,32065,94065,160
2014-08-19$7.56$6.5028.2%8.5%24.7%31.9%0.0%4.3%-1.0%407.1K-22.7M-155.0K1.2645.935,0706,37070,23066,730
2014-08-20$7.64$6.5028.9%8.1%23.2%35.6%32.6%4.2%-1.0%565.6K-26.2M-151.3K0.5418.774,4202,40073,18064,720
2014-08-21$7.63$6.5029.4%7.7%22.4%38.1%30.1%3.6%-2.4%561.7K-26.1M-148.2K0.1546.877,4101,13073,97066,310
2014-08-22$7.62$6.5030.1%8.3%17.1%41.5%0.0%4.2%-3.0%696.7K-27.4M-155.8K5.4231.359305,04078,63066,600
2014-08-25$7.58$6.5031.0%8.5%17.4%46.0%29.4%3.5%-3.4%653.9K-26.3M-153.8K0.5328.247,0603,73079,14068,380
2014-08-26$7.60$8.0030.9%8.4%16.8%45.7%0.0%3.9%-2.6%770.5K-27.6M-159.2K0.1244.076,78080082,86069,140
2014-08-27$7.62$8.0032.7%8.5%16.7%54.7%0.0%4.5%-4.2%930.5K-29.7M-157.2K1.1934.869,37011,12086,60068,490
2014-08-28$7.64$8.0033.9%8.3%15.0%61.1%0.0%2.8%-4.7%821.1K-29.9M-166.1K0.2856.4952,72014,56090,39075,070
2014-08-29$8.21$8.0023.0%8.2%28.2%5.4%28.5%0.2%0.8%2.6M-71.3M-149.4K0.2869.9852,18014,470126,12082,420