AVGO Options History — September 2014

In September 2014, AVGO traded between $8.50 and $8.95. ATM implied volatility averaged 24.7%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 4.3% (HV 20d: 29.0%). Max pain ranged from $8.00 to $8.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2014-09-16: Highest Volume — 133,130 contracts
  • 2014-09-08: Largest IV spike — 6.9% change
  • 2014-09-29: Highest IV Rank — 20.7%
  • 2014-09-25: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.76$8.50$8.95$8.50$8.70
Max Pain$8.45$8.00$8.50$8.00$8.50
ATM IV24.7%23.1%26.0%24.0%25.7%
Expected Move7.8%7.4%8.0%8.0%8.0%
HV 20d29.0%21.0%34.3%29.8%21.0%
HV 60d26.5%25.9%27.3%25.9%27.2%
IV Rank14.1%6.0%20.7%10.4%19.2%
IV Percentile10.5%1.2%26.2%3.2%21.8%
Term Structure1.4%-0.4%3.1%0.5%0.7%
VWIV27.7%26.1%29.2%28.5%27.8%
Skew 25d2.3%1.1%3.8%1.8%1.8%
Skew 10d4.8%-0.8%10.1%3.1%3.2%
Call IV 25d24.4%22.8%26.7%23.9%26.7%
Put IV 25d26.7%24.6%29.8%25.7%28.5%
Bid-Ask Spread %51.2436.8066.0146.6762.43
Gamma HHI0.230.190.420.210.19
Net GEX1.8M326.1K2.9M2.7M326.1K
Net DEX-66.9M-101.5M-29.7M-83.0M-32.3M
Net VEX-187.2K-230.3K-146.5K-146.5K-230.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.022.680.220.19
Total Volume27,535.7147,300133,13051,1208,460
Total OI238,471.429179,810294,870219,990207,770

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$8.50$8.0024.0%8.0%29.8%10.4%28.5%1.8%0.5%2.7M-83.0M-146.5K0.2246.6741,9709,150134,47085,520
2014-09-03$8.54$8.0023.1%7.9%28.2%6.0%27.6%1.1%0.9%2.6M-81.7M-150.2K0.2543.1518,9804,720134,10090,210
2014-09-04$8.61$8.5024.0%7.9%28.1%10.7%26.8%1.9%0.2%2.7M-84.0M-151.7K0.4154.5824,99010,370137,66092,720
2014-09-05$8.79$8.5023.6%7.8%27.3%8.3%26.1%2.4%2.5%2.9M-97.2M-163.2K0.6842.3316,62011,300150,750100,070
2014-09-08$8.82$8.5025.2%8.0%27.5%16.5%28.1%1.7%2.4%2.8M-98.8M-165.8K0.4736.8040,70019,190153,620107,590
2014-09-09$8.84$8.5025.5%8.0%27.6%18.3%28.0%1.6%1.9%2.4M-97.4M-175.9K0.4457.0916,5907,380158,280117,250
2014-09-10$8.90$8.5024.4%7.8%27.5%12.6%27.7%2.8%2.7%2.5M-101.5M-182.5K0.4063.027,2302,910165,580121,140
2014-09-11$8.91$8.5024.3%7.4%27.8%12.3%28.2%2.9%1.4%2.4M-100.7M-181.2K0.3662.997,1402,590164,190122,760
2014-09-12$8.79$8.5024.1%7.9%28.5%11.3%28.0%1.2%3.1%2.3M-93.1M-184.6K1.0547.309,80010,270164,440124,140
2014-09-15$8.67$8.5025.5%8.0%29.4%18.3%27.1%1.2%2.1%2.3M-83.6M-183.3K1.2648.305,5907,070166,580126,490
2014-09-16$8.79$8.5025.4%8.0%29.5%17.4%27.0%3.3%2.7%2.1M-91.7M-184.8K0.0246.43131,0702,060166,640128,230
2014-09-17$8.77$8.5024.8%7.6%29.7%14.7%26.1%3.2%1.9%1.7M-45.1M-190.5K0.3255.627,2902,300116,300128,300
2014-09-18$8.95$8.5024.3%7.9%30.0%12.3%0.0%1.9%3.0%2.4M-54.5M-177.4K0.2242.0811,2602,490110,500123,490
2014-09-19$8.91$8.5024.0%7.5%30.2%10.3%27.4%1.4%2.8%2.1M-55.1M-181.0K1.2449.6522,12027,410114,750124,870
2014-09-22$8.72$8.5024.8%7.8%31.8%14.4%29.2%2.1%-0.4%693.6K-33.4M-196.8K1.2848.099,74012,45093,42086,390
2014-09-23$8.76$8.5025.1%7.8%31.5%16.2%28.1%2.6%0.7%872.8K-36.1M-204.3K2.6846.844,86013,01097,04087,980
2014-09-24$8.90$8.5024.3%7.7%31.6%11.8%27.4%3.7%0.9%762.5K-40.5M-214.3K0.6845.524,3402,96098,77097,180
2014-09-25$8.65$8.5025.6%8.0%34.2%18.5%28.8%2.6%-0.0%341.6K-29.7M-218.3K1.0346.589,95010,260101,32098,550
2014-09-26$8.75$8.5025.2%7.9%34.3%16.7%28.2%3.5%0.1%478.1K-33.7M-223.2K0.2666.018,6402,210102,480101,020
2014-09-29$8.71$8.5026.0%7.8%24.1%20.7%27.8%3.8%0.0%400.5K-31.7M-225.7K0.4464.567,5303,280103,600101,740
2014-09-30$8.70$8.5025.7%8.0%21.0%19.2%0.0%1.8%0.7%326.1K-32.3M-230.3K0.1962.437,0901,370105,010102,760