AVGO Options History — October 2014

In October 2014, AVGO traded between $6.91 and $8.63. ATM implied volatility averaged 35.0%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 10.6% (HV 20d: 45.6%). Max pain ranged from $8.00 to $8.50. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.76.

Notable Days

2014-10-10: Highest Volume — 94,740 contracts
2014-10-10: Largest IV spike — 37.7% change
2014-10-10: Highest IV Rank — 100.0%
2014-10-15: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.01	$6.91	$8.63	$8.55	$8.63
Max Pain	$8.24	$8.00	$8.50	$8.50	$8.00
ATM IV	35.0%	27.5%	54.9%	28.2%	32.1%
Expected Move	9.7%	8.2%	11.3%	8.2%	9.7%
HV 20d	45.6%	21.9%	60.4%	21.9%	60.4%
HV 60d	35.6%	27.3%	40.8%	27.3%	40.8%
IV Rank	46.6%	27.2%	100.0%	32.1%	30.9%
IV Percentile	78.7%	46.8%	100.0%	57.5%	76.6%
Term Structure	1.4%	-4.1%	5.3%	-0.4%	3.4%
VWIV	32.9%	27.3%	39.4%	29.9%	33.8%
Skew 25d	3.8%	-0.4%	8.1%	1.5%	4.5%
Skew 10d	7.6%	1.9%	16.2%	1.9%	7.8%
Call IV 25d	32.3%	26.0%	41.3%	28.2%	30.0%
Put IV 25d	36.2%	28.7%	49.2%	29.6%	34.6%
Bid-Ask Spread %	52.16	34.01	67.27	50.11	39.45
Gamma HHI	0.17	0.12	0.25	0.19	0.16
Net GEX	691.3K	-210.7K	1.5M	208.7K	1.5M
Net DEX	-15.8M	-52.8M	32.3M	-26.4M	-52.8M
Net VEX	-236.1K	-257.9K	-188.1K	-233.5K	-257.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.13	1.56	0.13	0.70
Total Volume	23,695.652	8,810	94,740	9,150	23,130
Total OI	217,873.043	162,100	290,560	211,470	189,470

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2014-10-01	$8.55	$8.50	28.2%	8.2%	21.9%	32.1%	29.9%	1.5%	-0.4%	208.7K	-26.4M	-233.5K	0.13	50.11	8,110	1,040	108,310	103,160
2014-10-02	$8.32	$8.50	29.1%	8.5%	23.7%	36.5%	29.4%	2.3%	0.1%	-120.4K	-11.1M	-229.6K	1.17	43.61	14,520	16,960	110,240	103,600
2014-10-03	$8.35	$8.50	27.5%	8.4%	22.3%	28.2%	27.3%	1.6%	0.3%	-210.7K	-13.9M	-232.6K	0.28	64.83	10,160	2,870	111,170	108,480
2014-10-06	$8.29	$8.50	28.1%	8.3%	22.3%	31.3%	29.1%	3.5%	2.2%	-176.5K	-10.5M	-231.5K	0.25	46.76	7,070	1,740	117,930	109,760
2014-10-07	$8.10	$8.50	28.7%	8.3%	23.2%	34.4%	29.3%	1.1%	3.0%	-139.5K	-1.4M	-227.2K	0.45	63.62	8,600	3,870	120,280	110,100
2014-10-08	$8.34	$8.25	29.1%	8.8%	25.7%	36.5%	30.0%	4.8%	1.5%	-196.2K	-14.5M	-234.1K	0.67	51.77	18,850	12,660	122,320	110,000
2014-10-09	$8.08	$8.50	33.1%	8.7%	27.6%	56.9%	29.3%	2.8%	2.0%	42.0K	-3.0M	-232.8K	0.78	56.54	16,870	13,120	125,160	110,350
2014-10-10	$7.26	$8.50	45.6%	9.8%	45.4%	100.0%	32.0%	-0.4%	-4.1%	-59.9K	28.6M	-188.1K	0.49	64.80	63,470	31,270	126,930	111,060
2014-10-13	$6.91	$8.25	50.1%	11.0%	47.7%	100.0%	31.7%	3.7%	-3.9%	273.7K	32.3M	-205.3K	0.39	60.53	28,790	11,250	157,630	128,140
2014-10-14	$7.27	$8.25	45.3%	10.5%	52.1%	82.8%	35.8%	3.6%	-3.0%	1.0M	19.5M	-222.3K	0.49	67.27	18,280	8,960	162,610	126,790
2014-10-15	$7.28	$8.25	54.9%	11.3%	52.1%	100.0%	36.5%	8.1%	-2.8%	1.0M	18.3M	-225.2K	0.51	65.44	20,500	10,360	163,950	126,610
2014-10-16	$7.56	$8.25	42.8%	11.0%	53.8%	63.2%	39.4%	3.9%	-0.2%	1.5M	-1.7M	-232.3K	0.40	51.91	13,020	5,150	160,070	118,120
2014-10-17	$7.71	$8.25	37.9%	10.3%	54.8%	48.3%	36.0%	5.4%	0.3%	1.4M	-11.8M	-236.0K	0.63	53.31	10,280	6,470	164,110	118,080
2014-10-20	$7.80	$8.25	34.8%	10.3%	54.8%	39.1%	37.2%	6.6%	3.9%	694.3K	-20.6M	-233.5K	1.04	56.96	7,680	7,960	99,120	62,980
2014-10-21	$8.18	$8.25	32.5%	9.8%	58.0%	32.1%	34.4%	5.0%	2.8%	942.1K	-32.2M	-237.4K	0.70	37.33	9,600	6,730	101,820	63,380
2014-10-22	$8.09	$8.00	34.2%	10.1%	57.6%	37.1%	34.3%	2.9%	2.8%	1.1M	-34.0M	-246.3K	0.99	40.41	7,670	7,560	108,280	63,890
2014-10-23	$8.13	$8.00	32.8%	9.9%	56.9%	32.8%	32.2%	5.1%	3.3%	1.1M	-35.1M	-250.5K	1.38	47.88	7,240	10,000	110,070	65,420
2014-10-24	$8.19	$8.00	32.5%	9.9%	56.8%	31.9%	34.1%	5.0%	4.0%	1.1M	-34.8M	-257.9K	1.38	34.01	7,010	9,650	110,860	68,880
2014-10-27	$8.13	$8.00	32.5%	10.3%	56.8%	32.0%	34.3%	4.8%	3.6%	1.1M	-33.3M	-255.1K	1.56	49.36	6,160	9,620	111,560	69,680
2014-10-28	$8.41	$8.00	30.9%	9.7%	58.3%	27.2%	33.3%	4.2%	4.2%	1.3M	-41.3M	-253.1K	1.29	56.96	7,910	10,170	111,940	70,160
2014-10-29	$8.49	$8.00	31.0%	10.0%	58.1%	27.6%	33.0%	3.5%	5.3%	1.3M	-45.2M	-253.0K	0.67	50.86	14,540	9,750	111,660	70,420
2014-10-30	$8.25	$8.00	31.8%	10.0%	58.3%	29.8%	33.7%	5.0%	3.7%	1.3M	-37.6M	-254.8K	1.06	45.97	8,910	9,470	115,610	70,920
2014-10-31	$8.63	$8.00	32.1%	9.7%	60.4%	30.9%	33.8%	4.5%	3.4%	1.5M	-52.8M	-257.2K	0.70	39.45	13,640	9,490	117,680	71,790