AVGO Options History — November 2014

In November 2014, AVGO traded between $8.51 and $9.38. ATM implied volatility averaged 35.2%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 2.8% (HV 20d: 38.0%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.53.

Notable Days

2014-11-18: Highest Volume — 57,420 contracts
2014-11-13: Largest IV spike — 17.7% change
2014-11-28: Highest IV Rank — 56.0%
2014-11-03: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.87	$8.51	$9.38	$8.64	$9.34
Max Pain	$8.00	$8.00	$8.00	$8.00	$8.00
ATM IV	35.2%	29.9%	40.4%	31.5%	40.4%
Expected Move	9.9%	9.3%	10.3%	10.3%	9.6%
HV 20d	38.0%	27.5%	60.4%	60.4%	27.5%
HV 60d	41.0%	39.0%	42.2%	40.8%	39.4%
IV Rank	40.3%	24.3%	56.0%	29.1%	56.0%
IV Percentile	85.5%	59.1%	97.2%	74.2%	97.2%
Term Structure	-1.7%	-5.5%	4.7%	4.1%	-5.4%
VWIV	33.9%	32.4%	35.8%	33.3%	35.8%
Skew 25d	4.3%	2.7%	6.1%	3.6%	3.0%
Skew 10d	10.0%	4.4%	19.4%	7.5%	7.5%
Call IV 25d	35.0%	29.6%	39.9%	30.9%	39.9%
Put IV 25d	39.3%	33.6%	42.9%	34.5%	42.9%
Bid-Ask Spread %	49.84	39.77	56.38	53.78	52.15
Gamma HHI	0.31	0.17	0.77	0.17	0.25
Net GEX	3.8M	1.5M	15.7M	1.6M	2.9M
Net DEX	-70.6M	-96.5M	-51.0M	-54.1M	-81.5M
Net VEX	-263.4K	-288.1K	-244.3K	-253.3K	-281.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.13	1.29	1.02	0.16
Total Volume	22,376.316	6,080	57,420	20,720	6,080
Total OI	226,340	191,140	270,410	191,140	226,570

Daily Data (19 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
2014-11-03	$8.64	$8.00	31.5%	10.3%	60.4%	29.1%	33.3%	3.6%	4.1%	1.6M	-54.1M	-253.3K	1.02	53.78	10,270	10,450	118,980	72,160
2014-11-04	$8.54	$8.00	32.7%	10.3%	59.9%	32.6%	34.9%	4.0%	4.7%	1.5M	-51.0M	-249.0K	0.82	48.93	12,640	10,350	120,080	73,580
2014-11-05	$8.67	$8.00	31.0%	9.7%	59.3%	27.6%	33.5%	4.6%	4.5%	1.7M	-55.0M	-255.5K	1.29	47.11	7,550	9,760	123,380	74,760
2014-11-06	$8.76	$8.00	31.4%	9.7%	58.0%	28.7%	34.2%	2.7%	4.5%	1.7M	-59.5M	-254.7K	0.30	42.17	32,520	9,640	123,390	75,120
2014-11-07	$8.51	$8.00	32.3%	9.9%	43.0%	31.5%	32.4%	4.6%	-3.1%	2.4M	-55.1M	-262.6K	0.77	56.38	13,570	10,500	149,460	75,130
2014-11-10	$8.58	$8.00	32.1%	10.3%	37.0%	30.9%	34.5%	5.1%	-1.2%	2.6M	-56.1M	-264.5K	0.74	49.94	10,130	7,520	149,810	76,140
2014-11-11	$8.61	$8.00	31.5%	9.3%	33.8%	29.1%	33.4%	5.3%	-2.1%	2.7M	-59.5M	-255.5K	0.76	54.29	9,620	7,280	149,450	74,580
2014-11-12	$8.71	$8.00	29.9%	10.0%	33.7%	24.3%	34.0%	6.1%	-2.6%	3.0M	-64.1M	-262.1K	0.65	52.98	10,760	6,980	151,940	76,760
2014-11-13	$8.74	$8.00	35.2%	10.0%	31.9%	40.3%	33.6%	5.8%	-1.7%	3.2M	-65.8M	-263.9K	0.63	54.94	10,930	6,940	153,060	77,320
2014-11-14	$8.90	$8.00	35.5%	10.0%	31.8%	41.2%	33.8%	6.0%	-2.5%	3.9M	-74.7M	-255.8K	0.20	56.06	8,730	1,710	153,440	77,730
2014-11-17	$8.85	$8.00	37.0%	9.9%	32.2%	45.7%	34.5%	4.5%	-2.7%	3.9M	-71.9M	-250.0K	0.67	44.05	11,180	7,540	153,510	78,400
2014-11-18	$9.14	$8.00	38.1%	9.6%	29.9%	49.1%	34.3%	4.8%	-3.3%	4.0M	-92.5M	-244.3K	0.13	39.77	50,620	6,800	153,820	79,600
2014-11-19	$8.93	$8.00	37.7%	9.6%	31.2%	47.7%	33.8%	2.9%	-3.4%	5.7M	-86.0M	-273.2K	0.18	44.23	10,680	1,920	187,360	79,960
2014-11-20	$8.98	$8.00	36.8%	10.0%	31.2%	45.1%	33.5%	4.3%	-3.3%	7.3M	-90.2M	-278.0K	0.54	52.64	12,520	6,820	188,650	79,050
2014-11-21	$9.01	$8.00	38.2%	9.9%	31.2%	49.2%	34.2%	3.5%	-3.8%	15.7M	-96.5M	-265.1K	0.24	47.58	28,970	6,930	190,970	79,440
2014-11-24	$9.11	$8.00	38.4%	10.2%	31.0%	50.0%	33.4%	2.9%	-3.2%	2.6M	-70.0M	-271.9K	0.51	48.29	9,360	4,780	150,260	59,710
2014-11-25	$9.13	$8.00	39.4%	9.4%	29.2%	52.8%	32.9%	3.2%	-5.2%	2.7M	-72.8M	-275.1K	0.27	52.04	25,520	6,850	154,770	63,680
2014-11-26	$9.38	$8.00	39.8%	9.7%	30.2%	54.2%	33.5%	3.5%	-5.5%	3.0M	-84.6M	-288.1K	0.15	49.69	18,090	2,640	162,990	65,450
2014-11-28	$9.34	$8.00	40.4%	9.6%	27.5%	56.0%	35.8%	3.0%	-5.4%	2.9M	-81.5M	-281.0K	0.16	52.15	5,250	830	159,700	66,870