AVGO Options History — December 2014

In December 2014, AVGO traded between $9.09 and $10.38. ATM implied volatility averaged 34.5%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 3.8% (HV 20d: 38.3%). Max pain ranged from $8.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.70.

Notable Days

  • 2014-12-03: Highest Volume — 120,380 contracts
  • 2014-12-04: Largest IV drop — 29.9% change
  • 2014-12-02: Highest IV Rank — 70.1%
  • 2014-12-15: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.95$9.09$10.38$9.09$10.06
Max Pain$8.73$8.00$10.00$8.00$10.00
ATM IV34.5%28.7%45.1%45.0%32.5%
Expected Move9.7%9.0%10.6%9.9%9.5%
HV 20d38.3%25.9%42.0%25.9%38.4%
HV 60d43.3%39.6%44.3%39.6%43.3%
IV Rank38.0%20.7%70.1%70.0%32.1%
IV Percentile78.8%50.0%98.4%98.4%73.8%
Term Structure-0.1%-9.2%4.0%-8.5%0.4%
VWIV34.2%32.4%36.5%34.5%33.3%
Skew 25d3.4%2.4%5.3%4.5%2.6%
Skew 10d6.5%2.1%11.7%4.8%2.4%
Call IV 25d33.1%28.3%42.6%42.0%31.2%
Put IV 25d36.5%30.8%47.9%46.5%33.8%
Bid-Ask Spread %54.7444.6972.1244.6947.01
Gamma HHI0.250.170.760.240.20
Net GEX5.1M2.6M14.3M2.8M2.9M
Net DEX-118.2M-190.4M-68.8M-68.8M-87.2M
Net VEX-306.0K-349.4K-272.8K-278.0K-307.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.201.340.430.37
Total Volume46,980.90913,020120,38028,21013,020
Total OI327,277.727224,010416,670229,750262,760

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$9.09$8.0045.0%9.9%25.9%70.0%34.5%4.5%-8.5%2.8M-68.8M-278.0K0.4344.6919,6608,550162,41067,340
2014-12-02$9.21$8.0045.1%9.8%26.2%70.1%34.2%5.3%-9.2%3.1M-76.7M-289.3K0.4849.4960,63028,810169,48069,710
2014-12-03$9.52$8.0041.4%9.6%27.6%59.1%33.6%3.5%-7.4%4.5M-108.3M-313.5K0.7352.9369,64050,740208,27091,170
2014-12-04$10.31$8.0029.0%9.4%38.0%21.5%32.6%4.1%2.1%5.9M-187.5M-293.0K0.3255.2089,80028,290241,570133,240
2014-12-05$10.38$8.0028.7%9.4%38.0%20.7%32.8%2.5%2.8%6.0M-190.4M-307.6K0.4247.4443,74018,380251,530134,000
2014-12-08$10.05$8.2533.7%9.0%38.4%35.6%32.4%3.0%1.7%6.4M-152.9M-336.8K0.7054.6136,07025,180258,050139,020
2014-12-09$10.26$8.5034.2%10.1%38.7%37.1%35.2%3.0%4.0%6.4M-171.9M-343.7K0.9251.6229,24027,040262,150144,580
2014-12-10$9.93$8.5034.3%9.3%41.3%37.4%34.3%2.9%0.5%6.4M-141.1M-341.4K0.5860.4521,93012,650260,780144,970
2014-12-11$10.03$8.5033.4%9.5%41.3%34.8%34.4%2.7%1.5%6.7M-151.6M-349.4K0.7259.1016,81012,060262,460146,790
2014-12-12$9.93$8.5034.6%10.3%41.7%38.3%34.7%3.0%1.5%6.4M-138.2M-337.2K1.3470.3515,89021,230258,070147,990
2014-12-15$9.85$8.5036.7%10.6%41.8%44.8%36.0%3.6%0.1%6.6M-123.7M-326.4K0.3661.0034,30012,420261,900154,770
2014-12-16$9.74$8.5036.0%10.3%42.0%42.8%36.5%4.3%0.2%5.6M-106.0M-326.9K0.2058.6843,5008,770250,160155,400
2014-12-17$9.91$8.5036.2%10.1%41.0%43.1%36.0%4.5%-1.0%6.2M-109.1M-305.5K0.3462.0326,9509,040230,420155,370
2014-12-18$10.15$8.5033.3%10.0%40.1%34.4%35.0%3.9%1.7%5.9M-146.2M-283.6K0.5859.1926,86015,480233,850153,950
2014-12-19$10.02$8.5032.8%9.9%40.7%33.0%35.0%2.7%1.9%14.3M-126.8M-287.9K0.8650.8222,44019,310224,280157,220
2014-12-22$10.12$0.0032.2%9.3%40.7%31.1%33.4%3.3%0.9%2.6M-86.1M-288.4K0.9172.1215,55014,200147,45076,560
2014-12-23$10.09$10.0030.9%9.4%40.8%27.2%32.4%2.4%1.9%2.7M-86.2M-277.8K1.1046.1613,15014,400149,08079,980
2014-12-24$10.07$10.0031.7%9.5%40.8%29.5%33.9%3.8%1.6%2.6M-82.4M-295.5K1.2250.2510,21012,450151,99081,990
2014-12-26$10.07$9.5032.9%9.3%40.1%33.3%34.7%2.5%-1.0%2.6M-84.5M-279.0K1.2653.5410,37013,020152,93082,030
2014-12-29$10.13$9.5032.5%9.9%40.0%32.1%34.1%4.0%0.9%2.8M-88.0M-272.8K0.6249.7823,95014,770154,10082,940
2014-12-30$10.09$9.5031.4%9.5%38.4%28.8%33.2%2.7%1.4%2.9M-87.1M-291.0K1.0147.8011,50011,580161,80085,600
2014-12-31$10.06$10.0032.5%9.5%38.4%32.1%33.3%2.6%0.4%2.9M-87.2M-307.9K0.3747.019,4803,540167,66095,100