AVGO Options History — January 2015

In January 2015, AVGO traded between $9.63 and $10.68. ATM implied volatility averaged 34.4%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 6.2% (HV 20d: 28.3%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.63.

Notable Days

  • 2015-01-13: Highest Volume — 61,700 contracts
  • 2015-01-13: Largest IV spike — 35.5% change
  • 2015-01-13: Highest IV Rank — 66.0%
  • 2015-01-30: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.33$9.63$10.68$10.02$10.29
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV34.4%29.1%43.7%31.6%37.6%
Expected Move9.9%9.4%10.8%9.5%10.8%
HV 20d28.3%23.9%36.9%36.9%31.6%
HV 60d34.9%31.1%42.9%42.9%32.0%
IV Rank37.9%21.9%66.0%29.4%47.6%
IV Percentile78.4%51.6%97.6%67.9%92.1%
Term Structure1.8%-1.0%4.5%1.0%-0.2%
VWIV35.1%32.7%37.9%34.0%37.9%
Skew 25d4.5%2.7%6.0%2.7%2.7%
Skew 10d9.6%5.2%15.3%6.0%6.6%
Call IV 25d32.8%30.6%36.1%31.0%36.1%
Put IV 25d37.2%33.7%39.9%33.7%38.8%
Bid-Ask Spread %50.9938.7260.6838.7260.68
Gamma HHI0.220.160.310.200.21
Net GEX2.6M1.3M4.0M2.9M1.6M
Net DEX-81.3M-122.7M-49.8M-83.6M-52.8M
Net VEX-363.0K-451.2K-298.4K-308.0K-451.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.161.690.961.48
Total Volume31,785.56,45061,70035,08034,200
Total OI269,009.5189,790319,420265,740284,180

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$10.02$10.0031.6%9.5%36.9%29.4%34.0%2.7%1.0%2.9M-83.6M-308.0K0.9638.7217,94017,140168,94096,800
2015-01-05$9.85$10.0035.2%10.0%23.9%40.3%34.5%4.1%1.6%2.6M-74.9M-298.4K0.1647.7320,8503,270169,62097,650
2015-01-06$9.63$10.0037.2%10.2%24.7%46.2%35.9%3.1%1.1%2.3M-60.9M-305.1K0.5352.5121,48011,410174,52099,250
2015-01-07$9.88$10.0032.4%9.8%24.6%31.7%34.4%3.1%1.7%2.7M-76.5M-322.0K0.3155.539,1902,850181,220101,290
2015-01-08$10.38$10.0030.2%9.4%29.6%25.2%33.3%4.3%2.1%3.5M-115.2M-316.6K0.4840.6841,61019,930186,690102,370
2015-01-09$10.51$10.0029.1%9.6%27.1%21.9%33.6%4.6%1.6%4.0M-122.7M-328.8K0.2942.8635,30010,140189,900103,520
2015-01-12$10.33$10.0032.2%9.6%28.0%31.2%34.7%4.0%1.2%3.9M-112.8M-320.3K0.4744.0420,6309,600194,920104,430
2015-01-13$10.25$10.0043.7%10.5%27.8%66.0%35.7%5.5%-0.5%3.7M-105.1M-321.5K0.8248.1233,95027,750192,450104,500
2015-01-14$10.33$10.0036.4%10.4%27.7%44.0%37.4%5.7%-1.0%3.4M-101.2M-365.0K0.4950.6519,2109,380197,030122,390
2015-01-15$10.13$10.0037.2%10.7%28.4%46.4%36.4%4.5%-0.5%2.5M-86.4M-352.0K0.5147.7919,54010,060187,500121,560
2015-01-16$10.38$10.0034.6%9.9%29.0%38.4%35.7%5.5%2.3%3.1M-99.2M-358.9K0.2951.6517,1504,890187,710121,940
2015-01-20$10.49$10.0035.4%10.2%28.2%40.9%37.1%4.8%2.1%1.3M-49.8M-355.3K0.3749.9530,89011,360115,42074,370
2015-01-21$10.54$10.0033.8%9.7%27.6%36.0%34.3%5.2%2.9%1.9M-65.1M-389.5K0.2048.6618,0103,530138,78081,520
2015-01-22$10.51$10.0034.1%9.8%27.5%36.8%35.2%5.1%2.7%1.9M-63.6M-398.6K0.8154.9617,45014,150143,51084,100
2015-01-23$10.68$10.0032.9%9.4%27.9%33.3%32.7%4.1%3.3%2.0M-73.6M-404.5K0.9557.5213,72013,030149,18089,750
2015-01-26$10.67$10.0033.5%9.6%27.9%35.0%35.6%5.2%3.4%2.1M-72.9M-403.3K0.8853.043,4303,020151,70092,610
2015-01-27$10.48$10.0033.5%9.6%28.9%35.1%34.6%3.9%3.6%2.0M-63.5M-410.9K0.1759.7215,8502,730152,72094,730
2015-01-28$10.51$10.0033.7%9.7%28.9%35.7%34.6%4.9%3.0%2.3M-71.6M-418.9K0.7056.7217,58012,220162,08096,170
2015-01-29$10.64$10.0033.9%9.7%29.0%36.2%35.4%6.0%4.5%2.2M-74.6M-431.1K1.6958.3015,33025,940163,61099,560
2015-01-30$10.29$10.0037.6%10.8%31.6%47.6%37.9%2.7%-0.2%1.6M-52.8M-451.2K1.4860.6813,79020,410168,020116,160