AVGO Options History — February 2015

In February 2015, AVGO traded between $10.24 and $12.97. ATM implied volatility averaged 38.5%, placing in the 50.2% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 7.8% (HV 20d: 30.7%). Max pain ranged from $10.00 to $10.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.74.

Notable Days

  • 2015-02-26: Highest Volume — 314,110 contracts
  • 2015-02-26: Largest IV drop — 34.9% change
  • 2015-02-25: Highest IV Rank — 69.2%
  • 2015-02-25: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.04$10.24$12.97$10.24$12.73
Max Pain$10.24$10.00$10.50$10.00$10.50
ATM IV38.5%28.7%44.8%39.1%28.7%
Expected Move11.2%8.2%12.8%11.2%8.2%
HV 20d30.7%23.8%55.8%31.6%55.8%
HV 60d33.2%31.2%42.3%31.9%42.0%
IV Rank50.2%20.6%69.2%52.2%20.6%
IV Percentile88.0%40.1%97.6%95.2%40.1%
Term Structure-2.9%-8.6%4.0%1.5%0.6%
VWIV39.9%29.2%45.7%39.3%29.2%
Skew 25d5.4%2.6%8.6%5.1%2.9%
Skew 10d10.9%4.9%19.5%10.7%5.8%
Call IV 25d36.8%27.0%43.5%37.2%27.4%
Put IV 25d42.2%30.3%47.2%42.3%30.3%
Bid-Ask Spread %46.5225.0467.0658.8933.51
Gamma HHI0.220.180.280.200.19
Net GEX3.1M1.3M6.7M1.3M6.7M
Net DEX-118.5M-355.5M-43.1M-43.1M-272.8M
Net VEX-464.6K-521.7K-430.6K-453.0K-498.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.431.020.480.64
Total Volume69,756.84215,790314,11018,50081,730
Total OI371,643.158298,360541,760298,360495,440

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-02-02$10.24$10.0039.1%11.2%31.6%52.2%39.3%5.1%1.5%1.3M-43.1M-453.0K0.4858.8912,4906,010172,000126,360
2015-02-03$10.32$10.0038.7%11.1%31.0%50.8%38.3%5.9%4.0%1.4M-49.3M-457.4K1.0255.7214,27014,600177,420131,190
2015-02-04$10.45$10.0036.1%10.4%29.7%43.0%39.0%6.3%3.6%1.7M-61.1M-470.6K1.0167.0615,78015,980181,730135,500
2015-02-05$10.62$10.5034.3%11.6%28.8%37.6%39.6%6.9%-3.7%2.0M-74.0M-464.4K0.9245.7426,31024,280183,080137,100
2015-02-06$10.47$10.5036.5%11.7%23.8%44.2%41.3%6.3%-3.6%1.8M-63.6M-480.1K0.7543.4725,99019,370192,370146,170
2015-02-09$10.24$10.5041.0%12.3%24.6%57.7%41.6%5.8%-4.5%1.8M-48.0M-473.3K1.0242.6824,73025,190201,050148,750
2015-02-10$10.74$10.5040.9%11.7%29.3%57.6%41.1%8.6%-3.3%2.6M-90.8M-478.0K0.7851.1624,86019,380209,250159,070
2015-02-11$10.80$10.0039.1%11.2%29.1%52.1%41.3%6.6%-3.6%2.9M-99.2M-476.2K0.7547.7723,49017,720210,360163,020
2015-02-12$10.96$10.0039.5%11.3%29.3%53.2%40.2%6.0%-3.7%3.0M-109.9M-456.9K0.6740.2125,82017,270204,620164,100
2015-02-13$11.00$10.0039.6%11.4%28.1%53.7%40.0%5.1%-4.5%2.9M-110.4M-459.9K0.8347.9919,50016,220204,120165,420
2015-02-17$11.07$10.0040.4%11.6%27.0%56.0%41.0%5.2%-3.6%3.7M-125.2M-430.6K0.5747.9428,26016,160209,560165,890
2015-02-18$11.00$10.0040.6%11.6%27.1%56.7%41.6%5.9%-4.5%3.8M-122.9M-449.0K0.7346.1822,16016,270217,420168,240
2015-02-19$11.09$10.0041.1%11.8%27.2%58.2%41.8%6.1%-4.9%4.1M-128.2M-442.0K0.5146.1110,4705,320214,700169,080
2015-02-20$11.21$10.0040.5%11.6%27.2%56.1%40.1%5.7%-5.1%2.4M-137.7M-431.5K0.4356.1246,92020,270214,770171,840
2015-02-23$11.28$10.5039.6%11.4%26.9%53.7%41.6%4.0%-5.0%3.1M-107.5M-461.2K0.9750.0346,92045,710190,670139,370
2015-02-24$11.31$10.5041.3%11.9%26.8%58.8%42.7%2.6%-6.3%3.7M-122.8M-487.3K0.8136.7342,73034,630212,940143,900
2015-02-25$11.27$10.5044.8%12.8%25.7%69.2%45.7%3.7%-8.6%4.0M-130.3M-521.7K0.6941.57121,30083,160236,740156,220
2015-02-26$12.97$10.5029.1%8.4%54.8%21.8%32.8%4.3%-0.1%6.5M-355.5M-436.2K0.4425.04217,41096,700326,710215,050
2015-02-27$12.73$10.5028.7%8.2%55.8%20.6%29.2%2.9%0.6%6.7M-272.8M-498.9K0.6433.5149,85031,880297,420198,020