AVGO Options History — March 2015

In March 2015, AVGO traded between $12.44 and $13.44. ATM implied volatility averaged 33.1%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 17.0% (HV 20d: 50.2%). Max pain ranged from $10.50 to $11.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.63.

Notable Days

  • 2015-03-17: Highest Volume — 145,160 contracts
  • 2015-03-25: Largest IV spike — 22.5% change
  • 2015-03-25: Highest IV Rank — 50.4%
  • 2015-03-25: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.86$12.44$13.44$12.86$12.71
Max Pain$11.05$10.50$11.50$10.50$11.50
ATM IV33.1%28.3%38.6%28.3%36.6%
Expected Move9.4%8.1%11.1%8.1%10.5%
HV 20d50.2%32.8%60.2%53.5%35.2%
HV 60d39.0%37.6%42.0%42.0%41.3%
IV Rank33.9%19.4%50.4%19.4%44.5%
IV Percentile65.6%38.9%89.7%38.9%84.1%
Term Structure0.3%-1.9%2.9%-0.0%0.6%
VWIV33.8%28.9%38.8%30.1%36.8%
Skew 25d3.9%2.4%4.8%3.6%3.8%
Skew 10d8.5%5.3%12.9%5.3%6.7%
Call IV 25d31.5%27.1%36.9%27.4%35.1%
Put IV 25d35.4%30.9%41.8%30.9%38.8%
Bid-Ask Spread %53.7420.6575.6024.8474.86
Gamma HHI0.210.160.280.180.25
Net GEX6.5M5.6M8.8M6.5M6.7M
Net DEX-245.2M-345.2M-175.9M-284.4M-220.9M
Net VEX-576.5K-769.7K-459.7K-459.7K-735.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.091.770.740.79
Total Volume58,667.27313,600145,16072,21047,040
Total OI536,910.909479,020619,290497,320585,800

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$12.86$10.5028.3%8.1%53.5%19.4%30.1%3.6%-0.0%6.5M-284.4M-459.7K0.7424.8441,49030,720297,340199,980
2015-03-03$12.82$10.5028.5%8.2%53.4%19.9%28.9%3.6%0.0%6.4M-265.6M-473.5K1.7720.6521,27037,700289,110201,670
2015-03-04$12.95$11.0029.4%8.4%53.4%22.8%31.9%3.6%-0.9%5.6M-267.9M-478.5K0.9024.1343,04038,890287,560205,750
2015-03-05$13.06$10.5029.5%8.4%53.4%23.0%29.2%4.1%2.9%5.7M-270.9M-480.8K0.8251.0440,27033,070288,480212,800
2015-03-06$12.79$10.5030.7%8.7%54.6%26.5%31.3%3.7%2.0%6.1M-246.5M-534.6K1.1122.5526,31029,170300,370220,520
2015-03-09$12.71$10.5033.7%9.1%54.2%35.6%31.2%4.5%1.2%6.1M-240.3M-519.5K0.2147.3611,2202,380303,410223,160
2015-03-10$12.51$10.5035.7%9.4%53.8%41.7%33.0%3.8%-0.1%6.1M-218.6M-531.3K0.7135.5311,7308,310304,510224,040
2015-03-11$12.47$10.5032.8%9.4%52.1%32.8%33.4%3.9%0.0%6.1M-210.1M-539.9K0.2846.1816,5304,560306,890227,310
2015-03-12$12.61$10.5033.5%9.6%52.1%35.0%33.6%4.7%-0.0%6.2M-224.6M-544.6K1.0837.7818,49019,900312,040229,570
2015-03-13$12.50$11.0033.7%9.7%52.4%35.6%34.4%4.2%0.4%5.8M-211.0M-550.1K0.7050.6822,32015,570313,370239,230
2015-03-16$12.99$11.0033.4%9.6%53.5%34.7%33.8%4.1%0.2%6.0M-266.4M-537.5K0.1556.0653,9807,930318,330245,220
2015-03-17$12.91$11.0033.3%9.5%53.8%34.3%38.8%3.3%0.5%7.2M-268.1M-570.4K0.1266.05129,93015,230340,470246,520
2015-03-18$13.04$11.5032.5%9.3%53.5%32.0%32.4%4.2%0.8%7.2M-217.5M-541.3K0.3365.9824,4808,190280,900254,510
2015-03-19$13.20$11.5034.2%9.8%53.5%37.3%36.1%4.4%-0.2%8.8M-241.0M-546.4K0.0973.94103,3608,900287,390247,920
2015-03-20$13.33$11.5031.6%9.0%53.5%29.2%33.0%3.8%1.9%7.2M-345.2M-575.5K0.4462.8028,95012,640367,620251,670
2015-03-23$13.44$11.5032.5%9.3%53.5%31.9%33.1%3.8%-0.9%6.8M-282.0M-569.8K0.7066.0623,24016,350302,040176,980
2015-03-24$13.31$11.5031.5%9.0%53.9%28.9%32.0%3.2%-0.1%7.2M-278.8M-586.4K0.6171.5012,2707,510313,000189,340
2015-03-25$12.44$11.5038.6%11.1%60.2%50.4%38.3%4.8%-1.9%6.9M-175.9M-642.1K0.6075.6086,75052,030315,830193,190
2015-03-26$12.49$11.5036.5%10.5%32.8%44.3%38.1%4.4%-0.1%6.1M-176.7M-738.7K0.7868.0253,15041,690336,140220,670
2015-03-27$12.82$11.5036.0%10.3%33.6%42.6%37.1%2.4%0.1%6.4M-227.4M-769.7K0.3272.3919,7806,330341,890229,660
2015-03-30$13.04$11.5036.6%10.5%34.0%44.4%36.5%4.1%-0.9%6.9M-254.5M-757.0K0.6568.2235,23022,780348,200231,640
2015-03-31$12.71$11.5036.6%10.5%35.2%44.5%36.8%3.8%0.6%6.7M-220.9M-735.1K0.7974.8626,22020,820350,650235,150