AVGO Options History — April 2015

In April 2015, AVGO traded between $11.68 and $12.75. ATM implied volatility averaged 36.2%, placing in the 43.4% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 4.5% (HV 20d: 31.7%). Max pain ranged from $11.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2015-04-24: Highest Volume — 208,510 contracts
  • 2015-04-24: Largest IV spike — 23.7% change
  • 2015-04-24: Highest IV Rank — 58.3%
  • 2015-04-24: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.35$11.68$12.75$12.57$11.68
Max Pain$12.36$11.50$12.50$11.50$12.00
ATM IV36.2%30.6%41.2%38.3%38.6%
Expected Move10.3%8.8%11.8%11.0%11.1%
HV 20d31.7%26.5%35.2%35.2%26.8%
HV 60d40.0%39.0%41.2%41.2%40.8%
IV Rank43.4%26.4%58.3%49.7%50.5%
IV Percentile76.2%40.9%95.6%88.9%88.1%
Term Structure2.5%-0.5%5.8%-0.5%3.9%
VWIV36.5%32.0%42.3%38.6%36.3%
Skew 25d3.5%2.0%4.6%3.6%3.8%
Skew 10d7.4%3.8%11.5%7.2%5.6%
Call IV 25d34.9%30.3%40.6%37.2%37.3%
Put IV 25d38.4%33.6%45.0%40.8%41.1%
Bid-Ask Spread %66.5624.1179.9976.2479.77
Gamma HHI0.200.130.260.240.15
Net GEX4.8M1.7M7.2M6.7M3.5M
Net DEX-155.7M-234.1M-66.8M-199.9M-71.9M
Net VEX-728.5K-937.3K-585.4K-758.8K-916.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.341.571.131.03
Total Volume65,838.57111,880208,51086,28040,820
Total OI582,520.476341,090699,250594,220601,460

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$12.57$11.5038.3%11.0%35.2%49.7%38.6%3.6%-0.5%6.7M-199.9M-758.8K1.1376.2440,52045,760358,380235,840
2015-04-02$12.52$12.5037.3%10.5%35.0%46.5%36.5%4.6%0.7%6.5M-198.9M-756.8K1.2062.3228,16033,790366,390256,260
2015-04-06$12.60$12.5038.6%10.6%34.4%50.7%37.7%3.6%-0.2%6.6M-207.4M-736.1K1.0461.7118,34019,150374,880268,230
2015-04-07$12.58$12.5038.3%10.4%34.3%49.5%38.5%4.1%1.2%6.5M-202.3M-724.2K0.9861.1226,04025,530374,290271,370
2015-04-08$12.68$12.5036.2%10.4%33.9%43.1%35.6%4.2%1.4%6.8M-226.1M-703.4K0.5864.847,5404,340378,500278,440
2015-04-09$12.73$12.5036.7%10.5%33.9%44.7%37.0%3.5%0.3%7.2M-230.3M-705.8K0.6764.7828,62019,100382,450280,120
2015-04-10$12.67$12.5035.9%10.3%33.7%42.3%37.1%4.3%2.0%7.0M-234.1M-706.7K1.2556.2618,09022,530391,780280,510
2015-04-13$12.53$12.5036.1%10.4%33.8%43.0%37.7%4.0%1.1%6.3M-204.2M-664.8K1.5762.8518,28028,670391,950283,560
2015-04-14$12.38$12.5035.0%10.0%30.9%39.5%35.8%3.0%2.5%4.6M-184.4M-648.4K0.7169.8742,97030,640392,380288,890
2015-04-15$12.61$12.5033.8%9.7%31.7%36.0%33.8%3.3%2.7%6.7M-230.8M-637.4K1.0170.9125,00025,180402,780288,070
2015-04-16$12.51$12.5032.5%9.3%31.5%32.1%33.1%3.7%3.7%3.8M-213.4M-616.4K0.7969.0232,49025,700402,310290,330
2015-04-17$12.17$12.5035.5%10.2%32.2%41.3%34.9%3.3%1.3%1.7M-156.0M-585.4K0.7565.5049,52037,020409,390289,860
2015-04-20$12.31$12.5031.8%9.1%32.3%30.0%32.5%3.2%4.6%2.1M-75.1M-600.4K0.5674.7841,13023,000203,070138,020
2015-04-21$12.32$12.5030.6%8.8%32.1%26.4%32.3%3.3%5.3%2.7M-84.6M-641.1K1.0424.1116,73017,350226,450144,650
2015-04-22$12.75$12.5032.7%9.4%34.8%32.6%32.0%2.5%4.6%3.7M-118.3M-672.3K0.3472.5962,42020,950230,690149,220
2015-04-23$12.43$12.5033.3%9.5%26.5%34.4%33.7%2.2%4.4%4.3M-109.4M-708.3K0.5073.2258,35028,920265,680152,620
2015-04-24$11.95$12.5041.2%11.8%29.9%58.3%42.3%4.4%3.2%3.3M-77.9M-752.7K0.5769.31133,16075,350289,960161,130
2015-04-27$11.99$12.0039.8%11.4%28.0%54.0%40.2%3.6%2.0%4.3M-103.8M-937.3K0.9570.0041,70039,420359,300203,420
2015-04-28$11.70$12.0041.0%11.7%27.9%57.7%40.9%3.5%3.2%3.0M-66.8M-906.7K0.7468.4944,47032,930363,220212,980
2015-04-29$11.73$12.0038.1%10.9%27.0%49.1%40.0%2.0%5.8%3.5M-74.7M-919.5K0.9579.9927,09025,840379,180214,920
2015-04-30$11.68$12.0038.6%11.1%26.8%50.5%36.3%3.8%3.9%3.5M-71.9M-916.5K1.0379.7720,10020,720383,690217,770