AVGO Options History — May 2015

In May 2015, AVGO traded between $11.66 and $14.85. ATM implied volatility averaged 39.4%, placing in the 51.1% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 1.5% (HV 20d: 37.9%). Max pain ranged from $11.50 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.59.

Notable Days

  • 2015-05-27: Highest Volume — 359,660 contracts
  • 2015-05-28: Largest IV drop — 44.6% change
  • 2015-05-27: Highest IV Rank — 100.0%
  • 2015-05-27: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.81$11.66$14.85$12.28$14.85
Max Pain$11.97$11.50$12.50$12.00$12.50
ATM IV39.4%31.4%62.5%33.3%31.4%
Expected Move11.8%9.0%17.9%9.5%9.0%
HV 20d37.9%32.8%43.5%32.8%43.5%
HV 60d40.4%31.8%42.7%41.9%36.9%
IV Rank51.1%23.3%100.0%34.5%23.3%
IV Percentile81.8%42.1%100.0%60.7%42.1%
Term Structure-3.0%-14.9%7.0%7.0%-0.7%
VWIV41.7%31.9%61.7%34.1%31.9%
Skew 25d3.8%-1.5%5.7%3.7%0.9%
Skew 10d6.9%-4.0%13.4%8.0%2.7%
Call IV 25d39.6%31.3%59.1%32.9%31.3%
Put IV 25d43.4%32.1%61.1%36.5%32.1%
Bid-Ask Spread %57.3940.2574.9674.9648.06
Gamma HHI0.180.140.270.180.24
Net GEX6.6M2.6M19.5M6.1M19.5M
Net DEX-201.4M-565.3M-58.5M-142.3M-565.3M
Net VEX-893.4K-1.1M-828.6K-961.1K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.211.160.550.36
Total Volume90,81912,660359,66074,990269,210
Total OI585,087442,600827,630602,210827,630

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$12.28$12.0033.3%9.5%32.8%34.5%34.1%3.7%7.0%6.1M-142.3M-961.1K0.5574.9648,29026,700382,720219,490
2015-05-04$12.12$12.0036.8%12.1%33.0%45.1%43.4%5.7%-1.0%5.1M-120.5M-903.9K0.7155.397,4105,250375,840219,720
2015-05-05$11.68$12.0038.8%12.4%35.2%51.2%42.9%4.9%-3.1%2.8M-62.4M-865.1K0.8754.2423,88020,890378,130221,650
2015-05-06$11.66$11.5039.9%12.5%34.9%54.3%43.7%5.1%-3.2%2.6M-58.5M-875.0K0.9152.6623,14021,090381,970227,860
2015-05-07$12.25$11.5037.1%11.8%39.6%45.9%41.0%4.9%-2.9%6.0M-141.9M-925.8K0.4554.4763,37028,630388,230231,640
2015-05-08$12.33$12.0032.1%11.4%39.7%30.7%40.7%4.2%-2.6%5.7M-145.4M-925.9K0.5559.3324,24013,290384,280236,730
2015-05-11$12.28$12.0035.8%11.5%39.6%42.0%41.9%5.1%-2.7%5.3M-139.4M-874.9K0.5255.9420,43010,720380,290239,370
2015-05-12$12.32$12.0035.7%11.6%39.4%41.8%41.6%4.7%-2.6%5.5M-143.2M-880.0K1.0259.8618,50018,860384,520240,800
2015-05-13$12.31$12.0039.7%11.4%38.8%53.9%40.5%4.9%-2.1%5.8M-144.7M-862.4K1.1660.5316,88019,510388,370240,100
2015-05-14$12.65$12.0038.5%11.0%40.0%50.3%40.4%5.5%-1.2%8.6M-206.0M-828.6K0.3874.0867,40025,480387,590240,140
2015-05-15$12.77$12.0039.9%11.4%38.7%54.4%40.2%3.9%-3.5%4.7M-217.4M-844.5K0.6766.8431,34021,020389,210242,510
2015-05-18$13.02$12.0039.3%11.3%39.0%52.7%39.9%3.8%-2.9%5.1M-184.4M-835.1K0.3357.7424,8408,210280,950161,650
2015-05-19$12.95$12.0040.3%11.6%39.1%55.7%41.2%3.0%-3.2%5.4M-187.7M-851.7K0.4456.0716,1607,110292,240164,300
2015-05-20$12.92$12.0040.5%11.6%37.3%56.3%41.8%2.3%-3.2%5.5M-186.5M-863.7K0.6461.1824,14015,540298,530166,920
2015-05-21$12.96$12.0041.7%11.9%36.0%59.8%40.9%4.5%-5.1%5.8M-192.1M-879.4K0.5659.8533,23018,500308,430170,350
2015-05-22$13.29$12.0042.2%12.1%33.3%61.5%42.7%3.8%-4.1%6.4M-230.3M-898.1K0.6958.5143,04029,910324,110177,130
2015-05-26$13.14$12.0047.4%13.6%33.8%77.3%47.5%4.0%-7.2%6.4M-216.6M-886.6K0.4850.8040,11019,420330,960187,190
2015-05-27$14.28$12.0062.5%17.9%42.2%100.0%61.7%2.0%-14.9%6.1M-337.8M-867.0K0.2140.25297,81061,850353,330191,770
2015-05-28$14.23$12.0034.6%9.9%42.4%31.2%35.3%-1.5%-1.7%13.9M-405.6M-925.9K0.3947.14252,98098,000462,330222,760
2015-05-29$14.85$12.5031.4%9.0%43.5%23.3%31.9%0.9%-0.7%19.5M-565.3M-1.1M0.3648.06198,67070,540562,860264,770