AVGO Options History — June 2015 In June 2015, AVGO traded between $13.20 and $14.65. ATM implied volatility averaged 30.4%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 6.9% (HV 20d: 37.2%). Max pain ranged from $12.50 to $13.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.96.
Notable Days 2015-06-08 : Highest Volume — 349,750 contracts2015-06-29 : Largest IV spike — 20.0% change2015-06-29 : Highest IV Rank — 38.3%2015-06-29 : Largest Expected Move — 10.7%Monthly Statistics Metric Avg Min Max Open Close Price $14.09 $13.20 $14.65 $14.65 $13.33 Max Pain $12.93 $12.50 $13.50 $12.50 $13.00 ATM IV 30.4% 28.1% 37.5% 31.5% 33.7% Expected Move 8.7% 8.1% 10.7% 9.0% 9.7% HV 20d 37.2% 24.1% 42.2% 42.0% 25.2% HV 60d 36.2% 33.8% 37.8% 37.0% 34.7% IV Rank 20.8% 15.3% 38.3% 23.6% 29.1% IV Percentile 37.2% 23.8% 79.0% 43.7% 61.1% Term Structure 1.8% -3.7% 3.7% 0.3% -0.5% VWIV 30.5% 28.7% 36.9% 32.2% 32.1% Skew 25d 1.6% 0.7% 2.6% 0.7% 2.1% Skew 10d 3.4% 0.6% 8.4% 1.3% 3.6% Call IV 25d 29.7% 27.5% 35.2% 31.2% 32.7% Put IV 25d 31.4% 29.4% 36.7% 31.9% 34.9% Bid-Ask Spread % 64.13 54.25 72.13 54.25 65.77 Gamma HHI 0.26 0.11 0.50 0.22 0.12 Net GEX 21.0M 8.0M 43.7M 21.0M 9.2M Net DEX -351.9M -527.7M -119.4M -527.7M -160.4M Net VEX -1.9M -2.8M -1.2M -1.2M -2.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.96 0.46 2.11 0.90 1.76 Total Volume 198,537.273 115,890 349,750 134,260 203,690 Total OI 1,221,672.273 884,830 1,432,110 884,830 1,364,610
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2015-06-01 $14.65 $12.50 31.5% 9.0% 42.0% 23.6% 32.2% 0.7% 0.3% 21.0M -527.7M -1.2M 0.90 54.25 70,720 63,540 604,990 279,840 2015-06-02 $14.42 $13.00 28.5% 8.2% 42.2% 16.2% 29.0% 1.6% 0.2% 20.8M -465.1M -1.3M 1.05 55.44 70,120 73,610 620,440 309,870 2015-06-03 $14.30 $13.50 28.1% 8.1% 39.3% 15.3% 29.2% 1.3% 0.8% 18.1M -425.9M -1.3M 0.87 56.97 83,960 73,210 621,690 355,990 2015-06-04 $14.10 $12.50 30.2% 8.6% 40.0% 20.4% 30.5% 2.2% 2.5% 17.2M -360.6M -1.5M 0.71 63.65 67,700 48,190 660,330 394,510 2015-06-05 $14.38 $12.50 29.1% 9.1% 37.4% 17.6% 29.4% 2.1% 3.5% 20.9M -435.7M -1.6M 0.63 61.10 96,150 60,710 680,980 408,520 2015-06-08 $13.87 $12.50 31.3% 8.9% 40.6% 23.2% 31.5% 1.4% 2.5% 16.2M -303.1M -1.6M 0.48 64.22 237,080 112,670 715,510 430,820 2015-06-09 $14.02 $13.00 31.4% 8.6% 40.4% 23.3% 30.6% 1.6% 3.2% 20.2M -350.7M -1.9M 0.69 60.94 123,790 85,980 840,330 484,460 2015-06-10 $14.31 $13.00 30.1% 8.6% 40.7% 20.1% 30.2% 1.1% 2.7% 31.2M -510.9M -2.0M 0.46 62.32 129,350 59,110 895,230 498,250 2015-06-11 $14.19 $13.00 30.2% 8.7% 41.0% 20.4% 29.7% 2.2% 3.7% 31.3M -452.5M -2.0M 0.58 57.36 101,570 58,430 914,100 505,220 2015-06-12 $14.05 $13.00 30.3% 8.7% 40.7% 20.7% 30.2% 1.8% 2.7% 26.1M -365.6M -1.9M 0.72 61.58 75,350 54,550 910,890 511,740 2015-06-15 $14.30 $13.00 30.9% 8.9% 40.9% 22.1% 31.3% 1.3% 2.1% 35.4M -477.1M -1.9M 0.73 66.00 81,460 59,630 918,150 513,190 2015-06-16 $14.19 $13.00 30.4% 8.7% 40.8% 20.8% 31.5% 1.5% 3.0% 33.4M -418.5M -1.8M 0.47 62.86 159,890 75,440 912,310 519,800 2015-06-17 $14.07 $13.00 30.6% 8.8% 40.9% 21.3% 30.5% 1.6% 2.6% 26.5M -275.1M -1.8M 0.83 72.13 87,330 72,800 852,790 525,250 2015-06-18 $14.28 $13.00 29.5% 8.4% 41.0% 18.5% 30.8% 1.5% 3.5% 43.7M -376.2M -1.8M 0.81 69.10 99,390 80,590 855,380 531,180 2015-06-19 $14.32 $13.00 29.6% 8.5% 41.0% 19.0% 29.7% 2.2% 3.3% 13.8M -370.4M -1.8M 0.70 67.46 100,370 69,780 871,840 548,640 2015-06-22 $14.30 $13.00 28.4% 8.1% 40.4% 16.0% 28.7% 1.8% 1.8% 15.2M -313.7M -1.9M 0.79 69.01 92,890 73,530 589,060 338,680 2015-06-23 $14.15 $13.00 28.6% 8.2% 40.4% 16.4% 28.7% 1.4% 1.4% 15.4M -304.1M -1.9M 1.38 68.36 140,360 193,170 614,480 349,340 2015-06-24 $14.00 $13.00 28.6% 8.2% 27.5% 16.5% 28.7% 2.6% 1.8% 14.5M -272.7M -2.5M 2.11 69.26 90,350 190,770 696,130 477,460 2015-06-25 $13.94 $13.00 28.6% 8.2% 27.5% 16.5% 29.0% 1.5% 2.1% 13.8M -267.3M -2.6M 1.52 71.72 83,320 126,360 718,070 479,750 2015-06-26 $13.53 $13.00 31.2% 9.0% 24.1% 22.9% 30.8% 0.9% 0.3% 10.5M -189.6M -2.6M 1.18 66.00 135,190 159,010 746,720 485,450 2015-06-29 $13.20 $13.00 37.5% 10.7% 25.0% 38.3% 36.9% 1.5% -3.7% 8.0M -119.4M -2.7M 1.70 65.38 91,380 155,330 814,130 510,670 2015-06-30 $13.33 $13.00 33.7% 9.7% 25.2% 29.1% 32.1% 2.1% -0.5% 9.2M -160.4M -2.8M 1.76 65.77 73,780 129,910 836,290 528,320
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