AVGO Options History — July 2015

In July 2015, AVGO traded between $12.43 and $13.77. ATM implied volatility averaged 36.8%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 5.0% (HV 20d: 31.8%). Max pain ranged from $13.00 to $13.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.91.

Notable Days

  • 2015-07-09: Highest Volume — 372,550 contracts
  • 2015-07-13: Largest IV spike — 11.5% change
  • 2015-07-13: Highest IV Rank — 56.4%
  • 2015-07-09: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.08$12.43$13.77$13.54$12.51
Max Pain$13.09$13.00$13.50$13.00$13.00
ATM IV36.8%31.8%44.8%31.8%35.5%
Expected Move10.4%9.1%12.4%9.1%10.2%
HV 20d31.8%24.2%37.7%26.1%36.8%
HV 60d36.2%34.9%37.3%34.9%35.7%
IV Rank36.7%24.3%56.4%24.3%33.4%
IV Percentile70.7%45.2%96.8%45.2%64.3%
Term Structure4.8%0.4%9.4%1.0%8.8%
VWIV36.8%32.2%43.4%32.2%35.5%
Skew 25d3.4%2.1%5.1%2.2%3.3%
Skew 10d7.2%3.5%10.6%3.5%7.5%
Call IV 25d35.1%30.8%41.4%30.8%34.3%
Put IV 25d38.5%32.9%46.6%33.0%37.6%
Bid-Ask Spread %59.4544.6175.3668.9765.97
Gamma HHI0.120.090.140.130.12
Net GEX8.3M1.7M14.2M10.9M4.7M
Net DEX-159.5M-300.4M50.9M-209.3M-27.4M
Net VEX-3.4M-3.8M-2.9M-2.9M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.401.621.390.40
Total Volume178,70081,080372,550249,530127,010
Total OI1,667,090.4551,389,0502,021,6701,389,0501,689,680

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$13.54$13.0031.8%9.1%26.1%24.3%32.2%2.2%1.0%10.9M-209.3M-2.9M1.3968.97104,340145,190850,420538,630
2015-07-02$13.77$13.0031.9%9.2%26.6%24.7%32.4%2.1%1.8%14.2M-259.9M-3.2M1.1075.36100,820111,200886,470568,970
2015-07-06$13.41$13.5034.9%10.0%26.9%32.1%34.8%3.1%2.9%11.5M-201.7M-3.0M1.2660.0399,680125,590917,470566,910
2015-07-07$13.28$13.5038.6%10.8%24.2%41.1%38.6%3.7%2.4%9.1M-152.7M-3.1M1.3560.60145,860196,810950,260588,130
2015-07-08$12.82$13.5041.9%11.8%26.3%49.1%41.8%3.7%2.1%3.6M-32.7M-3.2M1.2556.5674,70093,200993,020681,250
2015-07-09$12.48$13.5044.0%12.4%25.8%54.3%42.9%5.1%1.1%1.7M50.9M-3.2M0.6254.55230,580141,9701,009,360695,540
2015-07-10$13.01$13.0040.2%11.8%30.9%44.9%43.4%3.5%0.4%5.3M-114.2M-3.5M0.5751.29124,65071,3901,092,790732,790
2015-07-13$12.92$13.0044.8%11.7%30.8%56.4%41.9%3.7%2.6%6.8M-138.2M-3.6M1.6244.6158,87095,5301,149,380735,770
2015-07-14$13.21$13.0041.7%10.7%31.3%48.8%37.7%3.8%3.5%8.2M-217.5M-3.6M0.8552.62154,240130,7601,159,230751,980
2015-07-15$13.18$13.0037.5%10.8%31.3%38.4%37.0%4.0%3.7%8.8M-235.1M-3.8M1.5757.6452,75083,0101,229,310792,360
2015-07-16$13.46$13.0033.9%9.7%32.5%29.4%34.1%3.3%6.5%11.0M-300.4M-3.7M0.7857.58106,74082,7301,183,130787,190
2015-07-17$13.36$13.0033.6%9.6%31.9%28.7%34.3%3.1%4.7%10.3M-247.7M-3.6M1.2060.9867,11080,2101,182,350783,880
2015-07-20$13.44$13.0032.5%9.3%32.0%26.0%33.1%2.4%8.0%11.1M-263.7M-3.5M0.9558.3770,51067,110834,940608,980
2015-07-21$13.46$13.0034.1%9.8%32.1%30.0%34.2%2.9%6.3%11.6M-280.7M-3.6M0.8964.4973,77065,680865,930626,630
2015-07-22$12.96$13.0036.6%10.5%34.2%36.3%38.2%3.6%5.8%7.8M-130.0M-3.5M1.0757.5064,44069,050878,850637,630
2015-07-23$13.20$13.0034.8%10.0%35.1%31.7%33.7%3.2%7.0%10.1M-214.5M-3.6M0.4462.77129,21057,170893,900653,890
2015-07-24$12.85$13.0035.5%10.2%36.1%33.4%35.4%4.1%7.1%7.7M-132.7M-3.5M0.6459.5564,35041,430920,630670,890
2015-07-27$12.43$13.0039.5%11.3%36.4%43.3%38.9%4.3%5.1%4.6M-27.6M-3.4M0.5258.8178,84041,110941,070674,290
2015-07-28$12.83$13.0037.0%10.6%37.7%37.0%37.9%3.2%6.8%8.2M-130.7M-3.5M0.5756.5251,54029,540954,740675,600
2015-07-29$12.87$13.0034.7%9.9%37.5%31.4%35.3%3.0%8.0%8.4M-133.7M-3.6M0.5159.3678,84040,450963,210679,690
2015-07-30$12.79$13.0035.0%10.0%37.0%32.3%35.3%3.6%9.4%7.9M-109.1M-3.5M0.5563.7966,75036,670986,950691,900
2015-07-31$12.51$13.0035.5%10.2%36.8%33.4%35.5%3.3%8.8%4.7M-27.4M-3.4M0.4065.9790,95036,060989,230700,450