AVGO Options History — August 2015 In August 2015, AVGO traded between $10.88 and $12.72. ATM implied volatility averaged 48.8%, placing in the 63.6% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 12.0% (HV 20d: 36.9%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.85.
Notable Days 2015-08-27 : Highest Volume — 389,590 contracts2015-08-27 : Largest IV drop — 29.6% change2015-08-24 : Highest IV Rank — 100.0%2015-08-24 : Largest Expected Move — 19.2%Monthly Statistics Metric Avg Min Max Open Close Price $12.16 $10.88 $12.72 $12.58 $12.64 Max Pain $12.45 $12.00 $13.00 $13.00 $12.00 ATM IV 48.8% 35.4% 66.9% 35.4% 45.5% Expected Move 14.4% 10.2% 19.2% 10.2% 13.1% HV 20d 36.9% 30.0% 51.1% 36.0% 50.6% HV 60d 35.2% 31.9% 38.8% 34.3% 38.5% IV Rank 63.6% 33.3% 100.0% 33.3% 51.3% IV Percentile 94.2% 63.1% 100.0% 63.1% 93.7% Term Structure -3.2% -8.6% 7.9% 7.0% -2.0% VWIV 50.4% 34.9% 66.4% 34.9% 43.0% Skew 25d 5.7% 3.2% 10.6% 3.2% 7.6% Skew 10d 11.2% 7.3% 18.1% 7.6% 16.4% Call IV 25d 47.9% 34.0% 62.6% 34.0% 40.7% Put IV 25d 53.5% 37.3% 73.2% 37.3% 48.4% Bid-Ask Spread % 42.82 26.07 56.49 35.11 31.38 Gamma HHI 0.10 0.08 0.14 0.12 0.11 Net GEX 3.8M -8.7M 14.8M 5.5M 14.8M Net DEX 4.8M -308.0M 325.2M -32.3M -305.7M Net VEX -3.5M -4.1M -2.9M -3.3M -3.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.85 0.30 2.23 0.98 1.32 Total Volume 178,084.286 41,200 389,590 131,590 123,900 Total OI 1,994,121.905 1,725,430 2,164,220 1,725,430 2,091,200
Daily Data (21 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 2015-08-03 $12.58 $13.00 35.4% 10.2% 36.0% 33.3% 34.9% 3.2% 7.0% 5.5M -32.3M -3.3M 0.98 35.11 66,580 65,010 1,014,610 710,820 2015-08-04 $12.33 $13.00 39.3% 11.3% 36.5% 42.8% 40.7% 4.9% 6.9% 3.4M 29.3M -3.4M 0.59 26.07 154,430 91,230 1,055,150 758,500 2015-08-05 $12.46 $13.00 40.2% 11.5% 34.8% 45.0% 40.3% 3.9% 7.9% 5.6M -31.7M -3.7M 0.70 34.55 126,470 88,120 1,103,190 794,490 2015-08-06 $12.28 $12.50 42.7% 14.4% 33.9% 51.1% 49.9% 4.8% -5.5% 3.6M 26.5M -3.7M 1.11 47.84 86,790 96,210 1,130,520 840,250 2015-08-07 $12.25 $12.50 43.5% 14.4% 30.0% 53.2% 50.0% 4.5% -4.1% 2.6M 39.2M -3.7M 0.83 43.88 94,230 78,640 1,127,170 862,540 2015-08-10 $12.72 $12.50 42.3% 14.1% 33.3% 50.1% 50.0% 4.5% -4.4% 7.8M -97.1M -3.7M 0.91 43.79 81,480 74,110 1,122,450 866,090 2015-08-11 $12.42 $12.50 42.5% 14.4% 33.0% 50.7% 52.8% 4.8% -5.3% 3.5M 1.2M -3.6M 1.66 47.72 15,460 25,740 1,119,300 868,950 2015-08-12 $12.57 $12.50 49.7% 14.2% 33.5% 68.4% 51.4% 4.3% -5.2% 6.1M -56.7M -3.6M 0.78 45.03 73,660 57,780 1,124,210 874,350 2015-08-13 $12.43 $12.50 49.6% 14.2% 32.4% 68.3% 51.4% 4.5% -4.6% 2.3M 4.2M -3.6M 0.65 48.85 51,260 33,530 1,119,170 893,130 2015-08-14 $12.19 $12.50 49.8% 14.3% 32.9% 67.9% 48.4% 4.7% -5.4% -2.1M 89.7M -3.4M 0.44 50.69 67,720 29,890 1,119,020 897,730 2015-08-17 $12.52 $12.50 47.6% 13.7% 34.5% 62.4% 47.8% 4.4% -4.6% 3.2M -3.3M -3.4M 0.43 45.92 83,880 35,860 1,136,780 900,910 2015-08-18 $12.21 $12.50 48.5% 13.9% 35.3% 64.6% 48.1% 4.5% -4.6% -2.4M 87.2M -3.2M 0.56 42.29 75,790 42,700 1,152,890 900,600 2015-08-19 $12.14 $12.50 49.6% 14.2% 33.2% 67.2% 48.9% 4.3% -5.0% -1.4M 101.1M -3.2M 0.37 40.26 98,610 36,920 1,179,610 898,120 2015-08-20 $11.54 $12.50 54.2% 15.5% 36.2% 78.9% 53.7% 4.7% -5.9% -8.7M 252.4M -3.1M 0.71 48.75 106,580 76,200 1,228,250 910,910 2015-08-21 $11.18 $12.50 59.0% 16.9% 36.6% 91.1% 58.0% 6.9% -6.9% 344.4K 325.2M -2.9M 1.09 55.56 95,310 104,210 1,247,500 916,720 2015-08-24 $11.02 $12.50 66.9% 19.2% 35.4% 100.0% 66.4% 10.6% -8.0% 314.9K 175.3M -2.9M 0.58 56.49 200,300 116,160 1,014,700 737,030 2015-08-25 $10.88 $12.00 65.2% 18.7% 32.5% 96.1% 64.7% 8.9% -6.5% 1.7M 136.3M -3.1M 0.30 50.36 142,930 42,400 1,143,630 767,460 2015-08-26 $11.63 $12.00 64.4% 18.5% 41.8% 94.2% 65.8% 7.1% -8.6% 5.7M -26.7M -3.7M 0.67 39.60 205,890 137,240 1,210,300 783,170 2015-08-27 $12.57 $12.00 45.3% 13.0% 51.1% 50.8% 48.9% 8.4% -1.6% 13.7M -308.0M -4.1M 0.87 35.96 208,370 181,220 1,288,610 822,740 2015-08-28 $12.70 $12.00 44.4% 12.7% 50.6% 48.6% 44.3% 7.6% -0.9% 13.3M -305.8M -4.1M 2.23 29.06 51,700 115,260 1,266,600 877,190 2015-08-31 $12.64 $12.00 45.5% 13.1% 50.6% 51.3% 43.0% 7.6% -2.0% 14.8M -305.7M -3.9M 1.32 31.38 53,480 70,420 1,273,290 817,910
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