AVGO Options History — September 2015

In September 2015, AVGO traded between $11.92 and $13.44. ATM implied volatility averaged 45.8%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 8.2% (HV 20d: 54.0%). Max pain ranged from $12.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2015-09-15: Highest Volume — 202,050 contracts
  • 2015-09-28: Largest IV spike — 17.7% change
  • 2015-09-28: Highest IV Rank — 63.8%
  • 2015-09-28: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.63$11.92$13.44$11.92$12.51
Max Pain$12.45$12.00$12.50$12.00$12.50
ATM IV45.8%42.5%51.8%50.2%44.8%
Expected Move13.2%12.3%14.9%14.4%12.8%
HV 20d54.0%42.0%59.2%54.5%42.8%
HV 60d42.5%39.7%44.6%39.7%44.6%
IV Rank50.6%43.6%63.8%61.9%46.2%
IV Percentile90.2%83.7%97.2%97.2%86.5%
Term Structure0.7%-2.5%2.3%-1.4%1.4%
VWIV46.8%42.1%53.7%50.7%45.0%
Skew 25d8.0%6.9%9.8%8.9%8.6%
Skew 10d16.4%13.8%21.9%16.9%19.7%
Call IV 25d42.6%39.9%47.9%46.8%41.5%
Put IV 25d50.5%47.0%57.6%55.7%50.1%
Bid-Ask Spread %25.4516.0535.2626.1117.10
Gamma HHI0.110.090.160.090.10
Net GEX13.4M3.6M29.6M7.4M7.2M
Net DEX-262.8M-658.8M-9.8M-73.9M-130.6M
Net VEX-3.8M-4.2M-3.5M-3.7M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.171.820.980.80
Total Volume117,273.33361,640202,050118,68091,220
Total OI2,136,168.0951,848,4202,399,9102,110,1902,073,990

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$11.92$12.0050.2%14.4%54.5%61.9%50.7%8.9%-1.4%7.4M-73.9M-3.7M0.9826.1160,04058,6401,279,840830,350
2015-09-02$12.34$12.0043.6%12.5%55.9%46.7%44.7%7.6%1.7%11.8M-198.6M-3.8M1.8220.8040,96074,4801,298,930834,040
2015-09-03$12.39$12.5042.5%12.9%55.7%43.6%48.6%7.9%2.3%12.8M-238.2M-3.9M1.5631.3252,24081,3001,313,050850,570
2015-09-04$12.12$12.5047.2%13.7%56.2%54.5%44.4%7.8%1.1%9.0M-138.9M-3.8M1.1330.6328,93032,7101,327,580894,570
2015-09-08$12.92$12.5044.5%13.0%59.2%47.9%47.9%7.4%1.7%18.7M-408.8M-3.9M0.9331.6452,82049,3001,332,860894,570
2015-09-09$12.70$12.5047.8%13.7%58.9%55.5%49.3%8.9%1.0%16.9M-355.3M-3.9M1.3035.2676,10098,9201,354,960899,930
2015-09-10$12.85$12.5045.8%13.1%58.9%50.9%49.7%8.0%0.8%18.6M-389.4M-4.0M1.1632.1569,10080,3801,382,770945,370
2015-09-11$13.09$12.5045.8%13.1%59.0%50.8%52.6%7.8%1.4%23.2M-505.1M-4.2M1.6528.0761,330101,1601,412,460970,050
2015-09-14$13.11$12.5047.2%13.5%58.4%54.0%45.6%8.1%0.3%23.9M-514.3M-4.1M0.7526.1092,07069,2601,419,030942,740
2015-09-15$13.44$12.5044.4%12.7%58.3%47.4%44.4%7.5%1.7%29.6M-658.8M-4.1M0.1728.13172,08029,9701,446,200953,710
2015-09-16$13.15$12.5045.1%12.9%58.1%49.3%44.9%7.2%1.4%21.7M-392.4M-3.9M1.3431.4844,49059,4101,292,850956,970
2015-09-17$13.05$12.5044.8%12.8%58.1%48.5%44.8%8.1%1.8%21.9M-367.1M-3.9M1.6330.9830,59049,7201,299,750965,500
2015-09-18$12.72$12.5045.6%13.1%55.6%50.4%45.6%7.8%1.4%9.4M-219.2M-3.7M0.7226.0964,49046,6301,304,160966,590
2015-09-21$12.71$12.5044.2%12.7%54.0%47.0%42.9%7.3%-0.5%8.9M-205.9M-3.7M0.7921.8537,34029,5301,121,900726,520
2015-09-22$12.42$12.5044.1%12.6%54.5%46.6%45.5%8.0%0.0%7.4M-143.0M-3.6M1.2318.5332,82040,4601,136,750728,240
2015-09-23$12.57$12.5042.9%12.3%54.1%43.7%43.9%6.9%0.7%8.3M-168.0M-3.6M1.5818.9226,17041,3601,137,830742,590
2015-09-24$12.42$12.5043.7%12.5%49.8%45.6%45.5%7.8%1.1%6.9M-125.9M-3.5M1.1518.4546,92054,0401,144,370742,470
2015-09-25$12.71$12.5044.0%12.6%42.0%45.1%42.1%7.4%0.6%9.5M-204.3M-3.6M0.6216.0598,20061,0001,155,160757,370
2015-09-28$12.13$12.5051.8%14.9%45.0%63.8%50.1%8.9%-2.5%5.5M-72.0M-3.5M0.6120.7458,97036,1701,207,600785,260
2015-09-29$11.97$12.5051.3%14.7%45.2%62.1%53.7%9.8%-1.3%3.6M-9.8M-3.5M1.2923.9857,45073,9701,235,650794,430
2015-09-30$12.51$12.5044.8%12.8%42.8%46.2%45.0%8.6%1.4%7.2M-130.6M-3.7M0.8017.1050,69040,5301,246,030827,960