AVGO Options History — October 2015

In October 2015, AVGO traded between $11.34 and $12.93. ATM implied volatility averaged 46.2%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 4.8% (HV 20d: 41.4%). Max pain ranged from $12.00 to $12.50. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.14.

Notable Days

2015-10-06: Highest Volume — 347,450 contracts
2015-10-29: Largest IV spike — 23.3% change
2015-10-29: Highest IV Rank — 60.9%
2015-10-29: Largest Expected Move — 14.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.05	$11.34	$12.93	$12.06	$12.33
Max Pain	$12.09	$12.00	$12.50	$12.50	$12.00
ATM IV	46.2%	42.0%	51.7%	48.5%	49.6%
Expected Move	13.3%	12.1%	14.9%	13.9%	13.5%
HV 20d	41.4%	36.5%	47.0%	43.1%	47.0%
HV 60d	45.0%	43.8%	48.2%	44.7%	48.2%
IV Rank	46.6%	35.7%	60.9%	53.3%	55.3%
IV Percentile	87.6%	73.4%	97.2%	93.7%	94.4%
Term Structure	2.2%	-3.1%	13.0%	-1.2%	11.3%
VWIV	47.3%	42.9%	51.7%	46.8%	47.4%
Skew 25d	7.0%	2.0%	9.0%	7.6%	6.4%
Skew 10d	13.7%	6.7%	19.3%	15.8%	13.1%
Call IV 25d	43.1%	40.4%	46.7%	44.9%	44.2%
Put IV 25d	50.1%	45.8%	54.2%	52.6%	50.6%
Bid-Ask Spread %	25.37	11.74	44.57	16.01	16.74
Gamma HHI	0.09	0.06	0.13	0.09	0.07
Net GEX	2.9M	-3.3M	10.5M	3.5M	9.7M
Net DEX	-65.3M	-343.7M	137.0M	-29.8M	-206.8M
Net VEX	-3.5M	-3.8M	-3.2M	-3.5M	-3.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.14	0.49	2.45	0.70	0.97
Total Volume	148,423.182	48,520	347,450	84,630	140,710
Total OI	2,128,231.818	1,791,650	2,505,550	2,100,040	2,201,230

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
2015-10-01	$12.06	$12.50	48.5%	13.9%	43.1%	53.3%	46.8%	7.6%	-1.2%	3.5M	-29.8M	-3.5M	0.70	16.01	49,710	34,920	1,257,840	842,200
2015-10-02	$12.30	$12.50	42.3%	12.1%	43.7%	37.6%	43.8%	6.8%	2.0%	5.4M	-80.6M	-3.5M	0.67	14.45	49,980	33,660	1,265,870	848,750
2015-10-05	$12.12	$12.50	45.7%	13.0%	43.3%	46.2%	43.5%	8.9%	2.7%	3.3M	-38.3M	-3.4M	1.57	44.57	18,850	29,670	1,273,460	855,790
2015-10-06	$11.72	$12.50	47.0%	13.5%	37.7%	48.8%	49.0%	7.5%	3.1%	-710.1K	77.6M	-3.2M	1.11	35.77	164,510	182,940	1,281,020	859,380
2015-10-07	$11.83	$12.00	43.7%	13.3%	37.7%	40.2%	48.0%	8.5%	2.9%	-75.7K	32.2M	-3.4M	0.64	35.96	99,500	64,050	1,327,650	877,460
2015-10-08	$11.64	$12.00	49.1%	14.3%	37.4%	54.0%	50.3%	9.0%	0.1%	-1.1M	62.7M	-3.3M	0.76	38.11	118,750	90,790	1,339,000	887,430
2015-10-09	$11.67	$12.00	48.4%	14.1%	36.6%	52.2%	51.0%	8.2%	0.8%	-1.1M	45.4M	-3.4M	1.09	40.87	56,480	61,330	1,383,670	921,980
2015-10-12	$11.75	$12.00	46.8%	13.0%	36.7%	48.0%	44.8%	8.1%	-1.0%	-512.2K	25.2M	-3.4M	1.21	41.52	31,290	37,910	1,404,150	939,940
2015-10-13	$11.34	$12.00	50.0%	14.0%	36.5%	56.3%	48.7%	7.9%	-1.4%	-3.3M	137.0M	-3.2M	1.26	36.48	70,750	88,820	1,408,000	942,170
2015-10-14	$11.70	$12.00	47.7%	13.9%	38.8%	50.4%	49.7%	7.4%	-0.0%	-248.7K	46.5M	-3.4M	2.15	37.41	52,930	113,740	1,452,260	980,660
2015-10-15	$12.16	$12.00	46.3%	13.3%	41.9%	46.9%	47.3%	8.7%	0.4%	2.1M	-99.7M	-3.6M	1.57	39.08	45,790	71,680	1,476,200	994,530
2015-10-16	$12.09	$12.00	43.2%	12.3%	41.1%	39.0%	42.9%	7.4%	-0.3%	2.3M	-97.2M	-3.6M	1.29	24.86	81,610	105,560	1,489,650	1,015,900
2015-10-19	$11.87	$12.00	45.6%	13.0%	41.4%	45.0%	47.4%	6.1%	-3.1%	3.5M	-54.4M	-3.5M	0.80	15.25	75,700	60,540	1,008,310	783,340
2015-10-20	$11.84	$12.00	45.2%	12.9%	40.8%	44.0%	46.4%	7.4%	-1.5%	3.0M	-40.4M	-3.5M	0.64	16.40	62,880	40,260	1,035,010	808,240
2015-10-21	$12.03	$12.00	45.2%	13.0%	41.0%	44.1%	45.6%	7.2%	-2.4%	4.5M	-101.4M	-3.6M	0.91	12.33	58,510	53,490	1,057,500	826,480
2015-10-22	$12.52	$12.00	42.8%	12.4%	43.3%	37.8%	46.9%	5.4%	-2.2%	8.4M	-207.4M	-3.7M	1.25	13.54	59,700	74,600	1,063,920	847,770
2015-10-23	$12.93	$12.00	42.1%	12.3%	44.1%	36.2%	44.9%	5.1%	-2.1%	10.5M	-343.7M	-3.8M	1.29	17.68	74,250	95,990	1,072,910	863,290
2015-10-26	$12.36	$12.00	46.0%	13.7%	43.8%	46.2%	49.3%	4.8%	9.4%	5.0M	-156.1M	-3.7M	1.07	11.74	74,310	79,580	1,063,100	864,410
2015-10-27	$12.13	$12.00	46.5%	14.2%	44.1%	47.3%	50.5%	2.0%	8.6%	3.2M	-98.2M	-3.7M	2.45	14.84	43,910	107,460	1,082,170	881,800
2015-10-28	$12.69	$12.00	42.0%	12.9%	44.3%	35.7%	45.4%	7.0%	13.0%	6.5M	-254.8M	-3.8M	1.27	18.63	52,050	66,060	1,095,210	910,530
2015-10-29	$12.03	$12.00	51.7%	14.9%	46.6%	60.9%	51.7%	6.8%	9.5%	453.8K	-53.7M	-3.6M	0.49	15.83	194,930	95,160	1,105,120	925,800
2015-10-30	$12.33	$12.00	49.6%	13.5%	47.0%	55.3%	47.4%	6.4%	11.3%	9.7M	-206.8M	-3.8M	0.97	16.74	71,480	69,230	1,236,760	964,470