AVGO Options History — November 2015

In November 2015, AVGO traded between $11.78 and $13.04. ATM implied volatility averaged 54.9%, placing in the 69.1% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 6.1% (HV 20d: 48.8%). Max pain ranged from $12.00 to $12.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 1.08.

Notable Days

  • 2015-11-13: Highest Volume — 289,550 contracts
  • 2015-11-06: Largest IV drop — 6.4% change
  • 2015-11-11: Highest IV Rank — 81.6%
  • 2015-11-16: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.44$11.78$13.04$12.37$13.04
Max Pain$12.00$12.00$12.00$12.00$12.00
ATM IV54.9%47.4%59.8%53.4%49.2%
Expected Move15.4%12.6%16.7%12.6%16.2%
HV 20d48.8%40.2%54.2%46.6%40.2%
HV 60d47.4%43.0%50.5%48.2%43.0%
IV Rank69.1%49.7%81.6%65.1%54.2%
IV Percentile94.6%83.3%98.4%97.6%86.5%
Term Structure-2.4%-3.4%-0.5%-3.4%-2.3%
VWIV54.4%44.5%60.9%45.3%58.2%
Skew 25d8.4%6.3%11.4%8.8%9.4%
Skew 10d17.0%12.0%25.9%18.7%19.0%
Call IV 25d51.3%44.5%57.1%53.0%44.5%
Put IV 25d59.7%53.5%63.7%61.8%54.0%
Bid-Ask Spread %37.4714.3349.1714.3335.76
Gamma HHI0.080.060.110.070.09
Net GEX9.0M2.7M15.2M9.6M10.0M
Net DEX-247.4M-468.1M4.2M-235.7M-393.3M
Net VEX-3.5M-3.8M-3.2M-3.8M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.332.281.060.95
Total Volume126,696.556,460289,55083,860134,640
Total OI2,144,5321,893,3302,286,4302,127,1201,922,040

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$12.37$12.0053.4%12.6%46.6%65.1%45.3%8.8%-3.4%9.6M-235.7M-3.8M1.0614.3340,74043,1201,212,980914,140
2015-11-03$12.30$12.0054.9%12.7%44.9%69.0%44.5%7.7%-3.3%9.9M-210.8M-3.7M1.1022.8242,83047,0101,229,120925,560
2015-11-04$12.39$12.0055.2%12.7%44.9%69.9%45.1%7.0%-2.0%10.6M-244.4M-3.7M2.2815.9030,66070,0501,242,920944,480
2015-11-05$12.12$12.0058.1%15.7%45.3%77.3%60.9%8.7%-2.7%7.8M-152.3M-3.6M1.6141.2258,67094,7401,242,400964,240
2015-11-06$12.97$12.0054.4%14.9%50.9%67.8%56.5%11.4%-1.8%15.2M-468.1M-3.7M1.4041.8867,06093,7301,255,120980,190
2015-11-09$12.65$12.0055.6%15.5%52.0%70.9%51.8%8.2%-0.5%9.4M-286.4M-3.6M1.4039.7323,48032,9801,196,650949,000
2015-11-10$11.98$12.0059.1%16.4%54.2%79.8%56.0%6.3%-0.9%2.7M-65.5M-3.4M0.6642.85124,93081,9201,209,640960,470
2015-11-11$12.08$12.0059.8%16.5%53.1%81.6%59.9%8.4%-2.9%4.8M-94.0M-3.5M0.9049.1797,68087,9001,266,690968,060
2015-11-12$11.98$12.0057.3%16.1%51.3%75.2%57.7%7.6%-1.3%4.8M-71.5M-3.4M0.7244.6262,17044,7601,298,450973,410
2015-11-13$11.78$12.0058.7%16.1%51.6%78.8%57.3%8.2%-3.4%3.2M4.2M-3.4M0.5145.37191,24098,3101,306,900979,530
2015-11-16$12.15$12.0059.0%16.7%52.4%79.5%56.1%8.8%-3.3%9.0M-166.4M-3.5M0.3345.6359,16019,7301,267,200927,920
2015-11-17$12.21$12.0058.1%16.6%52.4%77.1%57.3%9.3%-3.1%11.9M-211.2M-3.5M0.9145.3150,21045,9001,287,140933,420
2015-11-18$12.58$12.0055.2%15.8%53.1%69.7%54.6%8.0%-2.2%14.2M-354.1M-3.6M0.9046.4052,85047,8201,277,420944,080
2015-11-19$12.53$12.0056.0%16.2%51.3%71.8%56.7%8.3%-2.1%14.3M-332.0M-3.5M0.6648.2960,57040,2301,280,130956,330
2015-11-20$12.61$12.0054.4%15.8%50.0%67.7%57.4%8.5%-2.4%12.1M-387.2M-3.5M1.4744.3350,43073,9901,292,770963,430
2015-11-23$12.44$12.0053.6%16.1%47.6%65.6%56.4%7.9%-2.9%5.5M-215.4M-3.4M1.6832.4130,64051,4601,071,750821,580
2015-11-24$12.83$12.0050.3%15.2%48.2%57.1%53.3%8.2%-2.2%6.6M-329.3M-3.4M0.6027.5287,04052,5201,083,320859,770
2015-11-25$12.82$12.0049.2%15.0%45.5%54.4%52.2%8.5%-2.3%6.1M-332.6M-3.4M1.5428.0850,55077,6401,093,200885,870
2015-11-27$13.00$12.0047.4%14.6%40.9%49.7%51.5%8.7%-2.3%12.7M-402.0M-3.3M0.9237.7459,80054,7701,100,190903,130
2015-11-30$13.04$12.0049.2%16.2%40.2%54.2%58.2%9.4%-2.3%10.0M-393.3M-3.2M0.9535.7669,03065,6101,087,810834,230