AVGO Options History — December 2015

In December 2015, AVGO traded between $13.20 and $14.88. ATM implied volatility averaged 38.3%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 2.1% (HV 20d: 40.5%). Max pain ranged from $12.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.02.

Notable Days

2015-12-03: Highest Volume — 549,680 contracts
2015-12-03: Largest IV drop — 21.0% change
2015-12-02: Highest IV Rank — 54.8%
2015-12-02: Largest Expected Move — 16.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.41	$13.20	$14.88	$13.29	$14.58
Max Pain	$12.30	$12.00	$12.50	$12.50	$12.50
ATM IV	38.3%	34.4%	49.4%	48.6%	34.4%
Expected Move	11.2%	9.2%	16.9%	16.8%	9.2%
HV 20d	40.5%	38.0%	50.8%	40.6%	38.9%
HV 60d	43.5%	40.9%	44.8%	42.9%	40.9%
IV Rank	26.4%	16.3%	54.8%	52.9%	16.3%
IV Percentile	47.5%	27.0%	86.9%	85.7%	27.0%
Term Structure	0.5%	-1.5%	3.1%	-1.4%	-0.1%
VWIV	40.7%	32.9%	59.3%	59.3%	32.9%
Skew 25d	6.1%	4.9%	7.7%	7.7%	6.2%
Skew 10d	12.9%	9.7%	16.7%	15.8%	11.4%
Call IV 25d	35.8%	32.4%	46.3%	45.3%	32.8%
Put IV 25d	41.9%	37.6%	53.5%	52.9%	39.0%
Bid-Ask Spread %	24.13	17.24	37.33	37.33	19.95
Gamma HHI	0.15	0.09	0.27	0.09	0.15
Net GEX	24.2M	11.3M	37.5M	11.3M	22.0M
Net DEX	-821.5M	-1.09B	-468.2M	-484.2M	-798.7M
Net VEX	-3.0M	-3.3M	-2.5M	-3.3M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.48	1.69	0.70	0.48
Total Volume	187,657.727	96,490	549,680	202,860	185,960
Total OI	2,255,874.091	1,999,490	2,392,000	1,999,490	2,226,130

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
2015-12-01	$13.29	$12.50	48.6%	16.8%	40.6%	52.9%	59.3%	7.7%	-1.4%	11.3M	-484.2M	-3.3M	0.70	37.33	119,670	83,190	1,131,350	868,140
2015-12-02	$13.20	$12.50	49.4%	16.9%	40.6%	54.8%	59.0%	7.2%	-1.5%	12.1M	-468.2M	-3.3M	1.11	21.34	167,190	186,340	1,194,670	903,500
2015-12-03	$14.43	$12.00	39.0%	11.5%	50.8%	28.1%	40.6%	5.3%	0.7%	26.5M	-1.01B	-3.1M	0.95	28.50	282,420	267,260	1,269,860	1,016,270
2015-12-04	$14.75	$12.00	35.6%	10.9%	49.8%	19.3%	38.0%	5.5%	0.7%	29.7M	-1.09B	-2.9M	0.56	34.13	302,740	168,850	1,271,870	1,056,190
2015-12-07	$14.88	$12.00	35.4%	10.6%	44.9%	18.9%	38.2%	5.8%	1.5%	25.4M	-1.08B	-3.0M	0.99	33.49	70,200	69,190	1,275,610	965,610
2015-12-08	$14.79	$12.00	35.4%	10.7%	43.6%	18.9%	37.8%	5.8%	1.5%	22.4M	-1.01B	-3.0M	1.03	30.51	78,100	80,430	1,281,650	978,440
2015-12-09	$14.57	$12.00	37.0%	11.3%	38.2%	22.9%	41.2%	5.8%	2.4%	20.8M	-909.0M	-3.2M	1.01	28.92	66,470	67,220	1,304,280	1,003,240
2015-12-10	$14.70	$12.00	36.9%	11.0%	38.2%	22.6%	38.3%	6.0%	1.5%	25.0M	-998.6M	-3.1M	1.69	27.81	41,050	69,320	1,328,920	1,019,940
2015-12-11	$14.44	$12.00	39.9%	11.4%	38.9%	30.3%	43.2%	7.2%	-0.4%	17.5M	-842.3M	-3.1M	1.64	20.43	48,100	78,880	1,333,740	1,042,260
2015-12-14	$14.22	$12.00	43.8%	12.6%	38.8%	40.4%	45.3%	7.1%	-1.5%	19.8M	-736.3M	-3.2M	1.41	25.39	74,920	105,320	1,301,120	1,004,850
2015-12-15	$14.34	$12.00	41.9%	12.0%	38.0%	35.4%	43.4%	6.9%	-0.3%	22.3M	-813.7M	-3.2M	0.68	23.52	140,030	95,420	1,345,200	1,046,800
2015-12-16	$14.40	$12.50	40.3%	11.6%	38.0%	31.4%	45.9%	6.3%	-0.3%	22.9M	-729.0M	-3.3M	1.23	27.91	47,450	58,510	1,286,960	1,081,210
2015-12-17	$14.07	$12.50	38.6%	11.1%	38.7%	27.0%	39.1%	6.3%	0.3%	15.0M	-575.2M	-3.1M	1.01	17.76	82,620	83,760	1,285,520	1,087,970
2015-12-18	$14.02	$12.50	37.8%	10.8%	38.7%	25.0%	42.2%	6.5%	0.2%	21.0M	-537.2M	-3.1M	0.96	18.49	86,490	83,060	1,299,840	1,092,120
2015-12-21	$14.54	$12.50	36.7%	10.5%	40.2%	22.0%	38.3%	5.9%	1.0%	23.8M	-792.5M	-2.9M	1.12	20.27	49,770	55,960	1,198,280	929,940
2015-12-22	$14.48	$12.50	36.0%	10.1%	39.7%	20.2%	35.5%	5.0%	1.4%	25.1M	-787.3M	-2.8M	1.19	19.20	60,980	72,640	1,213,010	948,460
2015-12-23	$14.64	$12.50	34.8%	9.7%	38.8%	17.2%	35.8%	4.9%	3.1%	32.0M	-862.0M	-2.9M	1.07	21.98	46,670	49,820	1,244,310	961,050
2015-12-24	$14.63	$12.50	34.9%	9.6%	38.8%	17.6%	37.5%	4.9%	2.2%	32.0M	-867.3M	-2.8M	0.89	21.37	77,330	69,000	1,253,700	965,750
2015-12-28	$14.61	$12.50	36.3%	9.8%	38.8%	21.1%	35.0%	6.0%	0.1%	30.6M	-846.4M	-2.6M	0.81	17.89	74,830	60,960	1,252,350	940,240
2015-12-29	$14.78	$12.50	35.5%	9.4%	38.8%	19.1%	36.8%	6.0%	-0.0%	37.5M	-918.6M	-2.6M	0.93	17.52	59,080	54,690	1,253,530	948,440
2015-12-30	$14.76	$12.50	35.3%	9.3%	38.6%	18.5%	33.1%	6.0%	0.1%	36.6M	-910.0M	-2.5M	1.04	17.24	52,310	54,270	1,261,160	955,750
2015-12-31	$14.58	$12.50	34.4%	9.2%	38.9%	16.3%	32.9%	6.2%	-0.1%	22.0M	-798.7M	-2.5M	0.48	19.95	125,280	60,680	1,261,940	964,190