AVGO Options History — January 2016

In January 2016, AVGO traded between $12.01 and $14.21. ATM implied volatility averaged 45.2%, placing in the 44.1% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 13.6% (HV 20d: 31.6%). Max pain ranged from $13.00 to $14.50. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.04.

Notable Days

2016-01-15: Highest Volume — 300,470 contracts
2016-01-25: Largest IV spike — 11.2% change
2016-01-27: Highest IV Rank — 56.0%
2016-01-15: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.74	$12.01	$14.21	$14.21	$13.26
Max Pain	$13.83	$13.00	$14.50	$14.50	$13.00
ATM IV	45.2%	39.2%	49.9%	39.2%	42.7%
Expected Move	12.3%	10.2%	13.9%	11.1%	10.2%
HV 20d	31.6%	24.5%	40.3%	24.5%	40.3%
HV 60d	41.5%	38.5%	43.2%	41.3%	39.9%
IV Rank	44.1%	28.6%	56.0%	28.6%	37.6%
IV Percentile	73.5%	52.4%	88.9%	52.4%	61.9%
Term Structure	1.2%	-3.2%	6.8%	0.1%	2.2%
VWIV	43.3%	36.6%	48.1%	41.4%	36.6%
Skew 25d	8.1%	6.4%	10.6%	7.3%	10.6%
Skew 10d	15.2%	9.1%	21.1%	14.8%	21.1%
Call IV 25d	41.5%	36.3%	46.6%	36.3%	38.8%
Put IV 25d	49.5%	43.4%	54.8%	43.6%	49.4%
Bid-Ask Spread %	46.67	30.78	57.78	48.31	48.54
Gamma HHI	0.16	0.06	0.85	0.11	0.07
Net GEX	8.4M	-6.6M	102.8M	17.4M	8.6M
Net DEX	-24.7M	-600.7M	318.7M	-600.7M	-213.2M
Net VEX	-2.1M	-2.5M	-1.8M	-2.5M	-2.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.04	0.42	1.85	1.85	0.46
Total Volume	179,689.474	114,470	300,470	193,880	162,390
Total OI	1,811,005.263	1,165,360	2,298,260	2,114,700	1,574,730

Daily Data (19 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
2016-01-04	$14.21	$14.50	39.2%	11.1%	24.5%	28.6%	41.4%	7.3%	0.1%	17.4M	-600.7M	-2.5M	1.85	48.31	68,010	125,870	1,181,200	933,500
2016-01-05	$13.76	$14.50	40.2%	11.0%	25.5%	31.1%	38.4%	6.6%	-0.8%	9.7M	-403.5M	-2.5M	0.98	50.58	70,290	68,800	1,196,000	969,260
2016-01-06	$13.32	$14.50	42.7%	11.8%	26.9%	37.5%	38.7%	7.3%	-0.6%	6.0M	-214.3M	-2.5M	0.84	56.22	90,550	76,250	1,221,290	971,550
2016-01-07	$12.98	$14.50	46.6%	12.9%	27.9%	47.6%	42.3%	8.2%	-1.1%	3.6M	-72.1M	-2.5M	1.14	56.11	69,110	78,680	1,236,910	989,250
2016-01-08	$12.82	$14.50	46.9%	13.6%	27.8%	48.4%	47.8%	8.6%	-1.7%	3.5M	-25.2M	-2.4M	1.20	45.36	82,720	99,610	1,255,500	982,570
2016-01-11	$12.83	$14.00	43.1%	12.6%	27.3%	38.6%	44.2%	6.8%	0.2%	2.9M	-40.2M	-2.2M	1.62	56.22	89,460	144,640	1,224,330	989,100
2016-01-12	$13.01	$14.00	43.7%	12.3%	28.0%	40.2%	43.9%	6.5%	-0.3%	5.6M	-134.2M	-2.2M	1.15	57.78	68,470	78,540	1,240,560	974,720
2016-01-13	$12.34	$14.00	48.1%	13.1%	32.5%	51.5%	46.8%	8.3%	-3.2%	4.7M	149.4M	-2.0M	1.45	51.24	65,890	95,510	1,253,690	983,200
2016-01-14	$12.51	$14.00	45.4%	12.7%	32.8%	44.6%	46.6%	6.4%	-1.5%	4.3M	58.1M	-2.0M	1.34	49.68	90,300	120,650	1,270,440	1,005,410
2016-01-15	$12.01	$14.00	48.6%	13.9%	34.8%	52.7%	48.1%	10.3%	0.1%	102.8M	318.7M	-1.8M	0.65	48.13	182,610	117,860	1,293,030	1,005,230
2016-01-19	$12.04	$14.00	46.2%	13.2%	34.6%	46.6%	45.3%	8.8%	4.9%	-5.0M	154.3M	-1.8M	0.56	30.78	73,410	41,060	601,500	563,860
2016-01-20	$12.35	$13.70	44.8%	12.8%	36.5%	43.0%	44.3%	9.3%	6.8%	-3.7M	91.9M	-1.9M	0.76	34.46	68,620	51,900	634,990	574,040
2016-01-21	$12.50	$13.50	42.5%	11.8%	33.6%	37.0%	42.2%	8.8%	6.5%	2.2M	57.0M	-1.9M	0.42	41.58	99,000	41,210	682,060	603,560
2016-01-22	$12.44	$13.50	43.6%	11.8%	33.6%	39.8%	41.0%	8.8%	6.7%	12.2M	68.6M	-1.9M	0.94	40.95	75,450	71,190	738,300	609,440
2016-01-25	$12.42	$13.50	48.5%	12.9%	32.9%	52.4%	45.8%	7.8%	2.1%	-3.1M	73.5M	-2.0M	1.42	34.36	118,740	168,300	655,530	578,550
2016-01-26	$12.40	$13.00	49.6%	12.4%	32.9%	55.4%	47.0%	8.0%	1.0%	-6.0M	93.5M	-2.1M	1.38	46.50	78,060	107,990	722,580	700,220
2016-01-27	$12.24	$13.00	49.9%	12.2%	32.9%	56.0%	41.7%	8.2%	-0.1%	-6.6M	138.6M	-2.0M	1.01	43.95	76,200	77,120	758,910	726,000
2016-01-28	$12.64	$13.00	47.0%	11.6%	35.3%	48.8%	39.8%	7.0%	2.2%	-491.1K	30.8M	-2.1M	0.62	46.06	135,670	83,970	764,700	743,390
2016-01-29	$13.26	$13.00	42.7%	10.2%	40.3%	37.6%	36.6%	10.6%	2.2%	8.6M	-213.2M	-2.2M	0.46	48.54	111,160	51,230	830,150	744,580