AVGO Options History — February 2016

In February 2016, AVGO traded between $11.69 and $13.75. ATM implied volatility averaged 52.0%, placing in the 61.4% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 3.4% (HV 20d: 48.6%). Max pain ranged from $12.50 to $13.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 1.03.

Notable Days

  • 2016-02-01: Highest Volume — 244,360 contracts
  • 2016-02-05: Largest IV spike — 9.7% change
  • 2016-02-11: Highest IV Rank — 81.1%
  • 2016-02-11: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.83$11.69$13.75$13.75$13.43
Max Pain$12.57$12.50$13.00$13.00$12.50
ATM IV52.0%45.5%59.6%45.5%47.2%
Expected Move14.7%10.6%16.8%10.6%15.9%
HV 20d48.6%42.5%51.6%42.9%47.6%
HV 60d41.5%39.4%42.5%40.5%42.2%
IV Rank61.4%44.7%81.1%44.7%49.3%
IV Percentile86.3%72.6%98.0%73.0%72.6%
Term Structure-2.1%-3.8%-0.4%-1.8%-1.4%
VWIV52.4%37.2%61.4%37.2%53.4%
Skew 25d8.7%7.0%12.1%7.9%7.5%
Skew 10d17.0%9.3%25.7%25.7%12.7%
Call IV 25d48.1%43.1%55.6%43.1%43.8%
Put IV 25d56.8%51.0%64.8%51.0%51.3%
Bid-Ask Spread %50.4626.2783.7450.8958.43
Gamma HHI0.080.060.120.060.12
Net GEX4.1M-6.9M15.2M9.9M9.0M
Net DEX-335.3M-1.15B74.6M-305.1M-322.9M
Net VEX-2.4M-3.0M-2.0M-2.3M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.441.460.440.67
Total Volume141,10974,700244,360244,360158,030
Total OI2,215,8021,463,1103,229,7201,501,0901,470,060

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$13.75$13.0045.5%10.6%42.9%44.7%37.2%7.9%-1.8%9.9M-305.1M-2.3M0.4450.89169,76074,600799,150701,940
2016-02-02$13.28$13.0047.5%11.2%43.7%49.9%40.0%7.9%-2.4%9.8M-204.0M-2.4M1.3353.5755,75074,120907,270701,190
2016-02-03$13.10$13.0048.6%11.4%42.5%52.7%38.9%7.9%-1.5%6.7M-200.5M-2.4M1.0783.7472,88078,090957,8601,112,190
2016-02-04$13.60$12.5048.6%13.0%43.2%52.9%46.9%7.0%-1.8%15.2M-1.15B-3.0M1.2039.3173,05087,4801,548,8101,636,200
2016-02-05$12.79$12.5053.4%14.4%47.8%65.0%50.7%10.1%-2.1%1.1M-803.0M-2.9M0.9930.0092,79091,4901,548,9501,649,990
2016-02-08$12.22$12.5057.9%15.9%50.3%76.6%55.9%12.1%-1.5%-2.9M-602.0M-2.7M0.9632.70106,240101,9501,521,1601,641,280
2016-02-09$11.97$12.5057.9%16.1%50.6%76.8%58.3%9.0%-1.2%-4.0M-515.3M-3.0M0.8326.2775,10062,4101,561,4801,649,770
2016-02-10$11.92$12.5057.5%15.8%50.2%75.7%60.8%7.8%-2.8%-5.6M-509.1M-2.5M0.9829.3172,51070,8301,559,3301,650,490
2016-02-11$11.69$12.5059.6%16.8%47.3%81.1%61.4%9.2%-1.3%-6.9M-415.2M-2.8M0.7429.86121,99090,0201,571,3601,658,360
2016-02-12$12.15$12.5055.8%15.9%49.3%71.4%56.3%9.4%-0.4%-4.3M74.6M-2.2M1.1867.2868,14080,5001,044,8701,152,060
2016-02-16$12.60$12.5053.3%15.2%48.6%64.8%57.2%9.6%-2.3%2.4M-89.5M-2.2M1.4668.8653,08077,2301,045,1701,139,640
2016-02-17$13.07$12.5052.1%14.9%50.2%61.7%54.0%8.7%-3.2%11.8M-275.4M-2.2M1.2660.9258,07073,1701,052,9101,142,260
2016-02-18$12.71$12.5054.9%15.9%50.8%68.9%59.0%8.8%-3.8%6.1M-137.3M-2.2M1.4369.2347,82068,5401,049,6201,142,810
2016-02-19$12.83$12.5053.3%15.4%50.7%64.9%53.0%9.4%-0.5%3.7M-156.7M-2.1M1.3267.9360,16079,2901,052,7701,149,660
2016-02-22$13.04$12.5049.5%15.0%50.9%55.1%52.4%8.5%-2.1%4.8M-200.6M-2.1M1.0645.5039,80042,230812,780650,330
2016-02-23$12.82$12.5050.6%15.4%51.3%58.0%54.8%8.4%-3.2%3.6M-152.7M-2.0M1.0548.0536,45038,250821,920659,870
2016-02-24$13.04$12.5049.6%15.1%51.6%55.3%52.9%8.1%-2.9%4.5M-199.2M-2.1M0.9747.6140,78039,460828,520665,650
2016-02-25$13.18$12.5048.6%15.2%51.4%52.8%52.2%8.3%-2.8%6.5M-239.7M-2.1M0.5648.3668,64038,170839,450675,340
2016-02-26$13.31$12.5047.8%15.2%50.4%50.8%53.3%8.0%-2.9%10.2M-305.0M-2.1M1.0351.4141,01042,300865,190678,380
2016-02-29$13.43$12.5047.2%15.9%47.6%49.3%53.4%7.5%-1.4%9.0M-322.9M-2.0M0.6758.4394,44063,590841,190628,870