AVGO Options History — March 2016

In March 2016, AVGO traded between $13.70 and $15.70. ATM implied volatility averaged 34.1%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 2.6% (HV 20d: 36.7%). Max pain ranged from $12.50 to $13.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.76.

Notable Days

  • 2016-03-04: Highest Volume — 351,030 contracts
  • 2016-03-04: Largest IV drop — 28.6% change
  • 2016-03-03: Highest IV Rank — 50.4%
  • 2016-03-02: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.80$13.70$15.70$13.82$15.49
Max Pain$12.70$12.50$13.50$12.50$13.50
ATM IV34.1%28.7%47.7%45.1%29.3%
Expected Move9.8%7.7%15.9%15.0%7.8%
HV 20d36.7%30.7%48.4%46.8%31.3%
HV 60d40.6%38.1%42.6%42.6%40.3%
IV Rank15.3%1.5%50.4%43.7%2.9%
IV Percentile20.0%2.4%74.6%63.1%3.6%
Term Structure0.2%-1.9%1.5%0.1%-0.1%
VWIV35.4%27.0%56.5%54.1%28.6%
Skew 25d5.5%3.8%8.4%7.0%3.8%
Skew 10d12.2%6.3%16.8%15.6%6.3%
Call IV 25d31.9%26.7%44.4%42.0%27.1%
Put IV 25d37.4%30.9%51.5%48.9%30.9%
Bid-Ask Spread %29.9414.3463.7460.6333.38
Gamma HHI0.180.130.360.140.25
Net GEX15.3M9.1M25.4M10.8M16.3M
Net DEX-505.2M-752.1M-383.1M-412.2M-459.8M
Net VEX-1.7M-2.1M-1.5M-2.1M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.191.221.170.45
Total Volume158,608.18267,270351,030131,480109,490
Total OI1,305,326.364783,5501,779,0001,541,610958,130

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$13.82$12.5045.1%15.0%46.8%43.7%54.1%7.0%0.1%10.8M-412.2M-2.1M1.1760.6360,56070,920879,910661,700
2016-03-02$13.70$12.5046.9%15.9%45.1%48.4%56.5%8.4%-1.0%10.2M-383.1M-2.1M0.9063.7460,58054,650890,920681,200
2016-03-03$13.72$12.5047.7%13.2%44.8%50.4%46.0%6.4%-1.9%10.7M-399.1M-2.1M1.2232.49134,210164,290910,270700,820
2016-03-04$14.63$12.5034.1%10.0%48.4%15.3%37.0%6.6%0.3%25.2M-752.1M-1.9M0.9923.19176,570174,460969,890809,110
2016-03-07$14.35$12.5034.3%10.1%42.9%15.8%37.4%6.0%0.8%17.7M-557.2M-1.9M0.8029.3076,32061,290887,990670,820
2016-03-08$13.96$12.5036.4%10.3%40.4%21.2%36.3%4.2%-0.6%14.5M-443.7M-1.8M0.5421.8795,09051,700893,950685,390
2016-03-09$14.17$12.5036.0%10.4%39.2%20.4%36.6%5.8%0.4%14.1M-477.9M-1.8M0.4718.3586,67040,460870,560693,770
2016-03-10$14.41$12.5035.0%9.9%39.0%17.7%35.8%7.3%-0.4%17.2M-552.5M-1.7M0.7428.2777,59057,540866,970699,090
2016-03-11$14.87$12.5033.9%9.9%38.1%15.0%34.6%6.5%0.4%25.4M-723.4M-1.8M0.5529.53117,74064,190893,390711,120
2016-03-14$14.82$12.5034.9%10.0%37.1%17.5%35.4%5.3%0.1%22.4M-690.4M-1.8M1.0322.3939,86040,990905,520692,180
2016-03-15$14.82$12.5033.7%9.7%35.9%14.5%32.8%5.8%0.7%24.0M-695.5M-1.7M0.1914.34288,10053,920899,210697,000
2016-03-16$14.85$12.5032.2%9.2%34.3%10.5%35.4%4.8%1.5%24.7M-439.0M-1.6M0.2841.43201,15057,070722,260708,070
2016-03-17$15.06$12.5031.7%9.1%31.8%9.3%34.5%5.2%0.4%20.2M-526.2M-1.6M0.3233.11183,91058,130725,780713,550
2016-03-18$15.29$12.5029.7%8.4%31.9%4.0%31.7%4.3%1.5%9.5M-604.0M-1.5M0.7626.2484,67064,240725,310730,570
2016-03-21$15.25$12.5030.0%8.3%32.0%4.9%31.3%5.2%0.3%10.2M-412.6M-1.5M1.1331.4933,94038,240454,250329,300
2016-03-22$15.48$13.0028.9%8.0%30.7%1.9%29.0%4.7%0.2%11.1M-445.9M-1.5M1.1925.6851,97062,070459,820336,470
2016-03-23$15.29$13.0030.3%8.3%31.5%5.7%31.5%5.0%0.2%10.3M-416.5M-1.6M1.1318.5139,78045,050477,530364,010
2016-03-24$15.31$13.0030.2%8.3%31.5%5.3%29.4%5.2%0.3%9.1M-414.3M-1.6M0.7222.1246,17033,220482,790380,460
2016-03-28$15.30$13.0030.9%8.4%31.7%7.2%30.8%4.5%0.1%9.5M-401.9M-1.6M0.8926.4835,53031,740470,170366,750
2016-03-29$15.41$13.0029.8%7.8%31.6%4.2%27.6%4.3%-0.2%10.5M-426.4M-1.6M0.9925.4947,65047,140475,240375,330
2016-03-30$15.70$13.5028.7%7.7%30.9%1.5%27.0%5.1%0.4%12.8M-479.8M-1.6M0.3030.54130,99039,530496,100394,510
2016-03-31$15.49$13.5029.3%7.8%31.3%2.9%28.6%3.8%-0.1%16.3M-459.8M-1.6M0.4533.3875,46034,030555,940402,190