AVGO Options History — April 2016

In April 2016, AVGO traded between $14.55 and $15.95. ATM implied volatility averaged 32.2%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 9.6% (HV 20d: 22.6%). Max pain ranged from $13.50 to $15.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.41.

Notable Days

  • 2016-04-19: Highest Volume — 206,260 contracts
  • 2016-04-25: Largest IV spike — 8.4% change
  • 2016-04-28: Highest IV Rank — 30.3%
  • 2016-04-29: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.37$14.55$15.95$15.76$14.55
Max Pain$14.93$13.50$15.00$13.50$15.00
ATM IV32.2%28.5%39.9%29.3%39.5%
Expected Move8.7%7.6%9.2%7.6%9.2%
HV 20d22.6%18.0%31.5%31.5%24.0%
HV 60d37.2%34.6%39.8%39.8%34.7%
IV Rank10.6%1.0%30.3%3.1%29.4%
IV Percentile16.6%0.8%44.4%4.0%42.9%
Term Structure1.5%-0.9%7.9%0.0%-0.3%
VWIV31.2%27.4%33.0%27.4%32.6%
Skew 25d4.9%1.3%6.6%5.6%6.6%
Skew 10d10.0%6.6%15.4%12.6%13.0%
Call IV 25d29.8%26.2%38.2%26.2%38.2%
Put IV 25d34.7%31.6%44.8%31.8%44.8%
Bid-Ask Spread %58.3122.7475.2322.7455.55
Gamma HHI0.260.090.760.260.25
Net GEX6.8M-27.7M41.7M22.5M-27.7M
Net DEX-288.8M-541.1M76.8M-515.4M76.8M
Net VEX-1.7M-2.0M-1.6M-1.6M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.652.390.652.31
Total Volume107,094.76259,170206,260126,520145,860
Total OI937,069.524680,9801,074,220972,7901,026,140

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$15.76$13.5029.3%7.6%31.5%3.1%27.4%5.6%0.0%22.5M-515.4M-1.6M0.6522.7476,86049,660562,410410,380
2016-04-04$15.60$15.0030.2%8.6%23.6%5.3%32.9%4.8%-0.1%18.5M-479.4M-1.6M1.4565.7333,96049,160560,120393,920
2016-04-05$15.46$15.0030.3%8.9%22.5%5.7%31.9%4.2%-0.0%16.5M-446.5M-1.6M2.1665.0128,91062,530566,860406,920
2016-04-06$15.77$15.0030.4%8.6%20.0%5.8%32.1%5.4%-0.2%19.9M-503.5M-1.7M1.0666.4747,38050,100571,320432,950
2016-04-07$15.51$15.0031.0%9.1%21.2%7.4%33.0%4.7%0.2%19.3M-450.1M-1.7M1.1265.2243,19048,270585,880441,250
2016-04-08$15.61$15.0030.1%8.7%20.7%5.1%31.7%5.7%0.0%17.1M-462.7M-1.7M0.8965.1939,84035,410590,620452,250
2016-04-11$15.60$15.0030.4%8.7%18.0%6.0%29.8%4.6%-0.2%18.1M-452.0M-1.6M0.7568.0341,17031,010564,330441,440
2016-04-12$15.55$15.0030.0%8.6%18.0%4.8%31.1%5.0%-0.1%15.3M-434.3M-1.6M0.9369.8435,51033,020577,170446,820
2016-04-13$15.95$15.0028.5%8.4%19.7%1.0%29.7%5.4%1.2%34.7M-541.1M-1.6M0.9770.1455,96054,040578,380454,750
2016-04-14$15.90$15.0028.6%8.4%19.8%1.3%29.6%5.4%0.9%41.7M-535.2M-1.7M0.8475.2346,84039,440596,400477,330
2016-04-15$15.58$15.0030.9%8.8%21.1%7.1%30.0%5.0%-0.1%4.2M-434.1M-1.6M1.0166.7986,96087,430591,200483,020
2016-04-18$15.58$15.0029.4%8.4%20.5%3.3%32.0%4.4%7.2%3.2M-197.1M-1.7M1.2747.4038,67048,930338,740342,240
2016-04-19$15.09$15.0031.7%9.1%23.7%9.2%31.5%5.6%5.3%-363.7K-134.4M-1.7M2.0151.3568,570137,690348,830363,150
2016-04-20$15.34$15.0030.6%8.8%23.9%6.5%32.2%5.1%6.1%-3.3M-138.8M-1.8M1.8350.7230,27055,520365,530448,980
2016-04-21$15.11$15.0032.1%8.9%24.1%10.4%32.6%5.0%6.0%-8.8M-87.6M-1.8M2.2349.6429,42065,610370,460479,040
2016-04-22$15.03$15.0033.0%8.7%24.2%12.5%31.7%4.3%7.9%-12.3M-64.5M-1.9M1.3249.6637,15049,100375,440504,950
2016-04-25$14.89$15.0035.8%8.7%24.4%19.7%30.6%4.5%-0.3%-8.5M-55.7M-1.8M1.1255.8827,89031,280360,350477,870
2016-04-26$15.05$15.0038.0%9.0%24.6%25.6%31.0%4.5%-0.5%-7.1M-84.4M-1.8M1.3352.5239,76052,870366,160486,320
2016-04-27$15.15$15.0037.0%8.6%23.6%22.9%31.2%5.8%-0.7%-6.9M-103.7M-1.8M2.0855.6052,660109,350380,640507,960
2016-04-28$14.77$15.0039.9%9.0%24.8%30.3%31.5%1.3%-0.9%-12.8M-21.0M-1.9M2.3955.8044,740107,000405,460544,480
2016-04-29$14.55$15.0039.5%9.2%24.0%29.4%32.6%6.6%-0.3%-27.7M76.8M-2.0M2.3155.5544,000101,860419,630606,510