AVGO Options History — May 2016

In May 2016, AVGO traded between $14.01 and $15.43. ATM implied volatility averaged 40.4%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 18.4% (HV 20d: 22.0%). Max pain ranged from $14.50 to $15.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.07.

Notable Days

2016-05-31: Highest Volume — 214,050 contracts
2016-05-31: Largest IV spike — 6.8% change
2016-05-19: Highest IV Rank — 38.4%
2016-05-31: Largest Expected Move — 13.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.56	$14.01	$15.43	$14.61	$15.43
Max Pain	$14.57	$14.50	$15.00	$15.00	$14.50
ATM IV	40.4%	37.5%	43.0%	41.3%	40.6%
Expected Move	11.3%	9.3%	13.8%	9.3%	13.8%
HV 20d	22.0%	19.2%	24.7%	24.0%	20.4%
HV 60d	27.6%	22.9%	33.9%	33.9%	22.9%
IV Rank	31.5%	24.2%	38.4%	33.9%	32.2%
IV Percentile	43.5%	35.7%	54.0%	47.2%	44.0%
Term Structure	-1.4%	-2.6%	0.3%	-2.3%	-2.6%
VWIV	39.6%	31.7%	47.1%	31.7%	47.1%
Skew 25d	5.5%	4.5%	6.9%	6.5%	4.7%
Skew 10d	10.1%	6.8%	13.5%	12.7%	10.2%
Call IV 25d	37.8%	35.5%	40.2%	37.8%	37.3%
Put IV 25d	43.3%	40.1%	45.7%	44.3%	42.0%
Bid-Ask Spread %	46.51	30.80	59.30	56.00	37.59
Gamma HHI	0.09	0.08	0.16	0.09	0.08
Net GEX	-3.7M	-13.9M	11.4M	-7.7M	6.1M
Net DEX	-59.5M	-313.2M	86.5M	-2.5M	-282.8M
Net VEX	-2.0M	-2.4M	-1.8M	-2.0M	-2.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.45	1.76	0.93	0.46
Total Volume	109,680	69,880	214,050	69,880	214,050
Total OI	1,028,558.095	847,810	1,137,000	941,040	1,085,710

Daily Data (21 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
2016-05-02	$14.61	$15.00	41.3%	9.3%	24.0%	33.9%	31.7%	6.5%	-2.3%	-7.7M	-2.5M	-2.0M	0.93	56.00	36,150	33,730	392,690	548,350
2016-05-03	$14.31	$15.00	41.2%	9.5%	24.7%	33.8%	32.6%	5.9%	-1.6%	-9.5M	53.1M	-1.9M	1.02	54.52	55,530	56,860	399,850	553,710
2016-05-04	$14.22	$15.00	41.4%	9.4%	23.1%	34.2%	31.7%	6.0%	-1.6%	-9.0M	50.4M	-1.9M	0.74	55.32	43,510	32,300	422,450	549,970
2016-05-05	$14.26	$14.50	41.4%	10.8%	22.9%	34.3%	41.0%	4.5%	-1.4%	-8.0M	38.9M	-1.9M	0.90	43.55	51,940	46,600	435,330	557,240
2016-05-06	$14.17	$14.50	41.1%	11.5%	22.6%	33.5%	40.6%	5.7%	-1.0%	-8.7M	64.4M	-1.9M	1.16	43.05	51,360	59,740	438,820	566,600
2016-05-09	$14.22	$14.50	40.6%	11.4%	22.7%	32.2%	40.9%	6.9%	-0.5%	-9.0M	42.0M	-1.9M	1.61	47.62	40,320	64,870	432,010	565,340
2016-05-10	$14.45	$14.50	38.9%	10.6%	23.9%	27.6%	35.5%	6.0%	-1.3%	-7.1M	-9.7M	-1.9M	1.33	48.39	44,890	59,930	439,220	559,370
2016-05-11	$14.39	$14.50	39.3%	10.7%	21.3%	28.8%	37.1%	4.9%	-2.0%	-7.5M	5.0M	-1.9M	1.39	49.34	32,750	45,420	448,190	567,390
2016-05-12	$14.11	$14.50	40.1%	11.5%	21.9%	31.0%	37.4%	5.3%	0.3%	-11.2M	71.8M	-1.8M	1.26	49.46	60,320	75,710	451,590	573,270
2016-05-13	$14.01	$14.50	41.7%	11.6%	21.2%	35.0%	42.0%	5.5%	-1.8%	-13.9M	86.5M	-1.8M	1.52	54.35	41,330	62,920	474,370	578,950
2016-05-16	$14.27	$14.50	39.6%	11.2%	22.7%	29.7%	37.5%	5.8%	0.3%	-9.8M	23.7M	-1.8M	0.75	54.99	57,040	42,680	463,130	578,610
2016-05-17	$14.18	$14.50	41.2%	11.8%	20.2%	33.8%	40.8%	6.0%	-1.5%	-11.3M	45.7M	-1.8M	1.24	59.30	34,310	42,570	471,050	593,390
2016-05-18	$14.35	$14.50	41.7%	11.9%	19.7%	34.9%	41.8%	5.8%	-2.6%	-8.6M	1.7M	-1.8M	0.69	49.92	61,320	42,040	478,910	607,740
2016-05-19	$14.28	$14.50	43.0%	12.4%	19.2%	38.4%	43.1%	5.0%	-0.6%	-6.6M	6.4M	-1.8M	1.18	56.34	39,590	46,850	509,160	609,340
2016-05-20	$14.65	$14.50	41.6%	12.1%	21.7%	34.9%	39.7%	5.3%	-2.1%	1.1M	-103.2M	-1.9M	0.85	51.80	55,700	47,580	511,540	621,270
2016-05-23	$14.81	$14.50	41.0%	12.3%	21.8%	33.1%	44.1%	6.0%	-1.1%	5.7M	-171.9M	-1.8M	0.45	30.80	129,310	58,620	420,610	427,200
2016-05-24	$15.13	$14.50	38.6%	11.6%	22.9%	26.9%	41.8%	5.0%	-1.6%	9.5M	-256.7M	-2.2M	0.75	32.19	88,690	66,170	515,740	457,140
2016-05-25	$15.36	$14.50	37.6%	11.6%	23.4%	24.4%	40.6%	4.7%	-1.4%	11.4M	-313.2M	-2.4M	0.97	32.76	56,040	54,480	566,910	490,870
2016-05-26	$15.31	$14.50	37.5%	11.6%	21.3%	24.2%	42.0%	4.6%	-1.5%	10.7M	-302.4M	-2.4M	1.76	36.02	35,150	61,960	581,910	517,780
2016-05-27	$15.32	$14.50	38.0%	11.8%	20.4%	25.5%	41.8%	4.6%	-1.8%	6.0M	-296.7M	-2.4M	1.43	33.38	30,060	42,890	587,590	549,410
2016-05-31	$15.43	$14.50	40.6%	13.8%	20.4%	32.2%	47.1%	4.7%	-2.6%	6.1M	-282.8M	-2.4M	0.46	37.59	146,230	67,820	557,960	527,750