AVGO Options History — June 2016

In June 2016, AVGO traded between $14.38 and $16.49. ATM implied volatility averaged 30.1%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 3.9% (HV 20d: 26.2%). Max pain ranged from $14.50 to $15.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.90.

Notable Days

2016-06-02: Highest Volume — 494,060 contracts
2016-06-03: Largest IV drop — 27.6% change
2016-06-01: Highest IV Rank — 32.2%
2016-06-01: Largest Expected Move — 14.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.73	$14.38	$16.49	$15.46	$15.49
Max Pain	$14.90	$14.50	$15.00	$14.50	$15.00
ATM IV	30.1%	25.2%	40.6%	40.6%	27.5%
Expected Move	8.7%	7.4%	14.2%	14.2%	7.7%
HV 20d	26.2%	18.2%	38.9%	18.5%	38.9%
HV 60d	24.0%	21.7%	28.6%	22.4%	28.4%
IV Rank	10.7%	0.0%	32.2%	32.2%	5.5%
IV Percentile	10.4%	0.0%	44.0%	44.0%	2.0%
Term Structure	-0.1%	-2.2%	0.8%	-2.2%	-0.2%
VWIV	31.3%	26.2%	49.8%	49.8%	28.6%
Skew 25d	5.2%	2.7%	7.8%	4.2%	5.2%
Skew 10d	10.5%	7.0%	14.2%	10.1%	8.8%
Call IV 25d	28.3%	24.3%	38.7%	38.7%	25.7%
Put IV 25d	33.4%	27.9%	42.9%	42.9%	30.9%
Bid-Ask Spread %	19.77	12.43	36.21	32.57	36.21
Gamma HHI	0.13	0.06	0.23	0.09	0.07
Net GEX	19.8M	-8.9M	42.4M	9.4M	9.8M
Net DEX	-394.5M	-723.6M	-5.7M	-322.5M	-360.1M
Net VEX	-2.6M	-2.9M	-2.3M	-2.5M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.33	1.76	0.89	1.22
Total Volume	170,462.727	90,230	494,060	143,210	107,530
Total OI	1,399,160	1,173,060	1,578,170	1,207,490	1,453,440

Daily Data (22 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
2016-06-01	$15.46	$14.50	40.6%	14.2%	18.5%	32.2%	49.8%	4.2%	-2.2%	9.4M	-322.5M	-2.5M	0.89	32.57	75,780	67,430	643,620	563,870
2016-06-02	$15.46	$14.50	38.5%	10.3%	18.2%	26.7%	36.3%	2.7%	-2.1%	11.8M	-339.5M	-2.5M	0.79	29.05	275,560	218,500	696,320	591,640
2016-06-03	$16.26	$14.50	27.9%	7.8%	24.5%	0.0%	29.4%	3.9%	-0.6%	42.3M	-723.6M	-2.5M	0.58	14.99	262,530	151,650	858,480	719,690
2016-06-06	$16.30	$14.50	27.3%	7.8%	24.1%	0.0%	27.8%	3.4%	0.3%	29.4M	-572.6M	-2.5M	0.33	19.21	217,720	72,630	742,270	584,750
2016-06-07	$16.49	$15.00	26.3%	7.7%	24.1%	0.0%	27.3%	3.5%	0.4%	36.0M	-680.4M	-2.9M	0.91	13.30	76,420	69,770	879,790	604,730
2016-06-08	$16.38	$15.00	25.4%	7.4%	24.4%	0.0%	26.2%	3.2%	0.5%	37.8M	-650.0M	-2.8M	0.81	14.29	63,290	51,270	903,920	620,410
2016-06-09	$16.44	$15.00	25.2%	7.4%	24.1%	0.0%	27.8%	3.5%	0.5%	42.4M	-675.6M	-2.9M	0.95	14.35	73,970	70,350	919,960	626,220
2016-06-10	$16.08	$15.00	29.1%	8.4%	24.5%	9.3%	30.2%	5.2%	-0.1%	31.0M	-523.4M	-2.9M	1.04	15.52	73,700	76,530	919,850	628,840
2016-06-13	$15.97	$15.00	30.4%	8.7%	24.4%	12.5%	32.5%	6.0%	-0.2%	28.8M	-468.5M	-2.8M	1.30	13.78	41,410	53,680	899,650	617,000
2016-06-14	$15.90	$15.00	30.9%	8.9%	24.3%	13.5%	32.9%	6.4%	0.5%	26.2M	-429.0M	-2.7M	0.63	12.43	75,810	47,390	901,470	628,740
2016-06-15	$15.85	$15.00	30.2%	8.7%	24.1%	11.8%	31.4%	6.2%	0.7%	24.5M	-358.9M	-2.7M	0.69	16.75	79,160	54,500	865,780	637,120
2016-06-16	$15.86	$15.00	30.6%	8.7%	24.1%	12.7%	31.8%	6.2%	0.8%	26.3M	-371.6M	-2.7M	0.48	13.36	103,840	50,360	874,470	652,400
2016-06-17	$15.60	$15.00	31.9%	9.1%	25.0%	15.9%	31.1%	6.5%	-0.5%	10.6M	-290.4M	-2.7M	0.61	15.73	102,420	61,970	877,600	664,670
2016-06-20	$15.68	$15.00	28.1%	8.1%	23.7%	6.9%	28.4%	5.4%	0.3%	13.9M	-312.0M	-2.6M	0.81	20.15	50,360	40,540	720,080	452,980
2016-06-21	$15.60	$15.00	28.8%	8.2%	23.8%	8.4%	28.5%	5.7%	-0.0%	14.2M	-291.7M	-2.5M	1.04	18.44	44,140	46,090	738,930	462,860
2016-06-22	$15.52	$15.00	29.0%	8.5%	22.8%	9.0%	30.1%	6.0%	-0.0%	12.9M	-273.8M	-2.5M	0.96	19.38	51,300	49,380	754,620	479,410
2016-06-23	$15.81	$15.00	27.2%	7.8%	23.1%	4.6%	28.0%	5.1%	-0.5%	19.9M	-357.2M	-2.6M	1.03	30.14	46,020	47,200	772,270	493,600
2016-06-24	$14.98	$15.00	33.3%	9.6%	30.4%	19.4%	35.2%	6.3%	-0.7%	-8.9M	-133.0M	-2.4M	1.68	19.83	56,400	94,630	790,910	497,140
2016-06-27	$14.38	$15.00	35.2%	10.3%	33.5%	23.9%	36.4%	7.8%	0.1%	-3.5M	-5.7M	-2.3M	0.62	17.81	147,710	91,560	771,520	517,900
2016-06-28	$14.97	$14.90	30.9%	8.7%	36.8%	13.5%	30.5%	5.8%	-0.1%	5.7M	-179.6M	-2.4M	0.72	21.39	82,900	59,960	810,230	544,560
2016-06-29	$15.49	$14.90	28.8%	8.1%	38.9%	8.5%	29.4%	5.3%	0.2%	15.4M	-359.9M	-2.5M	1.76	26.36	60,460	106,360	830,010	567,800
2016-06-30	$15.49	$15.00	27.5%	7.7%	38.9%	5.5%	28.6%	5.2%	-0.2%	9.8M	-360.1M	-2.5M	1.22	36.21	48,440	59,090	842,650	610,790