AVGO Options History — July 2016

In July 2016, AVGO traded between $15.07 and $16.56. ATM implied volatility averaged 27.5%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 5.8% (HV 20d: 33.3%). Max pain ranged from $15.00 to $15.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.83.

Notable Days

  • 2016-07-26: Highest Volume — 170,400 contracts
  • 2016-07-05: Largest IV spike — 11.1% change
  • 2016-07-29: Highest IV Rank — 15.3%
  • 2016-07-05: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.89$15.07$16.56$15.46$16.23
Max Pain$15.20$15.00$15.50$15.00$15.50
ATM IV27.5%24.6%31.1%27.5%31.1%
Expected Move7.6%7.0%8.7%7.2%7.5%
HV 20d33.3%21.5%37.4%34.0%22.2%
HV 60d28.1%27.5%28.9%28.2%27.6%
IV Rank6.2%0.0%15.3%5.5%15.3%
IV Percentile6.3%0.0%23.0%2.0%23.0%
Term Structure2.3%-0.9%6.5%-0.2%5.6%
VWIV26.6%24.8%29.7%27.0%27.2%
Skew 25d4.0%2.6%5.6%4.4%3.5%
Skew 10d7.3%1.3%12.5%7.8%1.3%
Call IV 25d25.7%23.5%28.9%25.9%27.8%
Put IV 25d29.7%26.7%34.5%30.3%31.3%
Bid-Ask Spread %54.5737.4174.4137.4165.74
Gamma HHI0.150.070.250.110.15
Net GEX18.8M4.0M36.6M4.0M27.9M
Net DEX-382.9M-570.4M-191.9M-340.5M-434.4M
Net VEX-2.5M-2.9M-2.2M-2.5M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.231.931.080.80
Total Volume116,74172,710170,400115,500120,530
Total OI1,232,297929,0001,470,4501,470,4501,303,750

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$15.46$15.0027.5%7.2%34.0%5.5%27.0%4.4%-0.2%4.0M-340.5M-2.5M1.0837.4155,54059,960852,720617,730
2016-07-05$15.08$15.0030.6%8.7%34.9%12.8%29.7%5.4%-0.1%6.3M-196.2M-2.3M0.2346.34133,16030,040782,900537,450
2016-07-06$15.07$15.0029.6%8.4%34.4%10.4%29.3%4.0%-0.4%8.9M-191.9M-2.2M0.9547.5346,09043,990725,040541,340
2016-07-07$15.08$15.0029.0%8.4%34.5%9.1%29.0%5.3%-0.1%11.3M-212.7M-2.2M0.7050.5168,76048,410738,040542,880
2016-07-08$15.52$15.0026.5%7.6%36.3%3.1%26.1%4.6%0.5%16.5M-368.5M-2.3M0.7442.8569,18050,950768,160558,360
2016-07-11$15.73$15.0026.1%7.6%36.0%2.1%25.9%4.1%0.2%19.5M-384.9M-2.2M0.8644.3449,27042,200731,210531,420
2016-07-12$15.86$15.0025.1%7.0%36.1%0.0%24.8%2.6%-0.9%24.6M-430.4M-2.2M1.0348.4735,77036,940744,450537,370
2016-07-13$15.74$15.0025.2%7.4%36.2%0.4%25.9%3.6%0.7%20.2M-384.2M-2.2M1.0347.5839,30040,320747,320546,580
2016-07-14$16.08$15.0025.8%7.5%37.0%1.7%25.3%3.5%0.2%27.7M-500.8M-2.2M0.3874.41120,49045,370751,420558,240
2016-07-15$16.11$15.0025.3%7.2%37.0%0.6%26.4%3.8%-0.1%16.1M-547.6M-2.4M1.2271.5138,25046,670814,280576,510
2016-07-18$16.24$15.0024.6%7.0%36.5%0.0%26.5%3.1%6.5%17.0M-384.4M-2.4M1.9354.9045,49087,590601,100327,900
2016-07-19$16.03$15.0025.9%7.5%36.8%3.1%26.1%3.5%5.4%14.5M-331.2M-2.5M1.2652.3838,17048,060625,370380,360
2016-07-20$16.27$15.5025.8%7.4%37.0%2.7%26.0%3.4%4.0%16.6M-388.7M-2.5M0.3950.93116,99045,850631,590400,070
2016-07-21$16.04$15.5027.0%7.5%37.4%5.7%26.3%3.5%3.5%18.6M-358.2M-2.6M0.9550.5270,31066,780708,820415,250
2016-07-22$15.96$15.5027.4%7.5%36.9%6.5%26.3%3.5%4.0%13.3M-328.8M-2.7M0.8952.2261,38054,420738,170446,560
2016-07-25$15.96$15.5029.3%7.4%30.9%10.9%25.5%5.6%3.5%17.7M-335.4M-2.7M0.8259.2452,67043,140723,010426,310
2016-07-26$16.33$15.5029.3%7.6%26.8%11.0%25.3%3.7%4.0%23.7M-444.8M-2.7M0.2770.30134,03036,370732,300437,980
2016-07-27$16.56$15.5029.3%7.6%23.8%11.0%27.0%3.9%4.6%34.5M-570.4M-2.9M0.4062.3786,92035,010813,960448,490
2016-07-28$16.43$15.5030.0%7.4%21.5%12.7%27.1%4.3%4.9%36.6M-524.8M-2.9M0.7161.9053,00037,450824,480457,050
2016-07-29$16.23$15.5031.1%7.5%22.2%15.3%27.2%3.5%5.6%27.9M-434.4M-2.8M0.8065.7467,05053,480833,880469,870