AVGO Options History — August 2016

In August 2016, AVGO traded between $16.28 and $17.72. ATM implied volatility averaged 35.7%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 17.7% (HV 20d: 18.0%). Max pain ranged from $15.50 to $17.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.87.

Notable Days

2016-08-30: Highest Volume — 233,150 contracts
2016-08-02: Largest IV spike — 8.2% change
2016-08-30: Highest IV Rank — 32.2%
2016-08-31: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.24	$16.28	$17.72	$16.32	$17.65
Max Pain	$16.43	$15.50	$17.00	$15.75	$17.00
ATM IV	35.7%	33.5%	37.1%	33.8%	35.4%
Expected Move	10.2%	7.3%	12.4%	7.4%	12.4%
HV 20d	18.0%	14.9%	22.2%	22.2%	15.0%
HV 60d	26.9%	24.9%	27.7%	27.6%	24.9%
IV Rank	27.2%	21.7%	32.2%	21.7%	30.7%
IV Percentile	33.5%	26.2%	40.5%	26.6%	32.9%
Term Structure	-1.6%	-3.0%	-0.3%	-1.7%	-1.7%
VWIV	36.4%	26.9%	45.5%	26.9%	43.4%
Skew 25d	4.3%	3.7%	6.2%	4.8%	4.5%
Skew 10d	7.2%	3.1%	10.6%	7.7%	6.4%
Call IV 25d	34.1%	31.1%	35.5%	33.3%	33.8%
Put IV 25d	38.3%	35.4%	41.0%	38.1%	38.2%
Bid-Ask Spread %	52.37	37.08	69.81	69.81	68.98
Gamma HHI	0.17	0.10	0.39	0.18	0.10
Net GEX	35.0M	13.3M	60.4M	28.2M	13.3M
Net DEX	-693.6M	-891.8M	-454.5M	-462.1M	-586.1M
Net VEX	-2.7M	-2.9M	-2.6M	-2.8M	-2.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.41	1.37	0.89	0.98
Total Volume	117,998.696	40,130	233,150	88,990	186,500
Total OI	1,324,264.348	1,171,130	1,462,230	1,263,810	1,462,230

Daily Data (23 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
2016-08-01	$16.32	$15.75	33.8%	7.4%	22.2%	21.7%	26.9%	4.8%	-1.7%	28.2M	-462.1M	-2.8M	0.89	69.81	46,980	42,010	812,990	450,820
2016-08-02	$16.28	$15.75	36.6%	7.7%	19.8%	28.2%	27.7%	5.0%	-1.6%	27.2M	-454.5M	-2.8M	0.82	68.06	54,040	44,470	821,170	464,070
2016-08-03	$16.41	$15.50	36.4%	7.3%	19.8%	27.9%	27.3%	4.9%	-1.7%	32.7M	-502.8M	-2.8M	0.88	66.97	40,520	35,720	833,710	467,870
2016-08-04	$16.68	$16.00	36.6%	9.9%	20.2%	28.3%	34.1%	4.1%	-1.1%	40.2M	-609.3M	-2.8M	0.49	41.41	70,570	34,330	837,580	474,480
2016-08-05	$16.99	$16.00	35.9%	9.7%	18.9%	26.7%	34.1%	6.2%	-2.3%	54.4M	-744.9M	-2.8M	0.65	44.03	87,560	57,230	851,380	477,020
2016-08-08	$16.82	$16.50	36.6%	10.0%	19.2%	28.3%	36.2%	4.5%	-1.5%	41.5M	-665.0M	-2.7M	1.12	49.59	50,280	56,140	850,630	460,950
2016-08-09	$17.11	$16.50	36.9%	10.2%	19.8%	29.1%	35.7%	3.8%	-1.1%	39.8M	-772.6M	-2.8M	0.41	46.27	115,300	47,520	866,550	476,050
2016-08-10	$17.18	$16.50	35.8%	10.2%	19.3%	26.3%	36.7%	4.0%	-0.3%	35.1M	-774.5M	-2.7M	0.95	47.62	44,010	42,010	837,400	488,360
2016-08-11	$17.25	$16.50	35.6%	10.0%	18.3%	25.8%	34.7%	4.5%	-0.9%	36.4M	-807.3M	-2.7M	0.64	47.26	60,020	38,170	846,840	496,800
2016-08-12	$17.24	$16.50	35.7%	10.0%	18.3%	26.1%	35.2%	3.8%	-1.1%	41.5M	-805.1M	-2.7M	0.76	50.27	55,350	41,940	854,620	506,120
2016-08-15	$17.55	$16.50	35.4%	10.0%	19.0%	25.5%	35.5%	3.8%	-1.7%	32.3M	-891.8M	-2.6M	0.51	47.02	83,400	42,680	852,040	495,560
2016-08-16	$17.27	$16.50	36.8%	10.5%	19.4%	28.6%	37.3%	4.6%	-1.4%	33.3M	-782.7M	-2.7M	0.46	51.32	89,460	40,780	855,790	510,150
2016-08-17	$17.30	$16.50	37.1%	10.6%	19.0%	29.4%	37.8%	4.1%	-3.0%	35.4M	-788.4M	-2.7M	0.45	52.50	32,890	14,850	885,590	477,420
2016-08-18	$17.39	$16.50	35.9%	10.4%	17.8%	26.7%	37.9%	3.9%	-0.6%	40.2M	-830.7M	-2.7M	1.23	52.95	18,000	22,130	896,320	481,780
2016-08-19	$17.49	$16.50	36.0%	10.5%	17.5%	26.9%	37.0%	3.9%	-0.9%	60.4M	-887.7M	-2.7M	0.72	52.17	60,770	43,860	909,850	531,900
2016-08-22	$17.57	$16.50	35.3%	10.7%	17.4%	25.2%	38.5%	3.8%	-1.9%	31.3M	-681.9M	-2.6M	1.30	37.08	65,970	85,680	771,490	399,640
2016-08-23	$17.71	$16.50	34.7%	10.6%	16.1%	23.7%	38.2%	3.9%	-1.9%	33.7M	-718.7M	-2.6M	1.02	46.83	51,270	52,060	783,200	452,080
2016-08-24	$17.53	$16.50	35.7%	11.0%	16.5%	27.1%	38.6%	4.0%	-2.4%	27.8M	-624.1M	-2.7M	1.37	50.74	38,510	52,810	780,840	440,000
2016-08-25	$17.58	$16.50	36.1%	11.2%	16.0%	28.8%	40.1%	3.7%	-2.8%	27.1M	-642.6M	-2.7M	1.08	47.66	47,010	50,790	800,300	510,960
2016-08-26	$17.71	$17.00	34.4%	10.8%	14.9%	27.8%	38.5%	3.8%	-2.3%	58.4M	-681.1M	-2.7M	0.98	47.87	80,950	79,150	804,420	532,770
2016-08-29	$17.72	$17.00	33.5%	11.0%	14.9%	25.2%	39.6%	4.3%	-0.4%	18.5M	-632.9M	-2.7M	1.00	53.18	88,540	88,590	748,700	535,370
2016-08-30	$17.65	$17.00	36.0%	12.4%	15.0%	32.2%	45.5%	4.0%	-1.8%	16.9M	-606.2M	-2.9M	1.28	64.86	102,210	130,940	782,420	581,850
2016-08-31	$17.65	$17.00	35.4%	12.4%	15.0%	30.7%	43.4%	4.5%	-1.7%	13.3M	-586.1M	-2.9M	0.98	68.98	94,390	92,110	802,140	660,090