AVGO Options History — September 2016

In September 2016, AVGO traded between $16.16 and $17.68. ATM implied volatility averaged 25.9%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 4.2% (HV 20d: 21.7%). Max pain ranged from $16.50 to $17.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2016-09-02: Highest Volume — 547,160 contracts
  • 2016-09-02: Largest IV drop — 24.1% change
  • 2016-09-01: Highest IV Rank — 25.2%
  • 2016-09-01: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.96$16.16$17.68$17.68$17.30
Max Pain$16.55$16.50$17.00$17.00$16.50
ATM IV25.9%23.6%33.5%33.5%24.8%
Expected Move7.5%6.7%11.8%11.8%6.8%
HV 20d21.7%14.3%25.8%14.3%25.8%
HV 60d24.2%20.6%27.3%24.9%20.7%
IV Rank4.9%0.0%25.2%25.2%3.2%
IV Percentile4.8%0.0%26.6%26.6%2.8%
Term Structure0.2%-1.1%1.2%-1.1%-0.0%
VWIV26.6%23.9%41.5%41.5%24.3%
Skew 25d3.6%2.6%4.3%3.7%3.0%
Skew 10d7.2%3.1%12.0%6.9%7.2%
Call IV 25d24.5%22.6%31.8%31.8%23.5%
Put IV 25d28.0%25.5%35.5%35.5%26.5%
Bid-Ask Spread %20.436.7567.2467.247.87
Gamma HHI0.150.090.470.090.13
Net GEX12.0M-41.5M43.8M13.2M21.6M
Net DEX-362.8M-594.8M31.2M-594.8M-542.9M
Net VEX-2.7M-2.9M-2.5M-2.9M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.201.341.210.73
Total Volume189,319.04896,860547,160390,090117,670
Total OI1,488,352.3811,255,9201,738,5801,529,5801,444,390

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$17.68$17.0033.5%11.8%14.3%25.2%41.5%3.7%-1.1%13.2M-594.8M-2.9M1.2167.24176,850213,240816,320713,260
2016-09-02$17.26$17.0025.4%6.9%16.0%2.2%24.6%3.5%0.2%-41.5M-413.1M-2.8M0.8949.11289,120258,040916,220822,360
2016-09-06$17.08$16.5024.4%7.2%16.1%0.0%25.4%2.6%0.4%15.8M-395.9M-2.7M0.539.00145,53077,430835,060653,920
2016-09-07$16.88$16.5024.9%7.4%15.4%1.4%26.1%3.4%0.2%15.7M-325.2M-2.7M0.3511.52147,74051,350882,480663,990
2016-09-08$16.84$16.5024.6%7.0%15.3%0.6%24.9%2.7%0.2%17.1M-295.0M-2.7M0.9917.6267,66066,740946,750682,360
2016-09-09$16.16$16.5027.5%8.0%20.9%8.6%27.3%3.9%-0.1%-1.2M31.2M-2.5M0.626.75138,84085,970953,590703,830
2016-09-12$16.45$16.5026.8%7.7%22.3%6.8%28.8%3.8%0.1%3.1M-93.5M-2.5M0.7319.4291,96067,050913,150690,380
2016-09-13$16.52$16.5028.1%8.0%21.1%10.2%29.9%4.1%-0.1%7.0M-149.0M-2.6M0.5816.2695,48055,100917,020711,950
2016-09-14$16.94$16.5027.9%7.9%22.7%9.7%28.8%4.2%0.2%20.9M-349.8M-2.6M0.3917.49125,81049,220913,260709,170
2016-09-15$17.26$16.5026.6%7.5%23.8%6.0%27.0%3.8%-0.5%43.8M-560.0M-2.6M0.9917.1199,80098,930907,410712,120
2016-09-16$17.20$16.5025.7%7.5%23.7%3.6%24.8%4.0%0.7%15.7M-486.5M-2.5M0.2026.34235,44046,160900,240726,690
2016-09-19$17.05$16.5025.0%7.1%23.8%1.6%24.5%3.7%0.6%14.5M-400.9M-2.8M0.5821.7276,83044,870741,150514,770
2016-09-20$16.86$16.5026.1%7.5%23.9%4.7%25.0%3.9%0.2%11.2M-345.6M-2.8M0.5422.3662,94033,920765,160531,440
2016-09-21$16.99$16.5024.4%7.0%23.9%0.0%26.1%3.5%0.0%13.7M-387.6M-2.8M0.6620.1073,41048,560768,140538,750
2016-09-22$16.88$16.5023.6%6.7%23.7%0.0%25.2%2.9%0.4%13.4M-355.1M-2.7M0.5016.83111,40055,310795,200552,450
2016-09-23$16.69$16.5024.4%6.9%23.9%2.2%23.9%3.5%1.2%1.5M-281.1M-2.8M1.0022.7577,07077,370841,660576,920
2016-09-26$16.67$16.5025.9%7.4%23.6%6.2%26.1%3.9%0.0%7.5M-292.8M-2.8M0.7715.0156,80043,500772,060565,100
2016-09-27$17.06$16.5024.9%6.9%25.4%3.5%24.8%4.1%0.2%16.0M-427.4M-2.8M0.5810.1189,96052,520777,090571,560
2016-09-28$17.06$16.5024.2%6.7%25.4%1.7%24.7%3.3%0.7%20.0M-439.6M-2.8M1.349.4956,30075,360801,040588,550
2016-09-29$17.27$16.5025.3%7.2%25.8%4.7%25.1%4.3%0.4%24.1M-515.3M-2.9M0.6524.9583,78054,670809,910608,530
2016-09-30$17.30$16.5024.8%6.8%25.8%3.2%24.3%3.0%-0.0%21.6M-542.9M-2.9M0.737.8767,91049,760822,570621,820