AVGO Options History — October 2016

In October 2016, AVGO traded between $16.89 and $17.63. ATM implied volatility averaged 25.0%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 4.1% (HV 20d: 20.9%). Max pain ranged from $16.50 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2016-10-07: Highest Volume — 155,660 contracts
  • 2016-10-31: Largest IV spike — 10.5% change
  • 2016-10-31: Highest IV Rank — 17.4%
  • 2016-10-31: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.20$16.89$17.63$17.00$17.05
Max Pain$16.93$16.50$17.00$16.50$17.00
ATM IV25.0%22.7%29.1%25.7%29.1%
Expected Move7.1%6.4%7.6%7.1%7.6%
HV 20d20.9%18.9%26.2%25.1%19.4%
HV 60d20.4%20.1%20.8%20.3%20.2%
IV Rank4.7%0.0%17.4%5.7%17.4%
IV Percentile6.5%0.0%27.0%7.1%27.0%
Term Structure1.7%-1.0%6.9%1.1%2.3%
VWIV25.3%23.3%27.5%25.3%25.6%
Skew 25d4.0%3.0%4.7%3.9%4.1%
Skew 10d7.8%3.9%10.3%3.9%10.3%
Call IV 25d23.4%21.3%30.0%24.2%30.0%
Put IV 25d27.4%24.9%34.1%28.1%34.1%
Bid-Ask Spread %19.5914.1529.8114.1526.88
Gamma HHI0.130.100.220.120.10
Net GEX15.9M5.5M28.6M16.7M11.9M
Net DEX-429.1M-567.8M-257.9M-407.0M-319.4M
Net VEX-2.7M-2.8M-2.5M-2.7M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.721.280.900.93
Total Volume102,624.28672,100155,66099,36086,530
Total OI1,403,774.7621,126,5001,534,2101,389,2201,225,280

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$17.00$16.5025.7%7.1%25.1%5.7%25.3%3.9%1.1%16.7M-407.0M-2.7M0.9014.1552,43046,930792,360596,860
2016-10-04$16.90$16.5025.8%7.2%24.9%6.2%26.6%4.7%1.1%12.9M-366.0M-2.7M1.0415.2047,46049,320801,090613,900
2016-10-05$17.34$16.5025.3%7.0%26.2%4.8%25.0%4.0%1.0%22.7M-523.3M-2.8M0.9318.7354,93050,810808,590634,580
2016-10-06$17.43$17.0024.6%7.4%26.2%2.8%27.4%4.0%1.3%24.1M-556.2M-2.8M1.2716.0245,53057,820813,970648,570
2016-10-07$17.43$17.0024.0%7.1%20.6%1.1%25.5%4.0%1.2%28.6M-567.8M-2.8M1.0315.5476,79078,870818,920658,510
2016-10-10$17.49$17.0024.6%7.0%19.9%2.8%25.3%3.6%-0.5%21.2M-560.8M-2.8M1.2814.7652,76067,690813,660641,880
2016-10-11$17.13$17.0025.8%7.4%21.6%6.1%25.9%3.4%0.2%12.0M-409.3M-2.8M0.7316.6978,57057,710827,090653,890
2016-10-12$17.09$17.0026.2%7.5%19.8%7.2%26.8%4.6%-0.2%9.8M-388.4M-2.8M0.7221.3454,03038,840836,870672,720
2016-10-13$16.90$17.0026.3%7.4%18.9%7.5%27.5%4.4%-0.5%5.5M-318.8M-2.7M1.0918.4449,75054,060842,070674,080
2016-10-14$17.06$17.0025.6%7.1%19.2%5.6%25.3%4.7%-1.0%10.8M-379.3M-2.7M1.0317.9860,31062,100846,500687,710
2016-10-17$16.89$17.0025.1%7.2%19.2%4.0%25.2%4.6%-0.4%6.8M-325.6M-2.6M0.9914.2139,46038,930832,310666,400
2016-10-18$17.23$17.0024.8%7.1%20.0%3.4%24.4%4.1%-0.8%13.4M-465.9M-2.6M0.7819.2745,97035,820835,830670,200
2016-10-19$17.20$17.0024.7%7.1%19.9%3.0%24.3%4.0%-1.0%12.4M-466.3M-2.6M0.9917.0036,21035,890839,250672,580
2016-10-20$17.35$17.0023.7%6.8%19.9%0.3%25.1%3.9%0.1%22.8M-543.0M-2.6M1.1518.4442,92049,240844,090675,510
2016-10-21$17.31$17.0023.4%6.6%19.4%0.0%24.0%3.6%0.4%20.5M-528.4M-2.5M0.9221.3554,40049,860845,980672,890
2016-10-24$17.63$17.0022.7%6.4%20.2%0.0%23.3%3.1%6.7%19.5M-468.7M-2.6M0.8424.3049,56041,530679,240447,260
2016-10-25$17.37$17.0024.2%6.9%19.6%4.0%24.9%3.0%6.0%17.5M-407.9M-2.6M0.8729.0765,37056,860699,300461,490
2016-10-26$17.32$17.0023.3%6.8%19.6%1.6%25.1%3.6%6.9%20.3M-394.9M-2.6M1.0022.1842,58042,790730,310486,330
2016-10-27$17.21$17.0024.2%6.7%19.3%4.0%23.7%4.0%6.1%18.1M-355.9M-2.6M0.7729.8153,19041,080744,840499,680
2016-10-28$16.92$17.0026.4%7.3%20.1%9.9%25.5%4.3%5.5%6.2M-257.9M-2.6M1.0920.0052,72057,490755,630511,050
2016-10-31$17.05$17.0029.1%7.6%19.4%17.4%25.6%4.1%2.3%11.9M-319.4M-2.7M0.9326.8844,95041,580728,780496,500