AVGO Options History — November 2016

In November 2016, AVGO traded between $16.38 and $17.73. ATM implied volatility averaged 33.4%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 9.8% (HV 20d: 23.6%). 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 4 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2016-11-10: Highest Volume — 179,770 contracts
  • 2016-11-02: Largest IV drop — 15.4% change
  • 2016-11-14: Highest IV Rank — 40.5%
  • 2016-11-30: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.18$16.38$17.73$16.86$17.09
Max Pain$16.70$16.50$17.00$17.00$16.75
ATM IV33.4%26.4%37.6%31.2%35.0%
Expected Move10.1%8.3%11.8%8.3%11.8%
HV 20d23.6%19.2%27.2%19.7%27.2%
HV 60d22.2%20.2%23.8%20.2%23.7%
IV Rank29.1%9.9%40.5%22.9%33.3%
IV Percentile46.9%17.9%65.5%39.7%53.2%
Term Structure0.1%-2.9%8.7%2.5%-2.8%
VWIV34.9%28.3%39.7%28.7%39.7%
Skew 25d4.8%2.5%6.2%5.1%3.7%
Skew 10d10.1%4.7%18.0%6.3%4.8%
Call IV 25d31.4%25.0%35.3%29.7%32.9%
Put IV 25d36.2%29.0%40.8%34.8%36.7%
Bid-Ask Spread %27.1416.2145.8718.6830.26
Gamma HHI0.120.100.200.100.11
Net GEX17.8M1.3M36.5M8.9M16.3M
Net DEX-351.7M-535.6M-100.6M-259.1M-313.7M
Net VEX-2.7M-2.9M-2.5M-2.7M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.351.700.610.99
Total Volume87,229.52455,850179,770112,450114,890
Total OI1,328,303.811,249,2001,399,7901,249,2001,346,120

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$16.86$17.0031.2%8.3%19.7%22.9%28.7%5.1%2.5%8.9M-259.1M-2.7M0.6118.6869,84042,610739,850509,350
2016-11-02$17.25$17.0026.4%8.3%19.3%9.9%28.3%4.0%8.7%19.4M-394.9M-2.8M0.4429.4584,65037,270758,060519,210
2016-11-03$17.30$17.0027.8%9.8%19.2%13.8%34.1%4.0%8.6%24.5M-429.5M-2.9M0.8118.3537,50030,230793,250526,980
2016-11-04$17.23$17.0030.9%10.4%19.3%22.3%34.0%2.5%8.7%36.5M-414.8M-2.8M0.8216.2142,60034,980799,290532,810
2016-11-07$17.67$17.0033.2%9.7%21.3%28.3%33.6%6.0%-1.4%24.5M-512.7M-2.8M0.9116.5738,56034,980767,490518,230
2016-11-08$17.73$17.0034.8%9.8%19.8%32.7%33.5%6.1%-2.0%26.8M-535.6M-2.8M1.0826.8529,48031,800775,450524,730
2016-11-09$17.34$17.0034.3%9.5%21.5%31.2%33.0%4.6%-1.4%22.5M-405.5M-2.7M1.2022.1938,55046,070778,970526,500
2016-11-10$16.80$17.0036.7%10.1%24.2%37.9%35.2%4.5%-1.9%8.6M-231.6M-2.6M1.0245.8789,02090,750785,580540,430
2016-11-11$16.71$16.5037.3%10.4%24.0%39.6%35.2%5.6%-1.6%6.6M-181.3M-2.7M1.5330.8237,11056,850800,690588,180
2016-11-14$16.38$16.5037.6%10.7%24.8%40.5%37.5%6.2%-0.8%1.3M-100.6M-2.6M1.1237.7533,23037,230774,990567,870
2016-11-15$16.69$16.5036.7%10.5%24.7%37.9%35.9%5.9%-2.0%4.3M-182.9M-2.6M0.8735.3238,21033,300781,700576,790
2016-11-16$16.78$16.5035.5%10.2%24.8%34.8%36.7%6.1%-1.3%5.8M-213.4M-2.6M1.0527.7930,78032,290794,270583,100
2016-11-17$16.72$16.5035.9%10.4%24.5%36.0%35.4%6.2%-2.9%4.9M-193.4M-2.5M0.9234.4029,15026,700800,580587,060
2016-11-18$16.84$16.5034.7%10.1%24.7%32.6%36.2%4.2%-1.0%11.3M-234.6M-2.6M1.7021.4734,26058,070808,300591,490
2016-11-21$17.23$16.5033.4%10.1%25.2%29.2%35.7%5.7%-2.2%16.3M-351.8M-2.6M0.8623.6446,39039,950728,350541,110
2016-11-22$17.71$16.5031.6%9.8%26.6%24.3%34.3%4.5%-1.4%25.7M-505.9M-2.6M0.3525.1797,33034,110747,860551,880
2016-11-23$17.71$16.5031.6%9.7%26.6%24.2%35.0%4.1%-1.3%30.9M-520.7M-2.6M1.3724.5528,54039,140779,780556,460
2016-11-25$17.68$16.5031.6%10.0%26.5%24.3%35.0%3.8%-1.5%31.6M-510.3M-2.6M1.2831.1826,33033,710786,040561,000
2016-11-28$17.50$16.5032.7%10.8%25.9%27.3%37.9%4.2%-1.1%23.2M-443.1M-2.5M1.1425.9136,15041,180764,160546,420
2016-11-29$17.52$16.5032.8%11.1%25.8%27.3%38.6%4.1%-1.0%23.6M-450.3M-2.5M1.0927.4932,52035,510774,400559,600
2016-11-30$17.09$16.7535.0%11.8%27.2%33.3%39.7%3.7%-2.8%16.3M-313.7M-2.5M0.9930.2657,80057,090783,600562,520