AVGO Options History — December 2016

In December 2016, AVGO traded between $16.23 and $18.25. ATM implied volatility averaged 27.9%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 3.1% (HV 20d: 30.9%). Max pain ranged from $16.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.64.

Notable Days

2016-12-13: Highest Volume — 504,180 contracts
2016-12-09: Largest IV drop — 29.2% change
2016-12-01: Highest IV Rank — 40.2%
2016-12-02: Largest Expected Move — 13.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.59	$16.23	$18.25	$16.23	$17.67
Max Pain	$16.71	$16.00	$17.50	$17.00	$17.50
ATM IV	27.9%	23.0%	37.5%	37.5%	26.8%
Expected Move	8.1%	6.6%	13.3%	13.2%	7.6%
HV 20d	30.9%	22.6%	32.7%	31.6%	22.6%
HV 60d	25.4%	24.3%	26.1%	25.9%	25.1%
IV Rank	14.1%	0.9%	40.2%	40.2%	11.2%
IV Percentile	23.2%	0.4%	69.4%	69.4%	25.0%
Term Structure	-0.1%	-1.9%	1.2%	-1.8%	0.5%
VWIV	28.8%	22.9%	47.0%	45.1%	27.6%
Skew 25d	3.5%	2.3%	5.4%	5.4%	3.9%
Skew 10d	6.7%	3.3%	13.7%	3.3%	5.4%
Call IV 25d	26.7%	22.1%	36.0%	35.5%	25.2%
Put IV 25d	30.2%	25.1%	41.0%	41.0%	29.1%
Bid-Ask Spread %	37.92	27.91	51.60	35.11	35.57
Gamma HHI	0.15	0.09	0.28	0.09	0.12
Net GEX	27.8M	5.3M	75.0M	5.3M	10.2M
Net DEX	-416.0M	-905.7M	-76.5M	-76.5M	-205.4M
Net VEX	-2.4M	-2.7M	-2.3M	-2.4M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.11	1.23	0.86	1.20
Total Volume	193,725.714	85,200	504,180	161,270	121,040
Total OI	1,405,761.905	1,196,420	1,742,450	1,382,120	1,320,060

Daily Data (21 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
2016-12-01	$16.23	$17.00	37.5%	13.2%	31.6%	40.2%	45.1%	5.4%	-1.8%	5.3M	-76.5M	-2.4M	0.86	35.11	86,690	74,580	799,250	582,870
2016-12-02	$16.44	$17.00	37.1%	13.3%	32.1%	39.0%	47.0%	4.8%	-1.9%	6.7M	-143.9M	-2.5M	0.36	37.22	142,920	50,930	818,970	604,030
2016-12-05	$16.58	$16.00	36.6%	9.8%	32.3%	37.8%	34.6%	4.7%	-0.6%	9.7M	-190.4M	-2.4M	0.92	51.60	49,720	45,650	732,160	600,260
2016-12-06	$16.53	$16.00	35.5%	9.6%	30.7%	34.9%	33.0%	3.4%	-1.1%	9.4M	-179.0M	-2.4M	0.29	50.44	174,170	50,300	746,130	608,860
2016-12-07	$16.81	$16.00	34.7%	9.5%	31.5%	32.5%	33.0%	5.1%	-1.3%	20.2M	-307.2M	-2.6M	0.49	48.47	147,490	71,560	845,720	629,750
2016-12-08	$17.07	$16.00	34.8%	9.5%	31.2%	32.9%	33.5%	3.8%	-0.6%	31.7M	-462.4M	-2.7M	0.60	45.06	196,280	117,040	942,910	653,650
2016-12-09	$17.84	$16.00	24.6%	7.1%	32.7%	5.4%	26.1%	2.3%	0.6%	75.0M	-905.7M	-2.5M	0.62	35.48	239,410	147,550	1,034,120	708,330
2016-12-12	$17.77	$16.00	25.4%	7.1%	32.7%	7.5%	25.9%	3.1%	-0.5%	65.3M	-759.4M	-2.4M	1.23	35.48	83,370	102,460	949,790	644,620
2016-12-13	$17.95	$16.00	25.0%	7.3%	31.6%	6.3%	28.4%	2.7%	0.5%	57.3M	-828.4M	-2.4M	0.11	37.18	452,280	51,900	953,060	691,390
2016-12-14	$17.80	$16.50	25.6%	7.3%	31.5%	8.0%	26.0%	2.4%	0.2%	27.0M	-472.3M	-2.3M	0.52	35.71	162,060	84,760	740,340	700,870
2016-12-15	$18.04	$16.50	24.8%	7.1%	31.6%	5.7%	25.2%	2.6%	0.1%	47.6M	-615.7M	-2.3M	0.34	27.91	126,850	43,560	767,200	746,790
2016-12-16	$17.80	$16.50	24.7%	6.9%	32.1%	5.4%	25.1%	2.6%	-1.0%	34.3M	-489.9M	-2.3M	0.96	34.02	138,370	133,300	774,920	752,520
2016-12-19	$18.01	$17.00	24.0%	6.8%	32.3%	3.5%	25.1%	3.1%	0.8%	21.7M	-374.5M	-2.3M	0.54	32.10	87,080	47,120	596,260	600,160
2016-12-20	$18.17	$17.00	23.4%	6.7%	31.5%	1.9%	24.7%	3.1%	0.7%	24.6M	-416.5M	-2.3M	0.47	37.26	89,330	42,390	606,970	611,310
2016-12-21	$18.24	$17.00	23.0%	6.6%	30.2%	0.9%	23.7%	3.0%	0.5%	27.6M	-444.9M	-2.3M	0.55	33.11	97,090	53,260	626,050	624,430
2016-12-22	$18.03	$17.00	24.0%	6.9%	30.5%	3.5%	23.3%	3.3%	0.5%	23.0M	-368.9M	-2.4M	0.62	34.22	93,460	58,350	631,310	641,290
2016-12-23	$18.16	$17.50	23.4%	6.6%	30.6%	1.9%	22.9%	3.1%	1.2%	28.0M	-412.4M	-2.4M	0.82	37.54	64,580	53,120	655,940	667,260
2016-12-27	$18.25	$17.50	24.5%	6.8%	30.3%	5.0%	23.5%	2.8%	0.3%	23.7M	-425.4M	-2.3M	0.90	35.22	55,970	50,610	636,560	658,830
2016-12-28	$18.02	$17.50	25.1%	7.1%	30.8%	6.6%	25.4%	4.2%	0.4%	19.7M	-343.4M	-2.3M	0.49	37.14	64,550	31,890	641,000	664,820
2016-12-29	$17.99	$17.50	25.1%	7.0%	29.2%	6.6%	24.9%	3.2%	0.3%	16.4M	-313.1M	-2.3M	0.57	40.43	54,340	30,860	640,080	670,160
2016-12-30	$17.67	$17.50	26.8%	7.6%	22.6%	11.2%	27.6%	3.9%	0.5%	10.2M	-205.4M	-2.3M	1.20	35.57	55,060	65,980	643,990	676,070