AVGO Options History — January 2017

In January 2017, AVGO traded between $17.42 and $20.54. ATM implied volatility averaged 25.1%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.4% (HV 20d: 21.7%). Max pain ranged from $17.50 to $18.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2017-01-24: Highest Volume — 260,520 contracts
  • 2017-01-30: Largest IV spike — 19.1% change
  • 2017-01-31: Highest IV Rank — 24.6%
  • 2017-01-03: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.73$17.42$20.54$17.80$19.98
Max Pain$17.70$17.50$18.00$17.50$18.00
ATM IV25.1%22.6%31.6%27.6%31.6%
Expected Move7.0%6.4%7.9%7.9%7.2%
HV 20d21.7%17.7%24.8%22.3%24.4%
HV 60d25.9%25.1%27.1%25.1%26.8%
IV Rank6.8%0.0%24.6%13.5%24.6%
IV Percentile14.4%0.0%56.0%28.6%56.0%
Term Structure1.7%-0.8%7.4%-0.0%-0.6%
VWIV25.2%22.8%28.6%28.6%25.9%
Skew 25d3.1%1.8%4.0%4.0%1.8%
Skew 10d6.6%3.4%9.1%5.3%5.2%
Call IV 25d23.9%21.1%32.8%25.9%32.8%
Put IV 25d27.0%23.7%34.6%29.8%34.6%
Bid-Ask Spread %24.5916.8141.6238.3119.90
Gamma HHI0.160.090.460.140.09
Net GEX14.3M-2.3M33.8M13.2M12.7M
Net DEX-361.9M-729.1M-66.3M-244.4M-388.0M
Net VEX-2.4M-2.8M-2.1M-2.3M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.381.681.221.68
Total Volume131,80276,380260,520126,88087,390
Total OI1,209,639713,4901,481,6201,311,730898,170

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$17.80$17.5027.6%7.9%22.3%13.5%28.6%4.0%-0.0%13.2M-244.4M-2.3M1.2238.3157,23069,650628,060683,670
2017-01-04$17.74$17.5026.7%7.4%22.4%11.0%26.5%3.2%0.1%12.8M-228.5M-2.3M0.3841.62162,31061,370636,890699,760
2017-01-05$17.42$18.0026.0%7.6%23.6%9.1%27.9%3.5%0.5%-2.3M-66.3M-2.4M0.7419.0686,21063,770646,730732,330
2017-01-06$17.67$17.5025.0%7.4%23.4%6.4%27.8%2.6%0.4%5.3M-174.2M-2.4M0.7020.0378,15054,660674,610759,970
2017-01-09$17.71$17.5025.3%7.5%23.0%7.1%27.0%3.1%1.0%8.0M-206.1M-2.3M0.7127.3951,25036,430660,310745,190
2017-01-10$18.05$17.5024.7%7.2%18.0%5.6%25.9%2.8%0.3%17.4M-348.4M-2.3M0.5019.99119,49059,630668,200750,880
2017-01-11$17.90$17.5024.3%7.1%18.2%4.3%25.3%2.6%0.3%11.3M-268.5M-2.3M0.6525.1064,37042,120668,350756,500
2017-01-12$17.88$17.5025.1%7.1%17.8%6.6%26.1%3.7%-0.6%10.8M-259.0M-2.3M0.5016.8170,21035,230669,450770,370
2017-01-13$18.06$17.5023.8%6.9%17.9%3.0%24.5%3.7%0.5%19.9M-343.5M-2.2M0.6820.5250,05033,940672,070774,360
2017-01-17$17.89$17.5024.6%7.1%17.7%5.1%25.1%3.5%-0.1%8.5M-246.1M-2.2M0.8124.3542,21034,170654,360753,380
2017-01-18$18.46$17.5023.5%6.7%20.3%2.3%24.8%3.4%0.2%21.0M-485.8M-2.1M0.6522.7378,31051,020658,480758,940
2017-01-19$18.58$17.5023.8%6.8%20.0%3.1%24.2%3.6%0.1%27.4M-545.0M-2.1M0.7320.6981,11059,460675,830774,410
2017-01-20$19.09$17.5022.7%6.5%21.9%0.2%23.6%3.5%-0.0%33.8M-729.1M-2.1M0.5219.62121,86062,830689,700791,920
2017-01-23$19.11$18.0022.9%6.4%21.9%0.7%22.9%3.2%5.4%12.7M-310.4M-2.2M1.1727.7139,71046,630367,880345,610
2017-01-24$19.76$18.0022.6%6.4%23.9%0.0%22.8%2.7%6.2%13.2M-419.5M-2.2M0.5234.29171,91088,610379,490359,360
2017-01-25$20.22$18.0022.6%6.5%24.7%0.0%23.4%2.5%6.7%14.3M-469.3M-2.4M1.0227.9675,54077,210425,690392,110
2017-01-26$20.45$18.0024.3%6.6%24.8%4.6%23.5%2.6%7.3%15.4M-511.9M-2.6M1.1421.2757,00064,920456,340422,180
2017-01-27$20.54$18.0025.4%6.4%23.9%7.6%22.9%2.1%7.4%16.7M-531.4M-2.7M1.1619.3049,84057,820473,020435,050
2017-01-30$20.33$18.0030.2%7.1%24.5%20.7%24.7%3.0%-0.8%14.0M-462.5M-2.8M0.9525.1847,48044,940470,760412,400
2017-01-31$19.98$18.0031.6%7.2%24.4%24.6%25.9%1.8%-0.6%12.7M-388.0M-2.8M1.6819.9032,57054,820475,680422,490