AVGO Options History — February 2017

In February 2017, AVGO traded between $20.33 and $21.42. ATM implied volatility averaged 29.9%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 9.4% (HV 20d: 20.5%). Max pain ranged from $18.50 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.05.

Notable Days

  • 2017-02-28: Highest Volume — 159,480 contracts
  • 2017-02-03: Largest IV drop — 3.7% change
  • 2017-02-28: Highest IV Rank — 25.9%
  • 2017-02-28: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.78$20.33$21.42$20.33$21.07
Max Pain$19.92$18.50$20.00$18.50$20.00
ATM IV29.9%28.6%31.8%31.8%29.1%
Expected Move8.7%6.9%9.6%6.9%9.6%
HV 20d20.5%15.8%24.7%24.7%16.2%
HV 60d25.0%23.7%27.0%27.0%23.7%
IV Rank22.8%19.4%25.9%25.1%25.9%
IV Percentile46.8%38.1%57.1%57.1%42.9%
Term Structure-0.9%-1.8%0.2%-0.9%-1.0%
VWIV31.0%26.0%33.6%26.0%33.6%
Skew 25d2.2%0.5%3.1%0.5%1.4%
Skew 10d4.9%2.0%7.8%5.4%2.0%
Call IV 25d29.3%27.5%32.6%32.6%28.8%
Put IV 25d31.5%30.0%33.7%33.1%30.2%
Bid-Ask Spread %24.5316.4435.2923.0825.47
Gamma HHI0.150.090.700.100.12
Net GEX15.5M8.7M62.6M12.9M14.6M
Net DEX-469.1M-544.8M-413.8M-450.4M-425.6M
Net VEX-2.8M-3.0M-2.8M-2.8M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.441.891.310.93
Total Volume95,395.78955,310159,48096,560159,480
Total OI955,811.579879,9101,021,810921,7301,016,490

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-02-01$20.33$18.5031.8%6.9%24.7%25.1%26.0%0.5%-0.9%12.9M-450.4M-2.8M1.3123.0841,71054,850477,950443,780
2017-02-02$20.38$20.0031.8%9.0%24.5%24.8%32.3%1.6%-0.7%14.3M-466.1M-2.8M1.8035.2925,52045,820484,890448,040
2017-02-03$20.57$20.0030.6%8.4%22.6%21.7%31.2%1.9%-0.4%17.4M-513.1M-2.8M0.9127.4953,73048,970488,690455,930
2017-02-06$20.65$20.0031.1%8.7%22.5%23.2%31.2%2.9%-0.5%14.7M-495.6M-2.8M0.9429.4836,39034,390481,400434,510
2017-02-07$20.53$20.0031.2%8.7%23.0%23.3%31.9%2.4%-0.8%14.1M-475.4M-2.8M0.9623.9234,54033,040489,540446,610
2017-02-08$20.72$20.0030.6%8.6%22.6%21.6%30.5%2.8%-0.7%15.5M-516.5M-2.8M0.7828.1841,03032,070494,910452,400
2017-02-09$20.48$20.0030.8%8.9%22.9%22.3%31.1%2.3%0.2%13.7M-466.8M-2.8M0.9622.0837,49036,160499,150457,520
2017-02-10$20.54$20.0030.3%8.5%22.8%21.0%31.4%2.4%-1.2%14.4M-481.6M-2.8M1.8927.2831,76060,070504,600465,500
2017-02-13$20.65$20.0030.0%8.5%22.8%22.5%30.2%2.5%-0.5%13.2M-484.6M-2.8M1.3431.2823,66031,650498,330476,240
2017-02-14$20.54$20.0029.8%8.5%22.4%22.5%30.8%2.1%-0.9%12.1M-461.4M-2.8M0.8631.3251,03044,040502,970485,320
2017-02-15$20.59$20.0029.2%8.4%20.4%20.7%29.8%2.5%-0.4%11.2M-435.4M-2.9M1.0516.4447,15049,320495,500500,290
2017-02-16$20.78$20.0028.8%8.3%20.4%19.4%29.9%2.5%-0.8%14.3M-480.3M-2.9M1.0928.4842,78046,750498,870509,970
2017-02-17$21.01$20.0028.8%8.4%18.9%20.5%29.9%2.7%-1.0%62.6M-544.8M-2.9M0.8018.4662,58050,040507,030514,780
2017-02-21$21.28$20.0029.1%8.8%19.0%23.4%31.4%2.0%-1.8%10.1M-458.6M-2.8M1.1920.5248,84058,140440,500439,410
2017-02-22$21.42$20.0028.6%8.8%15.9%21.4%31.7%1.9%-1.5%11.5M-491.9M-2.8M1.2920.7041,18053,030457,600446,430
2017-02-23$21.03$20.0028.9%9.0%16.1%23.4%30.9%2.5%-1.1%9.3M-413.8M-2.9M0.5118.6779,00039,990470,240464,110
2017-02-24$21.01$20.0029.1%9.0%15.8%25.0%32.0%2.4%-1.4%8.7M-414.1M-3.0M0.9518.6148,50045,850491,960477,170
2017-02-27$21.28$20.0029.0%9.5%16.3%25.7%33.5%3.1%-1.5%9.5M-436.5M-2.9M0.4419.2298,44043,530473,580468,210
2017-02-28$21.07$20.0029.1%9.6%16.2%25.9%33.6%1.4%-1.0%14.6M-425.6M-3.0M0.9325.4782,49076,990534,120482,370