AVGO Options History — March 2017

In March 2017, AVGO traded between $21.47 and $22.64. ATM implied volatility averaged 21.4%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 4.8% (HV 20d: 16.6%). Max pain ranged from $19.00 to $21.75. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.70.

Notable Days

2017-03-02: Highest Volume — 541,200 contracts
2017-03-02: Largest IV drop — 24.2% change
2017-03-01: Highest IV Rank — 24.8%
2017-03-01: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.03	$21.47	$22.64	$21.47	$21.96
Max Pain	$20.58	$19.00	$21.75	$20.50	$21.75
ATM IV	21.4%	20.2%	28.8%	28.8%	20.4%
Expected Move	6.1%	5.4%	9.5%	9.5%	5.4%
HV 20d	16.6%	14.7%	19.7%	15.6%	16.5%
HV 60d	19.8%	19.0%	20.9%	20.9%	19.3%
IV Rank	3.8%	0.0%	24.8%	24.8%	0.7%
IV Percentile	3.7%	0.0%	40.1%	40.1%	1.6%
Term Structure	0.2%	-0.7%	1.0%	-0.4%	0.3%
VWIV	22.2%	19.2%	32.8%	32.8%	19.2%
Skew 25d	2.2%	1.2%	3.3%	1.4%	2.0%
Skew 10d	4.6%	-1.0%	10.2%	4.9%	7.1%
Call IV 25d	20.7%	19.4%	27.9%	27.9%	19.8%
Put IV 25d	22.8%	21.2%	29.3%	29.3%	21.8%
Bid-Ask Spread %	18.99	10.80	70.71	70.71	13.11
Gamma HHI	0.14	0.10	0.24	0.12	0.11
Net GEX	18.6M	-618.3K	48.9M	21.1M	9.0M
Net DEX	-510.9M	-850.7M	-252.3M	-551.8M	-384.6M
Net VEX	-3.5M	-3.7M	-3.1M	-3.1M	-3.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.22	1.35	0.87	0.49
Total Volume	177,493.043	99,730	541,200	309,980	134,540
Total OI	1,167,380.435	1,021,860	1,366,480	1,094,530	1,223,090

Daily Data (23 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
2017-03-01	$21.47	$20.50	28.8%	9.5%	15.6%	24.8%	32.8%	1.4%	-0.4%	21.1M	-551.8M	-3.1M	0.87	70.71	165,820	144,160	577,850	516,680
2017-03-02	$21.75	$21.00	21.8%	6.5%	15.2%	0.0%	22.8%	2.1%	0.3%	48.9M	-664.0M	-3.1M	0.64	18.47	330,990	210,210	660,690	600,240
2017-03-03	$21.78	$21.00	20.8%	5.9%	15.2%	0.0%	20.6%	1.9%	0.3%	39.6M	-670.9M	-3.2M	0.61	23.15	154,700	94,680	726,740	639,740
2017-03-06	$21.82	$19.00	20.8%	6.1%	15.0%	0.0%	21.8%	2.5%	0.1%	24.9M	-567.9M	-3.4M	0.99	10.80	67,460	66,680	599,160	557,630
2017-03-07	$21.91	$19.00	20.5%	6.1%	15.0%	0.0%	22.1%	1.8%	0.7%	28.4M	-601.7M	-3.4M	0.73	22.12	81,060	59,440	607,700	566,440
2017-03-08	$21.91	$19.00	20.3%	6.1%	14.7%	0.0%	22.9%	2.2%	0.3%	27.0M	-595.5M	-3.4M	1.03	10.90	64,130	66,190	614,170	579,490
2017-03-09	$22.23	$19.00	21.7%	6.4%	15.1%	6.0%	22.3%	3.3%	-0.2%	34.7M	-705.9M	-3.4M	0.66	13.08	90,840	59,900	627,280	591,120
2017-03-10	$22.61	$19.50	20.9%	6.0%	14.7%	2.7%	21.8%	2.4%	0.1%	37.4M	-850.7M	-3.4M	0.77	12.57	102,020	78,880	641,310	600,550
2017-03-13	$22.64	$19.50	21.4%	6.0%	14.7%	4.6%	21.8%	2.3%	-0.3%	23.7M	-749.8M	-3.4M	1.14	12.01	52,860	60,450	600,940	590,860
2017-03-14	$22.43	$19.50	21.5%	6.4%	15.6%	5.0%	22.6%	2.4%	0.6%	21.8M	-680.6M	-3.4M	1.35	12.15	42,360	57,370	609,010	603,310
2017-03-15	$22.64	$19.50	20.4%	5.8%	15.3%	0.3%	24.7%	2.1%	-0.4%	23.4M	-740.1M	-3.4M	0.22	16.48	297,290	66,640	613,820	608,680
2017-03-16	$22.16	$21.00	20.2%	5.9%	17.8%	0.0%	21.4%	1.2%	0.5%	2.5M	-392.2M	-3.5M	0.66	16.58	94,020	62,490	508,910	619,330
2017-03-17	$22.10	$21.00	20.5%	5.8%	17.9%	1.4%	21.3%	1.7%	-0.7%	-618.3K	-376.5M	-3.5M	0.62	18.20	89,400	55,560	516,720	633,470
2017-03-20	$22.11	$21.00	20.3%	5.7%	17.6%	0.2%	20.9%	1.9%	1.0%	9.4M	-385.7M	-3.5M	0.59	23.14	72,240	42,520	485,800	536,060
2017-03-21	$21.57	$21.00	21.9%	6.3%	19.6%	7.2%	22.5%	2.2%	-0.3%	1.2M	-252.3M	-3.5M	0.59	20.63	88,840	51,980	496,510	550,360
2017-03-22	$21.75	$21.00	21.7%	6.2%	19.7%	6.4%	21.8%	2.3%	0.7%	4.1M	-289.2M	-3.6M	0.64	17.80	85,020	54,190	511,120	562,940
2017-03-23	$21.69	$21.25	21.3%	6.1%	18.4%	4.9%	21.6%	2.3%	0.9%	2.7M	-273.3M	-3.6M	0.78	20.60	70,300	54,800	528,540	582,330
2017-03-24	$21.94	$21.75	21.4%	6.2%	18.7%	5.3%	21.7%	2.4%	0.0%	10.2M	-350.5M	-3.7M	0.47	17.93	117,380	55,470	534,650	592,830
2017-03-27	$21.95	$21.75	21.9%	6.1%	18.3%	7.4%	22.1%	2.8%	0.3%	9.9M	-377.1M	-3.7M	0.55	13.05	78,640	43,300	543,040	587,130
2017-03-28	$22.12	$21.75	21.3%	5.8%	17.9%	4.8%	20.8%	2.1%	0.3%	16.7M	-441.0M	-3.7M	0.56	15.07	71,790	40,360	559,820	594,910
2017-03-29	$22.11	$21.75	21.2%	5.6%	16.9%	4.4%	19.8%	2.6%	-0.3%	17.0M	-438.3M	-3.7M	0.62	14.33	68,660	42,460	565,660	602,790
2017-03-30	$21.99	$21.75	20.7%	5.6%	16.5%	2.1%	20.2%	1.5%	0.2%	14.3M	-410.3M	-3.7M	0.45	23.95	133,700	60,550	574,210	606,120
2017-03-31	$21.96	$21.75	20.4%	5.4%	16.5%	0.7%	19.2%	2.0%	0.3%	9.0M	-384.6M	-3.7M	0.49	13.11	90,350	44,190	600,780	622,310