AVGO Options History — April 2017

In April 2017, AVGO traded between $20.89 and $22.35. ATM implied volatility averaged 23.2%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 5.5% (HV 20d: 17.7%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.92.

Notable Days

  • 2017-04-12: Highest Volume — 386,510 contracts
  • 2017-04-12: Largest IV spike — 12.8% change
  • 2017-04-17: Highest IV Rank — 29.7%
  • 2017-04-17: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.76$20.89$22.35$21.88$22.03
Max Pain$21.49$21.00$22.00$21.75$22.00
ATM IV23.2%20.6%27.0%21.3%23.2%
Expected Move6.5%5.7%7.7%5.7%5.9%
HV 20d17.7%14.1%20.0%16.6%20.0%
HV 60d18.4%17.2%20.1%18.8%17.2%
IV Rank13.0%1.5%29.7%4.5%13.0%
IV Percentile17.6%2.8%44.8%4.8%15.1%
Term Structure1.6%-1.0%6.7%0.1%6.7%
VWIV23.2%20.0%26.7%20.2%20.3%
Skew 25d2.7%1.6%4.6%2.6%1.7%
Skew 10d5.1%1.5%9.4%5.0%1.5%
Call IV 25d22.0%19.4%25.2%20.4%21.6%
Put IV 25d24.8%21.6%28.6%23.0%23.3%
Bid-Ask Spread %26.3113.3065.0531.4622.60
Gamma HHI0.160.100.270.120.22
Net GEX15.1M-5.0M29.3M10.1M26.1M
Net DEX-391.3M-606.2M-61.9M-363.6M-499.6M
Net VEX-3.9M-4.2M-3.7M-3.7M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.411.540.411.46
Total Volume134,225.78971,010386,510154,090156,340
Total OI1,303,035.2631,165,4901,470,7501,165,4901,312,630

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-04-03$21.88$21.7521.3%5.7%16.6%4.5%20.2%2.6%0.1%10.1M-363.6M-3.7M0.4131.46109,11044,980563,930601,560
2017-04-04$21.88$21.7521.1%5.7%16.5%3.6%20.0%1.6%0.3%13.7M-394.7M-3.8M0.6128.7675,25045,990605,910611,370
2017-04-05$21.74$21.7520.6%5.9%16.6%1.5%21.4%2.2%-0.2%9.9M-346.7M-3.8M0.9727.8565,52063,670613,500615,790
2017-04-06$21.78$22.0020.8%6.2%15.7%2.3%22.5%2.3%0.2%10.9M-359.2M-3.8M0.8428.9444,92037,810618,770633,420
2017-04-07$21.87$22.0021.1%6.3%14.4%3.8%22.4%2.7%0.6%16.9M-395.8M-3.8M1.1519.6042,04048,140627,790641,150
2017-04-10$21.80$22.0022.5%6.5%14.4%9.8%23.7%2.6%0.1%9.9M-365.1M-3.7M0.8613.3054,73047,060604,210608,130
2017-04-11$21.70$22.0023.7%6.8%14.1%15.1%24.8%3.5%0.0%6.7M-327.2M-3.8M0.9541.1385,55080,860611,840621,400
2017-04-12$20.89$22.0026.7%7.4%18.5%28.4%25.7%3.5%-1.0%-5.0M-61.9M-3.8M0.4827.41260,300126,210622,120647,140
2017-04-13$21.25$21.0025.5%7.3%18.8%23.1%25.9%2.5%0.2%18.0M-255.4M-4.2M0.8216.07103,58084,490768,080702,670
2017-04-17$21.33$21.0027.0%7.7%18.9%29.7%26.7%3.4%0.2%7.2M-280.3M-4.2M0.6465.0565,97042,100733,950688,000
2017-04-18$21.32$21.0025.8%7.4%18.9%24.3%25.5%3.4%0.7%6.0M-261.6M-4.1M0.5621.8860,44033,750739,190692,810
2017-04-19$21.35$21.0025.3%7.3%16.9%22.4%25.5%2.9%0.9%5.7M-278.5M-4.1M1.2623.4631,38039,630739,700695,080
2017-04-20$21.87$21.0023.3%6.6%18.8%13.2%24.7%3.1%1.6%29.3M-493.8M-4.1M0.7014.8784,28058,840743,040701,990
2017-04-21$21.81$21.0023.8%6.6%18.8%15.8%25.1%3.0%2.2%19.7M-460.5M-4.0M1.0526.4259,05061,830748,400703,870
2017-04-24$22.14$21.0022.0%5.8%19.2%7.8%20.7%4.6%3.8%24.6M-541.0M-3.9M1.0226.0148,42049,350645,840541,860
2017-04-25$22.35$21.0022.0%6.0%19.4%7.9%21.6%2.8%4.8%26.5M-606.2M-3.9M1.2025.2263,62076,050654,740553,500
2017-04-26$22.15$21.5022.2%6.1%19.5%8.5%23.1%1.8%4.1%24.1M-544.8M-4.0M1.0621.9451,31054,590681,340579,350
2017-04-27$22.30$21.5023.1%6.0%19.7%12.8%21.5%1.8%5.2%27.1M-597.9M-4.0M1.5418.0236,64056,490691,020592,580
2017-04-28$22.03$22.0023.2%5.9%20.0%13.0%20.3%1.7%6.7%26.1M-499.6M-4.1M1.4622.6063,66092,680696,890615,740