AVGO Options History — May 2017

In May 2017, AVGO traded between $22.18 and $24.14. ATM implied volatility averaged 28.6%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 7.9% (HV 20d: 20.8%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.86.

Notable Days

2017-05-15: Highest Volume — 300,880 contracts
2017-05-17: Largest IV spike — 11.8% change
2017-05-31: Highest IV Rank — 57.3%
2017-05-31: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.32	$22.18	$24.14	$22.18	$23.97
Max Pain	$21.41	$21.00	$22.00	$22.00	$22.00
ATM IV	28.6%	25.8%	31.9%	26.7%	31.9%
Expected Move	8.2%	5.7%	11.3%	6.1%	11.3%
HV 20d	20.8%	16.0%	22.9%	20.2%	22.0%
HV 60d	18.6%	17.3%	20.1%	17.3%	19.6%
IV Rank	38.4%	24.6%	57.3%	28.5%	57.3%
IV Percentile	59.5%	42.1%	80.6%	47.6%	80.6%
Term Structure	-0.9%	-1.9%	0.6%	-0.8%	-1.9%
VWIV	29.4%	20.7%	39.6%	22.8%	39.6%
Skew 25d	2.5%	1.6%	3.8%	1.7%	2.8%
Skew 10d	4.8%	3.8%	6.7%	6.5%	4.7%
Call IV 25d	27.9%	25.2%	31.3%	26.7%	31.3%
Put IV 25d	30.4%	27.2%	34.2%	28.5%	34.2%
Bid-Ask Spread %	14.14	10.18	30.52	30.52	19.02
Gamma HHI	0.12	0.08	0.17	0.14	0.08
Net GEX	40.9M	24.1M	62.7M	24.1M	43.9M
Net DEX	-887.9M	-1.26B	-522.2M	-522.2M	-965.3M
Net VEX	-4.3M	-4.6M	-3.9M	-4.2M	-4.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.35	1.76	1.38	1.01
Total Volume	162,062.273	74,600	300,880	74,600	239,070
Total OI	1,605,724.091	1,361,160	1,877,220	1,361,160	1,823,130

Daily Data (22 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
2017-05-01	$22.18	$22.00	26.7%	6.1%	20.2%	28.5%	22.8%	1.7%	-0.8%	24.1M	-522.2M	-4.2M	1.38	30.52	31,300	43,300	710,210	650,950
2017-05-02	$22.50	$22.00	26.4%	5.8%	20.7%	27.1%	20.7%	2.3%	-0.3%	30.7M	-647.7M	-4.2M	0.84	20.63	62,390	52,250	719,880	656,270
2017-05-03	$22.42	$22.00	27.1%	5.7%	20.8%	30.1%	20.9%	1.7%	-0.6%	32.0M	-624.8M	-4.2M	0.71	17.19	58,100	41,240	735,020	672,010
2017-05-04	$22.31	$21.00	27.0%	7.5%	20.7%	29.6%	27.5%	1.9%	-0.8%	31.1M	-580.8M	-4.2M	0.74	11.42	62,070	46,080	745,780	677,860
2017-05-05	$22.57	$21.00	25.8%	7.2%	21.0%	24.6%	26.0%	2.2%	-0.1%	41.1M	-693.1M	-4.2M	1.15	11.79	59,200	68,050	753,830	683,390
2017-05-08	$22.41	$21.00	26.3%	7.6%	21.2%	26.8%	26.6%	2.3%	0.6%	30.1M	-601.3M	-4.1M	1.76	11.74	36,550	64,220	742,770	690,040
2017-05-09	$22.82	$21.00	26.4%	7.4%	21.9%	27.1%	26.5%	2.3%	-0.5%	35.3M	-756.5M	-4.1M	0.67	10.65	89,370	60,190	745,760	707,070
2017-05-10	$23.12	$21.00	26.0%	7.4%	22.1%	25.4%	26.4%	1.9%	-0.3%	42.5M	-887.6M	-4.1M	0.77	12.00	117,430	89,860	775,500	719,070
2017-05-11	$23.10	$21.00	26.1%	7.4%	16.0%	25.9%	25.9%	2.3%	-0.3%	45.4M	-871.0M	-4.1M	1.01	11.79	64,760	65,340	788,890	734,350
2017-05-12	$23.57	$21.00	27.0%	7.7%	16.3%	29.5%	27.3%	1.6%	-0.4%	46.3M	-1.04B	-4.1M	0.74	16.72	92,750	68,980	792,590	748,740
2017-05-15	$23.89	$21.00	27.9%	8.0%	16.6%	33.6%	28.2%	2.3%	-1.2%	37.3M	-1.14B	-3.9M	0.35	12.69	223,130	77,750	798,540	747,560
2017-05-16	$24.01	$21.00	27.9%	8.0%	16.4%	33.4%	28.9%	2.4%	-1.4%	41.3M	-1.26B	-4.1M	0.81	10.18	73,860	59,580	878,850	780,750
2017-05-17	$23.23	$21.00	31.1%	8.9%	21.5%	47.8%	31.2%	3.5%	-1.8%	46.7M	-867.0M	-4.4M	0.42	13.43	198,830	83,120	873,760	787,170
2017-05-18	$23.78	$21.00	30.6%	8.8%	21.4%	45.4%	32.5%	3.8%	-0.1%	45.7M	-1.14B	-4.5M	0.42	10.78	149,470	62,780	994,580	812,350
2017-05-19	$23.39	$21.00	31.8%	9.3%	22.5%	50.6%	32.4%	2.9%	-1.8%	62.7M	-985.1M	-4.6M	0.52	13.67	150,540	78,080	1,053,270	823,950
2017-05-22	$23.81	$21.00	30.9%	9.3%	22.7%	49.6%	32.9%	3.1%	-1.0%	38.4M	-937.4M	-4.6M	0.77	10.84	89,140	68,900	953,280	725,810
2017-05-23	$23.66	$22.00	30.8%	9.4%	22.9%	50.9%	32.7%	2.5%	-1.0%	36.6M	-875.7M	-4.6M	1.11	11.70	53,460	59,080	969,240	751,960
2017-05-24	$23.98	$22.00	30.5%	9.6%	22.7%	50.5%	33.9%	3.1%	-1.2%	43.4M	-1.00B	-4.6M	0.70	14.38	71,830	49,930	987,190	760,320
2017-05-25	$24.14	$22.00	30.3%	9.5%	22.7%	49.4%	33.4%	2.4%	-1.5%	49.1M	-1.09B	-4.6M	0.92	12.23	81,790	75,500	1,005,980	769,990
2017-05-26	$24.08	$22.00	30.0%	9.4%	22.1%	48.1%	33.4%	2.4%	-1.3%	51.4M	-1.06B	-4.6M	1.17	14.06	59,780	70,180	1,018,780	797,400
2017-05-30	$24.02	$22.00	31.3%	10.2%	22.2%	54.1%	36.5%	2.8%	-1.4%	44.2M	-978.4M	-4.5M	0.98	13.64	109,310	106,830	994,510	767,580
2017-05-31	$23.97	$22.00	31.9%	11.3%	22.0%	57.3%	39.6%	2.8%	-1.9%	43.9M	-965.3M	-4.5M	1.01	19.02	118,730	120,340	1,024,530	798,600