AVGO Options History — June 2017

In June 2017, AVGO traded between $23.38 and $25.55. ATM implied volatility averaged 26.3%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 11.4% (HV 20d: 37.7%). Max pain ranged from $22.00 to $23.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.73.

Notable Days

2017-06-02: Highest Volume — 1,072,320 contracts
2017-06-02: Largest IV drop — 30.3% change
2017-06-12: Highest IV Rank — 60.4%
2017-06-01: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.32	$23.38	$25.55	$23.50	$23.38
Max Pain	$22.74	$22.00	$23.50	$22.00	$23.50
ATM IV	26.3%	21.5%	31.4%	31.4%	28.2%
Expected Move	7.6%	6.1%	11.0%	11.0%	7.9%
HV 20d	37.7%	23.3%	41.3%	23.3%	27.0%
HV 60d	27.2%	20.1%	29.4%	20.1%	29.4%
IV Rank	34.7%	7.1%	60.4%	54.9%	45.8%
IV Percentile	43.9%	8.7%	77.4%	77.4%	61.1%
Term Structure	-0.1%	-1.8%	0.9%	-1.8%	0.3%
VWIV	27.0%	23.0%	39.2%	39.2%	27.8%
Skew 25d	2.5%	1.7%	3.4%	1.7%	3.1%
Skew 10d	5.0%	1.6%	8.2%	1.6%	6.7%
Call IV 25d	25.5%	21.1%	31.2%	31.2%	27.4%
Put IV 25d	28.0%	23.2%	33.0%	32.9%	30.5%
Bid-Ask Spread %	12.78	6.96	26.71	19.52	10.89
Gamma HHI	0.10	0.06	0.22	0.08	0.07
Net GEX	42.3M	-4.6M	140.5M	44.4M	10.4M
Net DEX	-800.5M	-2.21B	-171.6M	-803.5M	-216.9M
Net VEX	-5.2M	-6.1M	-4.1M	-4.6M	-6.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.36	1.74	0.97	0.87
Total Volume	297,314.545	145,400	1,072,320	592,310	176,280
Total OI	2,020,928.636	1,639,730	2,290,710	1,991,210	2,278,900

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
2017-06-01	$23.50	$22.00	31.4%	11.0%	23.3%	54.9%	39.2%	1.7%	-1.8%	44.4M	-803.5M	-4.6M	0.97	19.52	300,840	291,470	1,151,830	839,380
2017-06-02	$25.55	$22.00	21.9%	6.1%	36.8%	9.1%	24.1%	2.1%	-0.1%	140.5M	-2.21B	-4.1M	0.61	15.43	664,700	407,620	1,278,210	1,012,500
2017-06-05	$25.18	$22.00	22.6%	6.6%	37.5%	13.5%	23.9%	2.4%	-0.1%	81.4M	-1.41B	-4.3M	0.82	14.06	182,520	150,070	1,083,800	858,360
2017-06-06	$25.36	$22.00	22.4%	6.7%	37.2%	12.5%	23.6%	2.0%	-0.6%	96.6M	-1.52B	-4.4M	0.72	14.95	110,270	79,690	1,132,620	879,950
2017-06-07	$25.48	$22.00	21.5%	6.5%	37.0%	7.1%	23.1%	2.1%	0.3%	105.5M	-1.59B	-4.3M	0.49	7.23	207,870	102,420	1,136,820	893,770
2017-06-08	$25.45	$22.00	21.9%	6.6%	36.9%	9.5%	23.0%	1.8%	0.7%	108.3M	-1.58B	-4.4M	0.68	10.64	151,410	102,830	1,197,640	935,520
2017-06-09	$24.27	$22.00	27.5%	8.0%	41.3%	41.8%	27.1%	1.9%	0.1%	17.9M	-703.2M	-4.9M	0.87	17.43	172,080	149,190	1,229,640	958,930
2017-06-12	$24.14	$23.00	30.7%	8.8%	40.8%	60.4%	30.5%	3.0%	-0.0%	22.4M	-688.9M	-5.0M	0.63	26.71	205,360	128,410	1,027,060	917,840
2017-06-13	$24.29	$23.00	28.8%	8.2%	40.6%	49.5%	28.3%	2.9%	0.1%	31.7M	-797.9M	-5.1M	0.44	17.16	168,680	74,990	1,091,180	973,370
2017-06-14	$23.95	$23.00	30.0%	8.3%	40.9%	56.1%	29.6%	2.8%	-1.1%	26.7M	-628.2M	-5.3M	0.36	17.63	366,390	130,250	1,174,970	993,810
2017-06-15	$23.82	$23.00	29.0%	8.3%	39.1%	50.4%	29.0%	3.2%	-0.1%	21.6M	-310.6M	-5.4M	1.04	12.15	102,700	106,960	1,111,740	1,047,460
2017-06-16	$23.60	$23.00	28.3%	8.0%	38.4%	46.2%	28.3%	3.3%	-0.6%	-4.6M	-171.6M	-5.4M	1.06	12.08	80,430	85,290	1,135,310	1,071,690
2017-06-19	$24.10	$23.00	26.0%	7.4%	38.6%	33.1%	26.0%	2.9%	0.7%	19.1M	-535.1M	-5.2M	0.59	9.71	93,000	54,440	860,160	779,570
2017-06-20	$24.02	$23.00	26.0%	7.4%	38.1%	33.1%	26.4%	2.8%	0.6%	21.2M	-516.9M	-5.3M	0.81	9.21	80,490	64,910	908,510	799,110
2017-06-21	$24.55	$23.00	24.8%	7.1%	38.7%	26.3%	25.4%	2.8%	0.2%	36.1M	-748.4M	-5.4M	0.65	9.04	129,020	83,270	943,200	828,110
2017-06-22	$24.43	$23.00	23.8%	6.8%	38.6%	20.7%	25.1%	1.9%	0.7%	39.6M	-727.8M	-5.6M	1.74	10.86	62,640	108,930	1,001,690	856,580
2017-06-23	$24.47	$23.00	23.2%	6.6%	38.5%	17.1%	23.3%	2.2%	0.9%	33.6M	-722.0M	-5.6M	0.50	7.56	141,960	71,010	1,016,010	914,430
2017-06-26	$24.29	$23.00	25.9%	7.3%	38.6%	32.5%	25.8%	2.4%	-0.7%	25.5M	-616.8M	-5.6M	0.46	6.96	133,240	60,620	1,020,340	871,170
2017-06-27	$23.62	$23.00	28.3%	8.1%	39.9%	46.7%	27.6%	2.7%	-1.1%	9.2M	-305.5M	-5.6M	0.44	10.05	233,140	101,810	1,053,520	886,140
2017-06-28	$24.10	$23.25	26.9%	7.8%	40.6%	38.3%	27.1%	2.5%	0.3%	35.4M	-592.0M	-6.0M	0.82	8.87	97,180	80,000	1,202,990	929,840
2017-06-29	$23.43	$23.50	30.3%	8.5%	41.3%	58.0%	29.5%	3.4%	-0.4%	8.2M	-213.1M	-6.1M	0.59	13.10	154,770	91,770	1,225,630	951,130
2017-06-30	$23.38	$23.50	28.2%	7.9%	27.0%	45.8%	27.8%	3.1%	0.3%	10.4M	-216.9M	-6.0M	0.87	10.89	94,150	82,130	1,310,840	968,060