AVGO Options History — July 2017

In July 2017, AVGO traded between $22.98 and $25.69. ATM implied volatility averaged 26.2%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 2.4% (HV 20d: 23.7%). Max pain ranged from $23.50 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2017-07-07: Highest Volume — 328,010 contracts
  • 2017-07-27: Largest IV spike — 15.5% change
  • 2017-07-31: Highest IV Rank — 62.8%
  • 2017-07-06: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.68$22.98$25.69$22.98$24.69
Max Pain$24.14$23.50$25.00$23.50$25.00
ATM IV26.2%24.1%31.1%29.1%31.1%
Expected Move7.3%6.5%8.4%8.4%7.4%
HV 20d23.7%18.0%28.9%27.2%19.0%
HV 60d28.9%28.4%29.9%29.6%29.0%
IV Rank34.1%22.6%62.8%51.1%62.8%
IV Percentile43.9%24.2%77.8%66.3%77.8%
Term Structure1.6%-0.9%6.2%-0.3%-0.9%
VWIV26.1%22.8%29.5%29.5%26.3%
Skew 25d2.7%2.1%3.2%2.8%3.2%
Skew 10d5.5%3.9%7.1%5.9%7.0%
Call IV 25d25.2%22.7%31.1%28.0%31.1%
Put IV 25d27.9%25.2%34.3%30.8%34.3%
Bid-Ask Spread %13.416.6328.5624.349.58
Gamma HHI0.120.070.250.070.09
Net GEX61.3M5.2M136.1M5.2M28.5M
Net DEX-886.8M-1.49B-102.5M-102.5M-603.7M
Net VEX-5.9M-6.1M-5.5M-5.9M-5.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.502.190.680.92
Total Volume170,38893,370328,010123,100128,630
Total OI2,232,7501,804,7602,513,4302,160,4601,924,980

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$22.98$23.5029.1%8.4%27.2%51.1%29.5%2.8%-0.3%5.2M-102.5M-5.9M0.6824.3473,07050,0301,221,460939,000
2017-07-05$23.17$23.5027.9%8.0%27.3%44.3%28.5%3.0%0.0%9.4M-176.3M-5.7M0.979.1677,55075,2001,245,060946,150
2017-07-06$23.49$24.0027.7%8.4%27.9%43.1%28.9%3.1%0.3%28.7M-345.0M-5.9M0.6423.8690,68058,3401,268,560964,670
2017-07-07$23.90$24.0026.6%7.6%28.9%36.4%29.3%2.8%0.7%50.9M-617.5M-5.8M0.9210.85171,170156,8401,284,070974,680
2017-07-10$24.18$24.0026.6%7.7%24.1%36.6%28.6%2.3%-0.1%45.6M-727.3M-6.0M0.808.0798,15078,3301,302,9601,021,290
2017-07-11$24.06$24.0026.7%7.5%24.1%37.0%29.1%2.9%-0.9%39.6M-636.4M-6.0M2.1914.6039,82087,1801,315,5401,044,910
2017-07-12$24.63$24.0025.5%7.2%25.4%30.4%25.8%2.7%-0.2%65.4M-988.3M-6.0M0.5015.91168,73084,9701,318,6201,090,280
2017-07-13$24.78$24.0025.5%7.3%24.9%30.4%26.0%2.4%-0.0%80.5M-1.12B-6.1M0.5628.56132,13073,5601,383,2601,107,920
2017-07-14$24.98$24.0024.1%7.0%24.8%22.6%24.7%2.1%0.4%135.4M-1.24B-6.1M0.6515.5884,60054,6101,393,8001,117,490
2017-07-17$24.96$24.0024.5%7.0%24.5%24.6%25.6%3.0%1.1%86.1M-1.15B-5.9M0.6813.0491,16062,1001,299,6401,082,900
2017-07-18$25.04$24.0024.5%7.0%23.5%24.3%25.4%2.4%0.8%93.0M-1.21B-5.8M0.5612.43114,05064,1001,307,3201,101,180
2017-07-19$25.39$24.0024.5%7.0%23.8%24.6%24.5%2.3%1.5%126.9M-1.49B-6.1M0.849.88100,36084,2401,352,4401,108,380
2017-07-20$25.39$24.0024.4%7.0%22.7%24.1%24.5%2.9%0.8%136.1M-1.49B-6.1M0.6317.1178,74049,7901,372,3801,123,520
2017-07-21$25.32$24.0024.2%6.8%22.7%22.6%23.7%2.5%1.4%71.6M-1.39B-5.9M0.6011.4285,74051,5501,375,9201,137,510
2017-07-24$25.34$24.0024.7%6.7%22.7%25.7%23.4%3.0%6.0%45.8M-902.9M-5.8M0.797.4777,33060,720994,500810,260
2017-07-25$25.41$24.0024.6%6.6%22.4%25.0%23.2%2.4%5.0%50.8M-951.4M-5.6M0.958.1147,78045,5901,038,410834,260
2017-07-26$25.69$24.7524.4%6.5%19.5%24.1%22.8%2.6%5.3%59.3M-1.07B-5.6M0.556.63118,61065,2801,048,010846,120
2017-07-27$25.04$25.0028.2%7.5%21.2%45.9%26.3%2.5%6.2%37.0M-756.0M-5.8M1.4512.32111,110161,0101,076,320864,960
2017-07-28$25.06$25.0028.4%7.0%18.0%47.2%25.8%2.7%5.2%30.8M-764.0M-5.8M1.049.2876,07078,8401,114,420901,850
2017-07-31$24.69$25.0031.1%7.4%19.0%62.8%26.3%3.2%-0.9%28.5M-603.7M-5.5M0.929.5867,00061,6301,063,980861,000