AVGO Options History — August 2017

In August 2017, AVGO traded between $24.13 and $25.73. ATM implied volatility averaged 32.0%, placing in the 67.5% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 8.8% (HV 20d: 23.2%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.65.

Notable Days

2017-08-25: Highest Volume — 679,210 contracts
2017-08-25: Largest IV drop — 25.9% change
2017-08-11: Highest IV Rank — 90.4%
2017-08-24: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.94	$24.13	$25.73	$24.80	$25.20
Max Pain	$24.61	$24.00	$25.00	$25.00	$25.00
ATM IV	32.0%	24.3%	35.9%	32.6%	24.3%
Expected Move	9.0%	6.6%	11.1%	7.2%	6.6%
HV 20d	23.2%	17.4%	29.1%	17.5%	29.1%
HV 60d	28.5%	25.1%	30.5%	29.0%	25.8%
IV Rank	67.5%	23.7%	90.4%	71.0%	23.7%
IV Percentile	77.7%	27.0%	95.6%	82.5%	27.0%
Term Structure	-0.7%	-2.4%	1.1%	-1.0%	-0.4%
VWIV	31.7%	23.9%	39.6%	25.6%	23.9%
Skew 25d	3.3%	2.2%	5.2%	3.2%	2.7%
Skew 10d	6.5%	2.2%	10.1%	6.3%	2.2%
Call IV 25d	30.8%	24.4%	34.7%	31.2%	24.4%
Put IV 25d	34.1%	27.1%	38.4%	34.5%	27.1%
Bid-Ask Spread %	15.72	8.36	35.92	12.22	15.59
Gamma HHI	0.10	0.07	0.17	0.09	0.10
Net GEX	46.3M	3.5M	90.7M	30.6M	90.7M
Net DEX	-755.5M	-1.29B	-306.3M	-623.8M	-1.01B
Net VEX	-5.5M	-5.7M	-4.9M	-5.5M	-5.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.24	1.09	0.57	0.61
Total Volume	229,026.087	103,460	679,210	131,520	236,550
Total OI	2,216,335.217	1,957,680	2,636,330	1,957,680	2,502,260

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
2017-08-01	$24.80	$25.00	32.6%	7.2%	17.5%	71.0%	25.6%	3.2%	-1.0%	30.6M	-623.8M	-5.5M	0.57	12.22	83,590	47,930	1,072,100	885,580
2017-08-02	$25.34	$25.00	32.4%	6.8%	18.6%	69.9%	24.1%	3.3%	-1.2%	53.3M	-880.2M	-5.5M	0.31	10.83	229,790	70,800	1,084,270	894,630
2017-08-03	$25.01	$24.00	32.3%	8.9%	19.2%	69.6%	31.9%	2.7%	-0.7%	48.3M	-745.8M	-5.6M	0.78	30.73	91,880	71,340	1,191,700	909,730
2017-08-04	$24.88	$24.00	32.2%	8.9%	18.7%	68.7%	31.3%	3.1%	-0.9%	46.8M	-673.8M	-5.6M	1.09	10.32	56,400	61,380	1,218,320	936,830
2017-08-07	$25.20	$24.00	31.9%	9.0%	18.8%	67.3%	32.6%	3.4%	-0.1%	42.1M	-823.7M	-5.6M	0.87	8.95	55,430	48,030	1,132,680	906,530
2017-08-08	$25.14	$24.00	31.9%	9.1%	18.7%	67.5%	31.7%	2.4%	0.0%	41.4M	-803.3M	-5.4M	0.66	19.30	69,640	46,290	1,149,060	918,410
2017-08-09	$24.90	$24.00	32.4%	9.3%	17.4%	69.9%	32.5%	2.6%	0.2%	32.1M	-681.7M	-5.5M	0.75	12.48	75,780	56,650	1,167,160	930,380
2017-08-10	$24.13	$24.00	35.8%	10.2%	20.6%	89.4%	35.4%	5.2%	0.1%	6.7M	-337.8M	-5.5M	0.91	18.33	108,090	98,430	1,199,340	948,170
2017-08-11	$24.40	$24.00	35.9%	10.4%	20.8%	90.4%	35.5%	3.4%	0.5%	8.2M	-466.3M	-5.7M	1.01	12.11	94,420	95,250	1,243,600	979,820
2017-08-14	$25.05	$24.00	32.9%	9.4%	23.0%	73.0%	33.0%	3.6%	-1.3%	46.0M	-798.1M	-5.6M	0.33	10.82	164,080	54,400	1,215,980	939,360
2017-08-15	$25.39	$24.00	34.5%	9.9%	23.5%	82.4%	33.9%	3.6%	-2.4%	67.0M	-1.07B	-5.7M	0.58	13.85	103,450	60,390	1,309,570	953,750
2017-08-16	$25.31	$25.00	33.9%	9.7%	23.0%	78.7%	34.2%	3.8%	-2.0%	65.2M	-1.01B	-5.6M	0.73	11.17	60,720	44,380	1,324,600	965,390
2017-08-17	$24.74	$25.00	35.0%	10.1%	24.3%	85.1%	35.0%	4.4%	-1.1%	42.1M	-693.4M	-5.5M	0.57	17.17	98,710	56,700	1,331,730	968,680
2017-08-18	$25.04	$25.00	35.0%	10.2%	24.7%	84.8%	34.8%	4.3%	-1.5%	75.2M	-882.1M	-5.7M	0.56	12.61	102,490	57,760	1,362,610	971,830
2017-08-21	$24.94	$25.00	34.9%	10.4%	24.8%	84.2%	37.4%	3.6%	-1.2%	53.8M	-797.4M	-5.5M	0.76	14.51	75,250	57,140	1,246,700	751,350
2017-08-22	$25.52	$25.00	34.5%	10.5%	26.2%	82.4%	35.4%	3.2%	-1.7%	67.4M	-1.12B	-5.6M	0.24	8.36	372,460	90,730	1,276,660	772,770
2017-08-23	$25.73	$25.00	34.2%	10.4%	26.0%	80.4%	36.7%	4.3%	-1.4%	83.0M	-1.29B	-5.4M	0.65	10.68	129,850	84,740	1,397,040	807,620
2017-08-24	$25.48	$25.00	35.8%	11.1%	24.5%	89.6%	39.6%	3.5%	-1.1%	75.2M	-1.16B	-5.4M	0.97	35.92	292,570	283,750	1,457,470	861,480
2017-08-25	$24.42	$25.00	26.5%	7.8%	29.0%	36.2%	27.5%	2.3%	-0.7%	3.5M	-306.3M	-4.9M	0.63	23.10	416,160	263,050	1,582,270	1,054,060
2017-08-28	$24.30	$25.00	25.8%	7.6%	28.6%	32.2%	27.6%	2.4%	0.5%	21.3M	-352.5M	-5.3M	0.38	19.69	203,670	77,520	1,314,120	951,510
2017-08-29	$24.21	$25.00	25.5%	7.2%	28.5%	30.5%	25.6%	2.2%	0.5%	21.0M	-319.9M	-5.4M	0.52	18.59	141,860	73,480	1,433,840	983,790
2017-08-30	$24.55	$25.00	24.8%	6.9%	27.8%	26.2%	24.3%	2.6%	1.1%	45.2M	-544.7M	-5.5M	0.43	14.30	142,950	61,670	1,463,370	1,007,590
2017-08-31	$25.20	$25.00	24.3%	6.6%	29.1%	23.7%	23.9%	2.7%	-0.4%	90.7M	-1.01B	-5.7M	0.61	15.59	147,300	89,250	1,488,070	1,014,190