AVGO Options History — September 2017

In September 2017, AVGO traded between $23.54 and $25.29. ATM implied volatility averaged 24.9%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 0.6% (HV 20d: 24.2%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2017-09-26: Highest Volume — 476,760 contracts
  • 2017-09-25: Largest IV spike — 8.3% change
  • 2017-09-05: Highest IV Rank — 38.6%
  • 2017-09-05: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.50$23.54$25.29$25.29$24.25
Max Pain$24.10$24.00$25.00$25.00$24.00
ATM IV24.9%23.2%26.9%25.4%24.2%
Expected Move7.2%6.7%7.8%6.8%6.7%
HV 20d24.2%17.1%29.3%29.0%17.1%
HV 60d23.5%22.3%25.8%25.8%22.3%
IV Rank26.7%17.3%38.6%29.5%23.1%
IV Percentile36.0%17.9%59.1%42.1%27.4%
Term Structure0.4%-0.4%1.2%0.2%0.9%
VWIV25.6%23.8%28.2%24.3%23.8%
Skew 25d2.0%0.9%2.9%2.5%2.7%
Skew 10d3.9%1.1%7.9%4.3%4.8%
Call IV 25d24.6%22.8%26.4%24.8%23.3%
Put IV 25d26.7%24.5%29.1%27.3%25.9%
Bid-Ask Spread %15.119.8028.6510.9113.87
Gamma HHI0.130.070.690.110.09
Net GEX49.9M-3.0M271.7M94.7M51.5M
Net DEX-544.2M-1.07B-90.3M-1.07B-746.0M
Net VEX-5.3M-6.8M-4.7M-5.7M-6.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.131.110.600.84
Total Volume201,907105,380476,760211,710211,170
Total OI2,324,1601,783,0802,675,9402,532,5602,675,940

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$25.29$25.0025.4%6.8%29.0%29.5%24.3%2.5%0.2%94.7M-1.07B-5.7M0.6010.91132,61079,1001,498,6601,033,900
2017-09-05$24.91$24.0026.9%7.8%29.2%38.6%28.2%2.7%-0.1%57.4M-721.0M-5.4M1.1112.9969,16076,8101,424,920977,620
2017-09-06$24.93$24.0025.7%7.7%29.2%31.2%27.8%2.9%0.8%58.6M-725.3M-5.3M0.9918.5552,86052,5201,431,2201,000,080
2017-09-07$24.65$24.0026.2%7.6%29.3%34.2%27.7%2.7%0.1%40.8M-519.7M-5.2M1.0210.0659,77061,2401,438,1001,014,400
2017-09-08$24.44$24.0025.8%7.8%27.1%32.3%27.6%2.3%0.1%27.6M-355.5M-5.1M1.0028.6576,95076,9201,440,9001,024,340
2017-09-11$24.75$24.0025.5%7.5%27.2%30.4%26.5%1.9%0.5%47.1M-569.4M-4.9M0.7826.6776,67059,4401,414,2301,014,080
2017-09-12$24.67$24.0024.4%7.1%25.5%23.9%25.8%0.9%0.2%47.0M-515.2M-4.8M0.9120.0793,91085,4601,431,5001,028,470
2017-09-13$24.61$24.0024.2%7.1%24.9%22.6%25.3%1.7%0.9%40.1M-463.9M-4.7M0.6212.0691,63056,4801,426,8301,049,550
2017-09-14$24.67$24.0024.2%7.0%24.9%23.1%25.1%1.4%0.3%51.2M-516.9M-4.8M0.619.8097,59059,4301,460,0201,062,630
2017-09-15$25.04$24.0023.7%6.7%24.2%19.8%24.1%1.2%-0.3%271.7M-874.3M-4.8M0.4210.30173,19073,3601,483,6201,080,760
2017-09-18$24.98$24.0024.5%7.0%23.8%24.4%25.5%1.1%0.4%39.3M-678.3M-4.9M0.6916.01130,01090,160972,480810,600
2017-09-19$24.96$24.5023.2%6.7%23.8%17.3%24.1%1.1%0.5%47.6M-672.6M-4.9M1.0211.1971,24072,5601,039,280850,290
2017-09-20$24.35$24.5024.7%7.1%23.7%25.9%25.1%1.3%0.2%14.7M-377.6M-4.9M0.6711.63245,290164,5401,056,240878,450
2017-09-21$24.05$24.0023.6%6.7%23.6%19.5%24.1%1.6%1.2%5.8M-273.4M-5.0M0.6011.47125,40075,2601,163,480947,500
2017-09-22$23.96$24.0023.7%6.7%23.5%19.8%23.8%2.0%0.8%23.1M-233.5M-5.1M0.8422.2695,51080,4801,226,060962,920
2017-09-25$23.54$24.0025.6%7.5%19.2%31.0%26.6%2.9%0.3%-3.0M-90.3M-4.9M0.6612.97134,74088,5501,149,280921,250
2017-09-26$23.73$24.0025.3%7.3%19.5%29.3%25.4%2.7%-0.4%2.5M-197.7M-5.1M0.1315.42421,06055,7001,189,210939,920
2017-09-27$24.07$24.0025.6%7.4%20.2%30.9%25.9%2.4%0.5%32.9M-568.8M-6.3M0.4917.09152,64074,3601,488,140957,710
2017-09-28$24.25$24.0025.0%7.1%19.7%27.7%24.8%2.3%0.8%47.7M-713.9M-6.4M0.7210.2384,00060,3701,547,570971,050
2017-09-29$24.25$24.0024.2%6.7%17.1%23.1%23.8%2.7%0.9%51.5M-746.0M-6.8M0.8413.87114,71096,4601,624,9401,051,000