AVGO Options History — October 2017

In October 2017, AVGO traded between $23.89 and $26.38. ATM implied volatility averaged 24.8%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 8.2% (HV 20d: 16.6%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.78.

Notable Days

2017-10-30: Highest Volume — 300,100 contracts
2017-10-30: Largest IV spike — 16.6% change
2017-10-31: Highest IV Rank — 51.7%
2017-10-31: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.68	$23.89	$26.38	$24.05	$26.38
Max Pain	$24.19	$24.00	$25.00	$24.00	$24.75
ATM IV	24.8%	23.2%	29.2%	25.8%	29.2%
Expected Move	7.1%	6.5%	7.8%	7.2%	7.8%
HV 20d	16.6%	13.3%	21.1%	17.1%	20.7%
HV 60d	21.8%	20.9%	23.0%	22.1%	22.9%
IV Rank	26.4%	16.8%	51.7%	32.0%	51.7%
IV Percentile	34.9%	17.1%	71.8%	48.8%	71.8%
Term Structure	0.8%	-1.0%	3.1%	0.4%	3.1%
VWIV	25.1%	24.0%	27.6%	25.8%	27.6%
Skew 25d	1.7%	0.9%	3.4%	2.2%	3.4%
Skew 10d	3.4%	1.8%	8.1%	4.6%	5.7%
Call IV 25d	24.5%	23.0%	28.8%	25.2%	28.8%
Put IV 25d	26.1%	24.2%	32.2%	27.4%	32.2%
Bid-Ask Spread %	24.95	8.34	50.56	11.91	17.76
Gamma HHI	0.13	0.09	0.17	0.09	0.16
Net GEX	62.2M	22.2M	100.5M	33.5M	100.5M
Net DEX	-893.9M	-1.83B	-472.7M	-580.1M	-1.83B
Net VEX	-6.4M	-6.7M	-6.1M	-6.5M	-6.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.36	1.24	1.08	0.62
Total Volume	178,970.455	121,360	300,100	156,650	219,770
Total OI	2,496,321.364	2,084,350	2,779,630	2,587,560	2,234,070

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
2017-10-02	$24.05	$24.00	25.8%	7.2%	17.1%	32.0%	25.8%	2.2%	0.4%	33.5M	-580.1M	-6.5M	1.08	11.91	75,250	81,400	1,591,310	996,250
2017-10-03	$23.89	$24.00	24.5%	6.7%	16.5%	24.4%	24.2%	1.6%	0.3%	22.2M	-472.7M	-6.4M	0.92	12.19	84,430	77,940	1,603,240	1,019,480
2017-10-04	$24.17	$24.00	24.6%	6.5%	17.2%	25.2%	24.0%	1.6%	0.5%	43.2M	-648.3M	-6.5M	1.10	17.56	73,730	81,260	1,620,810	1,035,670
2017-10-05	$24.36	$24.00	24.1%	7.2%	17.1%	22.5%	25.0%	1.7%	0.3%	60.2M	-765.9M	-6.6M	1.14	12.15	64,370	73,340	1,629,020	1,049,120
2017-10-06	$24.57	$24.00	24.3%	7.2%	17.1%	23.1%	25.4%	1.9%	0.2%	55.9M	-901.9M	-6.7M	0.81	24.97	74,710	60,680	1,632,430	1,056,320
2017-10-09	$24.62	$24.00	25.0%	7.2%	16.4%	27.4%	25.7%	2.0%	-0.0%	59.7M	-876.6M	-6.5M	1.24	11.52	61,400	76,020	1,512,870	976,440
2017-10-10	$24.57	$24.00	24.3%	7.0%	16.4%	23.4%	25.1%	2.3%	-0.0%	59.3M	-835.0M	-6.5M	0.57	11.35	132,680	76,070	1,527,230	992,300
2017-10-11	$25.02	$24.00	24.2%	7.1%	17.7%	22.6%	25.2%	1.7%	0.5%	88.8M	-1.15B	-6.7M	0.52	8.34	143,920	75,550	1,588,760	1,007,290
2017-10-12	$24.88	$24.00	24.5%	7.1%	17.8%	24.7%	25.1%	1.6%	0.4%	86.7M	-1.06B	-6.7M	0.70	34.78	96,080	67,340	1,636,720	1,022,760
2017-10-13	$24.80	$24.00	24.5%	7.1%	17.0%	24.3%	25.0%	1.6%	0.4%	68.7M	-994.7M	-6.6M	0.87	47.81	97,290	84,250	1,644,220	1,035,840
2017-10-16	$24.64	$24.00	24.5%	7.1%	17.1%	24.7%	24.7%	1.4%	-0.4%	67.1M	-882.5M	-6.4M	0.47	46.21	123,720	58,750	1,642,300	1,018,870
2017-10-17	$24.27	$24.00	25.1%	7.2%	17.9%	27.7%	25.4%	1.7%	-0.3%	42.6M	-601.9M	-6.1M	0.85	48.20	88,500	75,470	1,620,010	1,029,230
2017-10-18	$24.41	$24.00	24.5%	7.0%	15.8%	24.6%	24.6%	1.1%	-1.0%	48.7M	-679.2M	-6.2M	0.67	44.13	106,450	71,680	1,658,280	1,044,290
2017-10-19	$24.40	$25.00	25.7%	7.4%	15.1%	31.5%	25.9%	1.3%	-0.7%	54.0M	-722.9M	-6.3M	0.77	46.02	104,540	80,300	1,687,230	1,055,450
2017-10-20	$24.40	$24.00	23.9%	6.9%	15.0%	21.3%	24.5%	0.9%	-0.7%	49.3M	-722.3M	-6.2M	0.68	50.56	111,390	75,650	1,705,010	1,074,620
2017-10-23	$24.39	$24.00	24.0%	6.9%	13.3%	21.6%	25.1%	1.2%	1.5%	50.1M	-666.3M	-6.2M	0.77	33.45	85,690	65,820	1,325,250	759,100
2017-10-24	$24.74	$24.50	23.2%	6.8%	13.9%	16.8%	24.1%	1.2%	2.2%	70.0M	-883.0M	-6.4M	0.86	16.61	72,440	62,630	1,365,060	782,470
2017-10-25	$24.56	$24.50	23.7%	6.9%	13.5%	20.1%	24.6%	1.0%	2.6%	64.3M	-777.2M	-6.2M	0.73	10.08	94,120	69,170	1,372,990	788,530
2017-10-26	$24.40	$24.50	24.1%	6.8%	13.5%	22.3%	24.5%	1.2%	3.0%	54.5M	-665.8M	-6.1M	0.89	13.83	64,300	57,060	1,384,100	804,600
2017-10-27	$25.29	$24.50	24.2%	6.8%	18.5%	22.8%	24.3%	1.1%	2.5%	93.8M	-1.25B	-6.5M	0.36	17.02	215,240	76,850	1,395,350	816,510
2017-10-30	$26.15	$24.50	28.2%	7.4%	21.1%	46.0%	26.4%	2.6%	1.8%	96.1M	-1.69B	-6.6M	0.55	12.52	193,180	106,920	1,398,820	778,850
2017-10-31	$26.38	$24.75	29.2%	7.8%	20.7%	51.7%	27.6%	3.4%	3.1%	100.5M	-1.83B	-6.7M	0.62	17.76	135,780	83,990	1,433,710	800,360