AVGO Options History — November 2017

In November 2017, AVGO traded between $25.90 and $28.49. ATM implied volatility averaged 34.0%, placing in the 79.5% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 3.8% (HV 20d: 30.2%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.80.

Notable Days

2017-11-03: Highest Volume — 527,430 contracts
2017-11-29: Largest IV spike — 10.4% change
2017-11-29: Highest IV Rank — 93.7%
2017-11-30: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.16	$25.90	$28.49	$25.90	$27.81
Max Pain	$24.90	$24.00	$26.00	$25.00	$26.00
ATM IV	34.0%	29.4%	36.4%	29.4%	34.8%
Expected Move	10.2%	7.7%	12.5%	7.7%	12.5%
HV 20d	30.2%	22.1%	32.1%	22.1%	31.4%
HV 60d	24.1%	22.9%	25.3%	23.2%	24.2%
IV Rank	79.5%	52.9%	93.7%	52.9%	84.2%
IV Percentile	90.2%	72.2%	98.8%	72.2%	92.1%
Term Structure	-0.4%	-2.7%	5.7%	4.8%	-1.3%
VWIV	36.5%	28.0%	44.4%	28.0%	44.4%
Skew 25d	2.2%	-0.9%	4.0%	2.1%	2.3%
Skew 10d	4.0%	-2.8%	9.6%	9.6%	6.8%
Call IV 25d	33.4%	28.4%	36.2%	28.6%	36.2%
Put IV 25d	35.6%	30.8%	38.5%	30.8%	38.5%
Bid-Ask Spread %	32.49	10.24	57.78	16.63	42.09
Gamma HHI	0.15	0.12	0.22	0.16	0.13
Net GEX	92.8M	61.5M	112.8M	99.0M	82.5M
Net DEX	-1.93B	-2.60B	-1.40B	-1.53B	-1.84B
Net VEX	-6.6M	-7.1M	-6.2M	-6.9M	-6.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.38	1.50	0.53	0.94
Total Volume	224,231.429	126,990	527,430	259,900	135,750
Total OI	2,390,089.048	2,087,800	2,604,350	2,281,550	2,424,370

Daily Data (21 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
2017-11-01	$25.90	$25.00	29.4%	7.7%	22.1%	52.9%	28.0%	2.1%	4.8%	99.0M	-1.53B	-6.9M	0.53	16.63	170,240	89,660	1,461,110	820,440
2017-11-02	$25.94	$24.00	30.7%	9.4%	22.1%	60.4%	32.9%	4.0%	5.7%	95.1M	-1.47B	-7.0M	0.63	35.44	203,280	128,980	1,468,310	848,480
2017-11-03	$27.34	$24.00	33.3%	9.7%	28.1%	75.0%	34.7%	0.9%	3.0%	88.2M	-2.44B	-6.8M	0.38	57.78	383,570	143,860	1,524,140	872,750
2017-11-06	$27.87	$24.00	33.5%	9.9%	28.5%	76.5%	33.7%	3.4%	0.7%	94.3M	-2.60B	-6.6M	0.49	53.05	287,660	140,070	1,503,180	835,770
2017-11-07	$27.14	$24.00	33.7%	10.1%	30.7%	77.3%	35.3%	2.5%	1.2%	101.1M	-2.17B	-6.9M	0.72	55.37	114,840	82,960	1,574,710	889,380
2017-11-08	$27.24	$24.00	34.8%	9.8%	30.3%	83.9%	35.7%	2.2%	-0.8%	104.9M	-2.28B	-6.9M	0.79	34.77	92,800	73,600	1,598,140	903,320
2017-11-09	$26.55	$25.00	35.4%	10.2%	31.9%	87.1%	36.3%	0.5%	-0.2%	97.6M	-1.76B	-7.1M	0.61	34.38	133,660	82,050	1,629,830	931,160
2017-11-10	$26.50	$25.00	35.0%	10.0%	31.9%	85.1%	36.3%	2.6%	-0.1%	103.9M	-1.75B	-6.9M	0.80	27.31	81,240	64,900	1,656,260	948,090
2017-11-13	$26.47	$25.00	35.9%	10.4%	31.7%	90.4%	37.2%	2.8%	-1.2%	108.5M	-1.75B	-6.7M	0.58	23.51	103,630	59,800	1,581,460	905,640
2017-11-14	$26.33	$25.00	35.9%	10.3%	31.2%	90.2%	36.4%	1.8%	-1.2%	112.8M	-1.66B	-6.7M	1.05	36.88	62,010	64,980	1,598,530	925,370
2017-11-15	$26.52	$25.00	35.6%	10.2%	31.2%	88.7%	36.6%	2.4%	-1.1%	109.4M	-1.79B	-6.6M	0.66	15.24	78,440	51,440	1,580,850	944,900
2017-11-16	$27.22	$25.00	34.9%	10.1%	32.0%	84.8%	35.7%	2.9%	-2.6%	93.3M	-2.30B	-6.4M	0.73	36.18	114,320	83,310	1,592,610	951,770
2017-11-17	$27.16	$25.00	34.7%	10.2%	32.1%	83.8%	35.7%	2.7%	-2.7%	79.4M	-2.29B	-6.4M	0.93	21.14	80,530	74,950	1,621,890	966,130
2017-11-20	$27.47	$25.00	34.1%	10.2%	32.1%	80.1%	35.9%	1.9%	-1.5%	83.4M	-1.79B	-6.3M	0.39	18.99	219,030	84,620	1,296,670	791,130
2017-11-21	$27.60	$25.00	33.4%	10.0%	32.0%	76.3%	35.3%	3.3%	-2.1%	91.6M	-1.82B	-6.3M	0.91	10.24	122,300	111,720	1,341,530	823,480
2017-11-22	$27.56	$25.00	34.1%	10.1%	31.7%	80.3%	38.1%	2.1%	-2.3%	88.3M	-1.76B	-6.5M	1.50	51.68	53,890	80,770	1,359,140	863,710
2017-11-24	$28.24	$25.00	33.4%	10.1%	32.0%	76.0%	36.4%	-0.9%	-2.6%	88.5M	-2.18B	-6.3M	1.02	30.19	87,790	89,490	1,372,200	896,240
2017-11-27	$28.49	$25.00	32.2%	10.6%	30.2%	69.3%	38.2%	2.9%	-0.7%	85.7M	-2.19B	-6.2M	1.08	21.27	111,220	120,420	1,349,600	902,350
2017-11-28	$27.73	$26.00	33.0%	11.0%	30.5%	73.8%	39.5%	2.9%	-0.6%	80.5M	-1.77B	-6.3M	1.22	17.62	89,270	109,070	1,365,990	920,380
2017-11-29	$27.20	$26.00	36.4%	12.3%	31.5%	93.7%	43.9%	0.4%	-2.0%	61.5M	-1.40B	-6.5M	0.95	42.45	126,550	120,190	1,381,430	969,430
2017-11-30	$27.81	$26.00	34.8%	12.5%	31.4%	84.2%	44.4%	2.3%	-1.3%	82.5M	-1.84B	-6.7M	0.94	42.09	70,140	65,610	1,444,100	980,270