AVGO Options History — December 2017

In December 2017, AVGO traded between $25.74 and $27.16. ATM implied volatility averaged 27.8%, placing in the 41.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 2.3% (HV 20d: 25.4%). Max pain ranged from $23.00 to $26.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.40.

Notable Days

  • 2017-12-15: Highest Volume — 727,880 contracts
  • 2017-12-07: Largest IV drop — 21.9% change
  • 2017-12-04: Highest IV Rank — 100.0%
  • 2017-12-01: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.21$25.74$27.16$27.16$25.74
Max Pain$24.05$23.00$26.00$26.00$25.00
ATM IV27.8%24.4%38.7%35.0%24.5%
Expected Move8.0%6.7%12.4%12.4%6.7%
HV 20d25.4%19.7%32.8%32.8%19.7%
HV 60d25.1%24.6%25.5%24.6%25.1%
IV Rank41.1%22.8%100.0%85.6%23.0%
IV Percentile56.2%31.0%100.0%94.4%32.5%
Term Structure0.2%-1.9%1.4%-0.7%0.3%
VWIV29.0%23.9%43.8%43.8%23.9%
Skew 25d2.0%0.5%4.4%3.4%1.1%
Skew 10d3.6%0.8%8.0%5.4%1.5%
Call IV 25d27.2%24.0%37.2%34.7%24.3%
Put IV 25d29.2%24.7%40.9%38.1%25.4%
Bid-Ask Spread %20.3712.0534.4434.4417.56
Gamma HHI0.130.090.220.140.11
Net GEX49.8M14.9M81.3M70.2M14.9M
Net DEX-778.5M-1.42B-384.3M-1.42B-384.3M
Net VEX-5.9M-6.5M-5.3M-6.5M-5.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.150.690.450.33
Total Volume339,050.5177,710727,880287,300257,610
Total OI2,378,9432,024,0902,929,1802,437,6802,166,650

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$27.16$26.0035.0%12.4%32.8%85.6%43.8%3.4%-0.7%70.2M-1.42B-6.5M0.4534.44198,45088,8501,453,390984,290
2017-12-04$26.40$23.0038.7%10.7%28.8%100.0%37.7%3.7%-0.8%56.1M-1.05B-6.3M0.6931.15115,07078,8401,415,800943,890
2017-12-05$26.15$23.0036.5%10.2%27.8%88.1%35.5%4.4%-0.5%53.5M-888.6M-6.1M0.5024.69151,95075,4901,437,250965,110
2017-12-06$26.39$23.0034.9%9.9%26.7%79.3%34.4%2.6%-1.9%61.6M-1.03B-6.0M0.6025.12333,670200,3801,466,270980,710
2017-12-07$26.41$23.0027.2%7.9%26.6%37.9%27.7%2.0%0.8%81.3M-1.04B-5.6M0.5815.21317,970183,5201,602,4101,076,030
2017-12-08$25.99$23.0026.7%7.8%25.7%35.2%27.7%1.8%0.8%45.4M-655.4M-5.6M0.6821.70230,320155,9701,655,2901,111,940
2017-12-11$25.97$23.0026.9%7.7%25.7%35.8%27.5%1.7%-0.0%46.6M-655.4M-5.4M0.5116.74131,75067,3601,501,1401,027,170
2017-12-12$25.89$23.0026.9%7.9%25.7%36.0%27.4%2.4%0.3%38.7M-591.5M-5.4M0.6317.83138,10087,6301,528,2301,041,290
2017-12-13$26.20$23.0025.4%7.5%26.0%28.0%26.8%1.9%1.0%61.3M-805.9M-5.5M0.6221.01110,00067,7101,567,6301,062,860
2017-12-14$25.95$23.0026.3%7.5%26.0%32.7%27.0%3.4%0.1%32.3M-601.4M-5.3M0.2918.82371,980109,1701,561,7401,078,410
2017-12-15$26.49$23.0026.1%7.5%25.4%31.8%37.3%2.3%0.1%65.1M-1.19B-6.3M0.1525.91635,14092,7401,822,5301,106,650
2017-12-18$26.43$25.0025.6%7.3%25.4%29.1%26.1%1.3%1.4%57.2M-799.9M-6.2M0.2516.17359,41088,7201,202,100821,990
2017-12-19$26.38$25.0025.6%7.3%24.9%28.9%26.3%0.9%0.6%53.8M-767.5M-6.3M0.2820.53236,87067,0101,252,500858,540
2017-12-20$26.58$25.0024.4%7.0%25.0%22.8%25.1%1.3%0.4%62.0M-860.6M-6.2M0.2221.01257,46056,6401,263,030877,390
2017-12-21$26.15$25.0024.5%7.0%25.6%23.0%24.8%1.4%0.7%43.1M-620.7M-6.1M0.3212.05241,57077,1101,278,580882,540
2017-12-22$26.21$25.0024.5%6.9%23.6%22.9%24.6%0.7%1.2%28.4M-651.5M-6.1M0.2119.37265,83055,7501,281,800900,360
2017-12-26$25.80$25.0026.1%7.2%23.5%31.5%25.6%1.7%0.2%34.0M-458.6M-5.7M0.2218.06258,41055,8401,256,750853,180
2017-12-27$25.90$25.0024.9%7.0%22.1%25.4%26.2%0.5%0.7%42.4M-534.1M-5.7M0.2515.10260,61066,0601,275,520867,390
2017-12-28$26.05$25.0024.8%6.8%21.5%25.0%24.7%1.3%0.2%47.4M-565.6M-5.6M0.3214.95177,91056,1401,274,150876,360
2017-12-29$25.74$25.0024.5%6.7%19.7%23.0%23.9%1.1%0.3%14.9M-384.3M-5.4M0.3317.56193,43064,1801,277,030889,620