AVGO Options History — March 2018

In March 2018, AVGO traded between $23.60 and $26.78. ATM implied volatility averaged 33.0%, placing in the 63.1% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 1.1% (HV 20d: 31.9%). Max pain ranged from $24.00 to $25.25. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.65.

Notable Days

2018-03-16: Highest Volume — 670,170 contracts
2018-03-16: Largest IV drop — 20.6% change
2018-03-01: Highest IV Rank — 83.9%
2018-03-01: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.93	$23.60	$26.78	$24.36	$23.60
Max Pain	$24.77	$24.00	$25.25	$25.25	$24.00
ATM IV	33.0%	27.9%	37.2%	37.2%	30.6%
Expected Move	9.5%	7.9%	13.1%	13.1%	8.7%
HV 20d	31.9%	25.8%	37.3%	32.5%	37.1%
HV 60d	29.8%	27.0%	32.6%	27.0%	31.6%
IV Rank	63.1%	38.0%	83.9%	83.9%	50.9%
IV Percentile	78.4%	59.1%	98.8%	98.8%	64.3%
Term Structure	-0.7%	-2.5%	1.2%	-2.5%	-0.6%
VWIV	33.6%	28.4%	45.7%	45.7%	30.1%
Skew 25d	2.9%	1.3%	5.5%	3.2%	4.3%
Skew 10d	5.0%	0.5%	8.9%	4.8%	8.8%
Call IV 25d	32.2%	27.5%	37.1%	37.1%	29.3%
Put IV 25d	35.2%	29.3%	40.2%	40.2%	33.5%
Bid-Ask Spread %	29.66	12.99	66.44	17.35	20.50
Gamma HHI	0.09	0.07	0.15	0.07	0.08
Net GEX	21.7M	-3.3M	90.0M	-3.3M	7.6M
Net DEX	-261.5M	-1.39B	169.0M	169.0M	157.0M
Net VEX	-6.7M	-7.8M	-5.6M	-5.8M	-7.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.34	1.01	0.95	0.54
Total Volume	295,803.81	133,500	670,170	133,500	280,420
Total OI	2,188,449.524	1,839,710	2,745,270	2,084,230	2,288,650

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
2018-03-01	$24.36	$25.25	37.2%	13.1%	32.5%	83.9%	45.7%	3.2%	-2.5%	-3.3M	169.0M	-5.8M	0.95	17.35	68,320	65,180	1,230,890	853,340
2018-03-02	$25.09	$25.00	36.5%	12.6%	30.8%	80.2%	44.3%	2.2%	-1.9%	14.7M	-150.6M	-6.0M	1.01	18.33	87,530	88,550	1,234,240	859,340
2018-03-05	$24.69	$25.00	36.1%	9.7%	31.1%	78.4%	34.0%	3.3%	-2.0%	8.8M	47.7M	-5.6M	0.64	53.25	123,940	78,750	1,157,130	821,800
2018-03-06	$25.04	$25.00	35.6%	9.8%	29.8%	75.7%	34.0%	3.4%	-1.0%	15.6M	-111.5M	-5.9M	0.48	44.28	110,610	53,360	1,186,910	846,870
2018-03-07	$24.68	$25.00	36.4%	9.9%	27.3%	79.8%	35.1%	3.1%	-1.4%	10.3M	37.8M	-5.7M	0.59	40.24	109,520	65,130	1,213,210	853,670
2018-03-08	$24.64	$25.00	34.8%	9.7%	27.3%	72.1%	36.5%	2.8%	-0.4%	6.6M	85.6M	-5.7M	0.92	29.19	138,730	128,010	1,245,950	872,210
2018-03-09	$25.36	$25.00	33.7%	9.3%	25.8%	66.5%	32.4%	3.7%	-1.3%	25.8M	-411.2M	-6.1M	0.59	21.52	139,470	82,900	1,315,880	861,080
2018-03-12	$26.32	$25.00	32.5%	9.4%	27.8%	60.7%	32.8%	2.0%	0.9%	48.5M	-909.0M	-6.1M	0.52	56.32	257,050	133,710	1,316,980	828,420
2018-03-13	$26.11	$25.00	35.1%	9.6%	25.9%	73.4%	33.7%	2.5%	-2.4%	48.3M	-854.1M	-6.6M	0.40	66.44	273,950	110,080	1,406,550	869,230
2018-03-14	$26.05	$25.00	34.7%	10.2%	25.9%	71.6%	36.0%	1.3%	0.8%	46.7M	-806.2M	-6.7M	0.34	33.30	332,780	113,250	1,460,600	905,650
2018-03-15	$26.78	$25.00	35.2%	9.6%	27.4%	73.8%	33.9%	2.6%	-2.3%	90.0M	-1.39B	-6.9M	0.73	47.40	292,120	213,670	1,650,140	956,330
2018-03-16	$25.63	$25.00	27.9%	7.9%	31.8%	38.0%	28.4%	1.4%	-1.2%	23.7M	-347.4M	-6.5M	0.60	38.36	419,000	251,170	1,714,770	1,030,500
2018-03-19	$24.52	$25.00	30.8%	8.8%	35.6%	52.2%	30.9%	1.6%	0.4%	8.9M	-54.5M	-6.7M	0.63	23.85	288,160	182,440	1,116,030	723,680
2018-03-20	$24.26	$25.00	28.9%	8.3%	35.7%	43.0%	28.9%	2.1%	0.2%	6.6M	30.4M	-7.1M	0.55	16.10	185,780	102,540	1,296,030	794,110
2018-03-21	$24.61	$24.50	28.4%	8.2%	36.1%	40.0%	28.4%	2.9%	0.0%	23.8M	-199.8M	-7.6M	0.44	12.99	188,480	83,230	1,361,550	830,160
2018-03-22	$24.42	$24.25	31.1%	8.9%	36.2%	53.2%	32.1%	2.7%	1.2%	18.3M	-183.7M	-7.8M	0.99	21.36	101,400	100,500	1,400,860	836,280
2018-03-23	$24.30	$24.50	32.4%	9.3%	35.6%	59.7%	32.7%	3.1%	-0.0%	3.0M	-95.8M	-7.7M	0.82	13.92	116,900	95,350	1,400,730	857,480
2018-03-26	$24.76	$24.50	30.1%	8.4%	36.4%	48.1%	29.7%	3.5%	0.2%	25.2M	-346.6M	-7.6M	0.58	14.55	107,900	62,730	1,272,510	812,710
2018-03-27	$24.52	$24.25	32.5%	9.2%	36.5%	60.1%	31.9%	5.5%	-0.7%	22.8M	-264.8M	-7.6M	0.56	16.64	159,210	88,820	1,295,730	823,590
2018-03-28	$23.73	$24.00	33.1%	9.5%	37.3%	63.3%	33.8%	4.2%	-0.7%	3.5M	109.4M	-7.0M	0.81	16.99	182,530	148,710	1,321,220	834,430
2018-03-29	$23.60	$24.00	30.6%	8.7%	37.1%	50.9%	30.1%	4.3%	-0.6%	7.6M	157.0M	-7.0M	0.54	20.50	181,630	98,790	1,404,240	884,410