AVGO Options History — September 2018

In September 2018, AVGO traded between $21.59 and $24.90. ATM implied volatility averaged 27.0%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 6.2% (HV 20d: 33.2%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.48.

Notable Days

  • 2018-09-07: Highest Volume — 890,100 contracts
  • 2018-09-07: Largest IV drop — 17.7% change
  • 2018-09-04: Highest IV Rank — 68.8%
  • 2018-09-04: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.74$21.59$24.90$21.94$24.66
Max Pain$22.47$22.00$23.00$22.00$23.00
ATM IV27.0%23.6%34.4%34.4%23.7%
Expected Move7.8%6.6%11.8%11.8%6.6%
HV 20d33.2%19.4%36.9%19.8%35.5%
HV 60d42.2%38.7%43.3%38.7%42.5%
IV Rank31.0%13.4%68.8%68.8%13.8%
IV Percentile34.4%6.0%84.1%84.1%6.3%
Term Structure0.0%-1.8%0.8%-1.6%0.8%
VWIV28.0%23.0%41.3%41.3%23.0%
Skew 25d2.6%2.0%3.3%2.0%2.5%
Skew 10d4.9%2.8%6.3%3.7%4.9%
Call IV 25d26.3%22.8%33.3%33.3%22.8%
Put IV 25d29.0%25.3%35.5%35.4%25.3%
Bid-Ask Spread %14.5210.0921.2010.7711.96
Gamma HHI0.100.070.130.090.13
Net GEX53.0M29.2M75.0M29.2M55.8M
Net DEX-868.2M-1.40B12.1M-186.1M-978.9M
Net VEX-8.9M-9.2M-8.3M-8.4M-8.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.130.760.260.58
Total Volume334,000138,970890,100364,820148,960
Total OI2,798,953.6842,233,0603,182,8902,746,1502,452,110

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$21.94$22.0034.4%11.8%19.8%68.8%41.3%2.0%-1.6%29.2M-186.1M-8.4M0.2610.77288,95075,8701,658,3901,087,760
2018-09-05$22.16$22.0033.5%11.4%19.4%63.9%40.2%2.0%-0.9%39.8M-351.1M-8.6M0.4010.50215,04085,8801,742,8501,112,590
2018-09-06$21.59$22.0033.7%8.7%21.5%65.4%30.9%2.3%-1.8%30.3M12.1M-8.3M0.5517.18392,770217,6001,781,1601,128,770
2018-09-07$23.24$22.0027.8%7.7%33.5%34.6%27.8%3.3%0.1%74.0M-1.18B-9.1M0.3420.08663,870226,2301,922,4601,260,430
2018-09-10$24.00$22.0026.6%7.6%33.8%28.5%27.4%3.2%0.2%60.5M-1.27B-9.0M0.3915.55286,020111,1301,741,4601,185,740
2018-09-11$23.24$22.0028.5%8.2%36.3%38.4%28.2%2.9%0.1%49.1M-750.8M-9.0M0.7012.95224,210157,7701,736,4201,189,730
2018-09-12$22.93$22.0028.8%8.1%35.9%39.9%29.0%2.7%-0.5%41.3M-496.6M-9.1M0.4715.82209,55097,8801,796,6001,251,680
2018-09-13$23.61$22.0027.1%7.7%36.7%31.4%27.6%3.0%-0.2%60.8M-998.1M-9.2M0.4714.98190,50089,4801,819,9101,271,430
2018-09-14$23.64$22.0026.0%7.5%36.7%25.4%27.0%2.7%0.1%68.6M-1.01B-9.1M0.6018.01114,98069,2801,830,6101,289,640
2018-09-17$23.54$22.0026.7%7.6%36.9%29.1%30.2%2.6%0.4%53.5M-848.6M-8.9M0.1311.69586,75073,9501,758,8301,219,980
2018-09-18$24.01$23.0026.1%7.5%36.5%26.2%26.4%2.9%0.1%61.0M-843.3M-9.1M0.3419.23270,99092,7401,603,1701,236,100
2018-09-19$24.20$23.0025.9%7.4%36.3%25.2%26.7%2.5%-0.3%69.5M-967.6M-9.0M0.6719.62134,56090,0801,627,6601,239,080
2018-09-20$24.56$23.0024.5%7.0%35.6%18.0%25.6%2.8%0.7%75.0M-1.23B-8.9M0.5621.20165,15093,2401,631,4901,264,210
2018-09-21$24.82$23.0024.1%6.8%35.0%15.6%24.9%2.8%0.6%47.9M-1.40B-9.0M0.5611.76137,42076,7501,671,8701,279,270
2018-09-24$24.90$23.0024.5%7.0%34.9%18.0%24.6%2.6%0.5%40.5M-1.08B-8.6M0.3311.19188,56061,4001,243,450989,610
2018-09-25$24.65$23.0024.4%6.9%35.3%17.5%23.8%2.7%0.4%48.3M-972.3M-8.8M0.3410.09158,51053,6701,322,1501,002,070
2018-09-26$24.63$23.0024.0%6.8%35.4%15.3%24.8%2.4%0.5%51.7M-976.0M-8.8M0.7612.7879,16059,8101,393,4501,014,910
2018-09-27$24.64$23.0023.6%6.6%35.4%13.4%23.0%2.5%0.8%50.3M-972.6M-8.8M0.6010.5698,09059,2001,402,1201,020,960
2018-09-28$24.66$23.0023.7%6.6%35.5%13.8%23.0%2.5%0.8%55.8M-978.9M-8.8M0.5811.9694,16054,8001,418,1901,033,920