AVGO Options History — December 2018

In December 2018, AVGO traded between $22.66 and $25.95. ATM implied volatility averaged 38.2%, placing in the 66.6% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 2.2% (HV 20d: 36.0%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2018-12-17: Highest Volume — 830,260 contracts
  • 2018-12-24: Largest IV spike — 14.9% change
  • 2018-12-24: Highest IV Rank — 93.3%
  • 2018-12-05: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.51$22.66$25.95$24.21$25.41
Max Pain$23.52$23.00$24.00$23.00$24.00
ATM IV38.2%32.4%45.1%35.0%37.7%
Expected Move11.2%9.5%13.3%11.5%10.8%
HV 20d36.0%31.7%39.9%37.4%38.1%
HV 60d36.3%34.1%38.5%34.7%38.5%
IV Rank66.6%44.2%93.3%54.3%64.8%
IV Percentile89.2%68.7%98.8%81.3%90.5%
Term Structure-0.5%-1.5%0.7%-0.8%-0.1%
VWIV40.6%34.6%54.1%40.5%37.6%
Skew 25d5.6%4.2%7.5%5.5%5.6%
Skew 10d10.4%8.1%14.0%9.6%10.9%
Call IV 25d35.9%30.9%41.6%32.2%35.5%
Put IV 25d41.5%35.1%49.1%37.6%41.1%
Bid-Ask Spread %51.2733.4761.8241.0633.47
Gamma HHI0.110.080.150.110.15
Net GEX29.2M8.5M53.5M28.5M41.4M
Net DEX-695.3M-1.50B-24.5M-638.7M-1.07B
Net VEX-8.6M-9.4M-8.1M-8.4M-9.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.121.600.800.73
Total Volume258,132110,230830,260137,040110,230
Total OI2,569,312.52,386,8802,718,0102,386,8802,624,780

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$24.21$23.0035.0%11.5%37.4%54.3%40.5%5.5%-0.8%28.5M-638.7M-8.4M0.8041.0676,01061,0301,369,9301,016,950
2018-12-04$23.36$23.2538.0%12.9%39.9%65.8%44.5%6.1%-0.8%17.7M-278.3M-8.4M0.6341.9370,06043,8901,413,2701,044,630
2018-12-05$23.23$23.2538.3%13.3%37.6%67.0%45.9%5.1%-1.5%15.8M-221.8M-8.3M0.6350.7172,03045,1401,413,2701,044,630
2018-12-06$22.66$23.0043.7%11.6%37.2%87.9%42.3%7.2%-0.0%9.1M-24.5M-8.1M0.8858.55178,400157,5001,429,7801,053,750
2018-12-07$22.99$23.0037.9%10.5%36.6%65.3%37.0%6.5%-0.4%14.6M-174.9M-8.2M0.7761.16101,86077,9801,512,4601,135,160
2018-12-10$23.90$23.0036.8%10.5%39.3%61.1%38.5%5.7%-0.2%26.6M-547.1M-8.4M0.6558.5181,58052,9301,431,0701,072,160
2018-12-11$24.85$23.0034.7%10.0%34.4%53.2%37.6%4.7%0.0%40.8M-985.9M-8.5M0.8058.03138,770111,6801,445,4501,091,030
2018-12-12$25.63$23.0033.3%9.5%35.5%47.5%34.6%4.8%-0.4%51.8M-1.36B-8.5M1.0061.20132,580132,0101,482,8801,128,590
2018-12-13$25.95$23.0032.4%9.5%35.5%44.2%35.9%4.2%0.7%53.5M-1.50B-8.6M1.4057.2095,240133,4701,499,6901,188,710
2018-12-14$25.54$23.0034.9%9.9%34.4%53.8%37.1%4.5%-0.3%37.4M-1.23B-8.7M1.6055.9578,960126,6701,503,7001,214,310
2018-12-17$25.36$24.0037.3%10.7%34.6%63.0%54.1%5.1%-1.1%39.1M-1.06B-8.6M0.1257.77739,49090,7701,455,4101,155,320
2018-12-18$25.12$24.0036.0%10.3%31.7%58.3%36.1%4.8%-0.3%32.7M-736.4M-8.5M0.4458.68220,72097,8001,394,9501,207,920
2018-12-19$24.42$24.0037.2%10.7%33.6%62.6%36.7%5.0%-0.7%19.3M-415.0M-8.4M0.6061.82165,54098,6101,407,3501,215,170
2018-12-20$24.36$24.0039.7%11.4%33.3%72.4%39.5%5.6%-0.8%15.9M-390.2M-8.5M0.5961.07169,220100,6601,414,4801,216,910
2018-12-21$24.50$24.0039.2%11.3%33.3%70.6%40.3%6.3%-0.7%25.2M-449.6M-8.6M0.7242.28180,960129,7001,434,4401,228,600
2018-12-24$23.66$24.0045.1%13.0%35.0%93.3%43.6%7.5%-0.6%8.5M-205.6M-8.3M0.6047.48128,60076,7501,287,0401,109,900
2018-12-26$24.63$24.0043.2%12.6%37.7%86.1%44.7%5.3%-0.1%22.8M-610.0M-8.5M0.1740.71250,24042,4301,325,5501,138,740
2018-12-27$24.97$24.0042.9%12.4%37.8%84.9%44.4%6.3%-0.6%35.5M-898.7M-9.1M0.3439.43260,11089,3001,441,0201,151,870
2018-12-28$25.43$24.0040.5%11.6%38.1%75.7%41.2%5.8%-0.6%48.4M-1.13B-9.4M0.4138.39172,41071,3101,486,7701,198,610
2018-12-31$25.41$24.0037.7%10.8%38.1%64.8%37.6%5.6%-0.1%41.4M-1.07B-9.1M0.7333.4763,54046,6901,458,0101,166,770