AVGO Options History — September 2019

In September 2019, AVGO traded between $27.36 and $30.12. ATM implied volatility averaged 31.1%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 4.5% (HV 20d: 35.6%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.01.

Notable Days

  • 2019-09-19: Highest Volume — 746,620 contracts
  • 2019-09-13: Largest IV drop — 19.7% change
  • 2019-09-03: Highest IV Rank — 82.3%
  • 2019-09-03: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.64$27.36$30.12$27.36$27.57
Max Pain$28.00$28.00$28.00$28.00$28.00
ATM IV31.1%25.4%42.0%42.0%29.3%
Expected Move9.0%7.2%14.2%14.2%8.2%
HV 20d35.6%29.9%40.1%37.8%29.9%
HV 60d33.4%31.5%35.3%34.4%31.5%
IV Rank41.7%20.4%82.3%82.3%34.8%
IV Percentile46.4%19.0%94.8%94.8%36.5%
Term Structure-0.3%-2.3%1.1%-2.3%-0.1%
VWIV31.4%24.3%47.0%47.0%28.3%
Skew 25d5.7%3.9%7.8%7.8%5.5%
Skew 10d11.4%8.0%16.0%16.0%10.8%
Call IV 25d28.7%23.6%37.8%37.8%27.0%
Put IV 25d34.4%27.6%45.6%45.6%32.5%
Bid-Ask Spread %13.415.3546.689.656.71
Gamma HHI0.100.060.350.060.08
Net GEX11.8M-21.9M64.9M-2.0M-15.5M
Net DEX-348.5M-985.4M233.8M7.1M123.2M
Net VEX-7.2M-7.8M-6.5M-7.7M-7.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.112.130.540.74
Total Volume231,472.575,460746,620125,80075,460
Total OI2,202,0491,892,6102,550,3202,021,9102,198,460

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$27.36$28.0042.0%14.2%37.8%82.3%47.0%7.8%-2.3%-2.0M7.1M-7.7M0.549.6581,63044,170948,0701,073,840
2019-09-04$28.29$28.0038.5%12.5%39.3%69.1%43.6%7.2%-1.4%15.0M-328.0M-7.8M0.8046.6861,86049,740961,6801,095,820
2019-09-05$29.18$28.0036.4%9.8%40.1%61.2%35.5%7.4%-1.2%29.8M-686.6M-7.8M1.2718.5584,420106,910974,6401,108,720
2019-09-06$29.21$28.0034.9%9.6%40.1%56.0%34.4%7.0%-1.1%38.4M-667.9M-7.7M0.6720.9857,21038,330966,8201,143,700
2019-09-09$29.27$28.0036.1%10.0%39.3%60.1%37.6%6.9%-0.7%18.7M-612.9M-7.4M2.1310.6950,960108,290927,4601,112,880
2019-09-10$29.31$28.0035.5%9.9%39.2%57.8%32.5%7.1%-1.0%20.7M-640.4M-7.4M1.1712.1459,28069,450949,3801,183,380
2019-09-11$29.79$28.0033.8%9.3%38.4%51.8%32.8%6.7%-1.2%28.7M-835.7M-7.3M0.8710.73102,46089,260976,8501,208,370
2019-09-12$30.12$28.0033.0%9.2%33.7%48.6%32.4%7.0%-1.2%34.6M-985.4M-7.3M0.936.82268,000250,5401,012,9701,257,390
2019-09-13$29.02$28.0026.5%7.6%36.7%24.5%27.1%5.1%0.3%-3.9M-468.0M-7.0M0.965.35325,710311,7601,141,1401,409,180
2019-09-16$28.96$28.0026.8%7.7%36.3%25.5%28.3%5.1%0.6%22.6M-459.4M-7.0M0.836.8872,29060,2001,028,8601,284,110
2019-09-17$28.86$28.0026.9%7.7%35.9%26.0%27.3%4.7%1.1%18.5M-399.6M-7.1M0.6214.5778,06048,0801,043,4601,301,070
2019-09-18$28.72$28.0026.6%7.6%35.9%24.9%26.7%4.0%1.0%17.0M-393.1M-6.6M0.658.4952,92034,1401,071,8701,324,050
2019-09-19$29.18$28.0025.4%7.2%35.8%20.4%24.3%3.9%0.7%64.9M-651.4M-6.5M0.119.80671,05075,5701,083,7201,328,020
2019-09-20$28.37$28.0027.0%7.8%37.2%26.4%26.2%4.5%-0.3%-12.7M-49.0M-6.9M1.0931.0090,86098,9101,020,9101,354,530
2019-09-23$28.60$28.0027.0%7.6%31.1%26.3%26.6%4.6%0.1%7.1M-229.3M-6.6M0.6012.0778,43046,870789,8901,102,720
2019-09-24$28.18$28.0028.4%8.2%31.4%31.6%28.4%5.0%0.3%-510.6K-93.2M-7.0M0.975.9968,76067,020850,8901,150,860
2019-09-25$27.68$28.0028.3%8.1%32.0%31.4%29.0%4.7%0.5%-11.5M85.8M-6.9M2.006.04143,840288,030869,3601,174,160
2019-09-26$27.74$28.0029.1%8.2%31.9%34.1%28.7%4.9%-0.5%-11.2M79.3M-7.4M1.7416.8764,000111,340919,2401,355,460
2019-09-27$27.41$28.0030.9%8.7%29.9%40.8%30.3%5.8%-0.0%-21.9M233.8M-7.5M1.468.2499,160144,480936,9401,400,110
2019-09-30$27.57$28.0029.3%8.2%29.9%34.8%28.3%5.5%-0.1%-15.5M123.2M-7.4M0.746.7143,44032,020888,3601,310,100