AVGO Options History — November 2019

In November 2019, AVGO traded between $29.55 and $31.92. ATM implied volatility averaged 29.7%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 5.9% (HV 20d: 23.8%). Max pain ranged from $28.00 to $31.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.83.

Notable Days

  • 2019-11-19: Highest Volume — 365,770 contracts
  • 2019-11-04: Largest IV spike — 11.0% change
  • 2019-11-20: Highest IV Rank — 54.9%
  • 2019-11-20: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.27$29.55$31.92$29.55$31.55
Max Pain$29.93$28.00$31.00$28.00$31.00
ATM IV29.7%21.9%34.2%21.9%30.8%
Expected Move9.1%6.0%9.8%6.0%9.8%
HV 20d23.8%22.3%26.3%23.8%22.8%
HV 60d27.9%23.9%31.3%30.4%23.9%
IV Rank37.7%7.5%54.9%7.5%43.2%
IV Percentile43.7%3.2%67.9%3.2%50.0%
Term Structure0.8%-2.3%5.7%3.4%-0.5%
VWIV31.5%21.6%34.2%21.6%33.8%
Skew 25d4.7%3.6%5.5%3.6%5.1%
Skew 10d8.6%6.4%12.4%7.1%7.4%
Call IV 25d27.5%19.1%31.1%19.1%29.2%
Put IV 25d32.1%22.7%36.5%22.7%34.3%
Bid-Ask Spread %16.726.0848.0912.4820.20
Gamma HHI0.100.070.260.260.20
Net GEX43.6M-20.0M81.0M81.0M-20.0M
Net DEX-1.18B-1.60B-766.6M-766.6M-1.00B
Net VEX-6.8M-7.3M-6.2M-6.3M-7.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.372.070.642.07
Total Volume177,564.571,650365,770166,93071,650
Total OI2,367,3932,144,9002,657,2002,251,2602,372,900

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$29.55$28.0021.9%6.0%23.8%7.5%21.6%3.6%3.4%81.0M-766.6M-6.3M0.6412.48101,49065,440950,1901,301,070
2019-11-04$30.47$29.0024.3%8.7%24.6%16.4%30.4%3.8%3.8%49.1M-1.07B-6.2M0.4810.94226,630109,310915,4101,265,430
2019-11-05$31.55$29.0025.6%8.6%25.3%21.3%28.9%3.9%4.4%56.0M-1.60B-6.3M0.398.52240,71094,210987,1501,317,660
2019-11-06$31.26$29.0026.1%8.8%26.0%23.2%30.4%4.0%5.7%61.3M-1.45B-6.7M1.2046.1583,190100,0301,067,9301,375,230
2019-11-07$31.11$29.0027.9%8.9%26.3%29.8%30.8%4.6%4.1%55.2M-1.33B-6.9M0.5148.09111,09056,3501,077,2401,412,270
2019-11-08$31.24$29.0028.3%9.0%24.8%31.3%31.9%3.6%3.5%54.8M-1.40B-6.8M0.7847.7376,68060,1201,094,7201,429,440
2019-11-11$31.25$30.0029.4%9.1%24.7%35.5%31.8%5.0%0.7%53.6M-1.33B-6.6M0.846.0841,50034,6701,044,4501,380,150
2019-11-12$31.48$30.0029.6%9.1%23.0%35.9%31.3%4.6%1.3%58.5M-1.45B-6.6M0.419.30154,73062,9001,069,8101,398,390
2019-11-13$31.33$30.0031.4%9.3%22.9%42.6%31.7%5.1%0.9%59.8M-1.41B-6.8M0.677.7293,47063,0401,124,8301,421,010
2019-11-14$30.93$30.0031.5%9.1%23.7%43.0%32.6%4.8%0.4%41.4M-1.11B-6.9M0.878.62133,150116,0301,146,8301,430,580
2019-11-15$31.19$30.0030.8%9.0%23.4%41.9%30.6%4.9%0.9%31.5M-1.29B-7.0M0.719.5164,00045,3301,161,3801,495,820
2019-11-18$31.13$30.0031.5%9.1%23.4%44.6%32.5%5.2%-2.3%35.5M-913.9M-6.9M0.9923.8256,70055,880966,6101,178,290
2019-11-19$31.84$30.0032.2%9.2%24.0%47.1%31.7%4.7%-2.0%54.6M-1.26B-6.8M0.376.35266,56099,210984,5701,204,470
2019-11-20$31.12$30.0034.2%9.8%23.8%54.9%33.5%5.5%-1.9%25.5M-815.9M-7.1M1.427.1087,870124,7901,018,4701,238,170
2019-11-21$31.53$30.7533.6%9.7%23.9%54.5%34.2%5.2%-2.2%41.9M-1.04B-7.2M0.587.0176,20044,2901,051,3201,302,160
2019-11-22$31.43$30.7532.8%9.6%22.3%51.2%32.9%5.3%-2.2%58.9M-984.3M-7.1M0.687.62102,30069,6201,061,7401,319,610
2019-11-25$31.92$31.0031.0%9.4%22.7%44.2%32.9%4.8%-0.9%27.7M-1.15B-6.9M0.9218.8361,33056,280957,2101,251,490
2019-11-26$31.73$31.0030.6%9.4%22.4%42.4%32.9%4.8%-0.8%22.2M-1.07B-6.9M0.4914.3580,21039,650980,4701,273,030
2019-11-27$31.77$31.0030.7%9.5%22.5%42.8%33.2%4.7%-1.0%24.3M-1.13B-7.2M1.5714.0248,57076,1101,029,5701,290,790
2019-11-29$31.55$31.0030.8%9.8%22.8%43.2%33.8%5.1%-0.5%-20.0M-1.00B-7.3M2.0720.2023,31048,3401,045,3501,327,550