AVGO Options History — December 2019

In December 2019, AVGO traded between $30.57 and $32.85. ATM implied volatility averaged 25.9%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 2.8% (HV 20d: 23.1%). Max pain ranged from $28.00 to $31.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2019-12-19: Highest Volume — 2,683,380 contracts
  • 2019-12-13: Largest IV drop — 25.7% change
  • 2019-12-03: Highest IV Rank — 56.9%
  • 2019-12-03: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.74$30.57$32.85$31.13$31.59
Max Pain$29.43$28.00$31.00$31.00$31.00
ATM IV25.9%20.3%34.2%31.9%22.3%
Expected Move7.6%5.9%11.8%10.7%6.2%
HV 20d23.1%18.7%26.2%23.5%24.9%
HV 60d24.2%23.1%24.7%24.1%23.7%
IV Rank24.0%1.5%56.9%47.5%10.2%
IV Percentile26.8%0.4%71.4%57.5%8.3%
Term Structure-0.1%-1.2%0.9%-0.6%0.5%
VWIV26.8%14.1%42.8%37.9%22.6%
Skew 25d3.7%2.2%5.5%4.8%3.7%
Skew 10d6.9%3.8%9.9%8.5%7.6%
Call IV 25d24.4%19.0%31.9%29.7%20.6%
Put IV 25d28.1%22.1%37.3%34.5%24.3%
Bid-Ask Spread %9.374.9116.2213.427.78
Gamma HHI0.110.050.510.070.08
Net GEX13.7M-106.3M76.0M768.1K4.2M
Net DEX-760.8M-1.58B148.2M-738.2M-299.3M
Net VEX-7.1M-7.6M-6.5M-7.2M-7.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.061.141.100.68
Total Volume316,604.76288,0802,683,380147,10088,080
Total OI2,430,356.6672,243,8402,714,7702,243,8402,337,010

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$31.13$31.0031.9%10.7%23.5%47.5%37.9%4.8%-0.6%768.1K-738.2M-7.2M1.1013.4269,92077,180988,8001,255,040
2019-12-03$30.57$31.0034.2%11.8%22.1%56.9%42.8%5.5%-0.7%-6.7M-428.2M-7.6M1.1116.2270,82078,3301,020,1401,287,630
2019-12-04$31.03$31.0032.9%11.4%18.8%51.7%40.2%5.2%-0.8%5.4M-693.8M-7.4M0.8314.6759,60049,3801,048,1801,317,590
2019-12-05$31.16$28.0032.2%8.9%18.7%48.8%31.8%4.7%-0.9%4.6M-748.7M-7.5M1.147.5544,28050,2901,070,6901,342,980
2019-12-06$31.60$28.0030.8%8.4%19.2%43.1%30.5%4.5%-1.1%17.8M-1.02B-7.4M0.755.3454,46040,9301,076,4501,372,490
2019-12-09$31.46$28.0031.5%8.9%19.2%45.9%31.3%4.6%-0.2%22.2M-868.5M-7.3M0.964.9152,84050,9801,018,8901,299,500
2019-12-10$31.48$28.0031.8%9.0%19.2%47.1%32.5%4.6%-0.2%24.4M-888.2M-7.3M1.139.2748,92055,1601,046,0101,327,710
2019-12-11$31.96$28.0031.6%8.7%19.8%46.3%31.6%4.7%-1.1%32.0M-1.13B-7.4M1.1012.2583,37091,5001,071,6701,367,540
2019-12-12$32.69$28.0028.2%7.8%21.1%32.9%27.8%3.5%-1.2%49.5M-1.53B-6.9M0.8813.50300,600263,0601,093,5001,396,880
2019-12-13$31.52$28.0020.9%6.0%24.7%4.2%21.9%2.3%0.3%-106.3M-840.5M-6.6M0.858.63354,710303,0601,200,2501,514,520
2019-12-16$32.35$28.0021.5%6.2%26.2%6.2%21.9%2.5%-0.0%59.7M-1.32B-6.5M0.678.63206,890138,9901,098,3001,399,430
2019-12-17$32.33$28.0021.0%6.0%26.2%4.3%22.0%2.6%0.2%56.0M-1.25B-6.6M0.917.8370,85064,2801,124,9201,437,520
2019-12-18$32.85$28.0022.0%6.3%25.6%8.2%22.8%2.2%0.8%76.0M-1.58B-6.6M0.4512.33184,57083,4401,140,8501,460,500
2019-12-19$32.48$28.0021.6%6.2%24.4%6.7%14.1%2.2%-0.3%55.8M-1.32B-6.6M0.067.972,525,850157,5301,164,7301,500,200
2019-12-20$31.76$31.0021.3%6.1%25.5%5.6%21.9%3.3%0.5%-49.1M148.2M-7.2M0.997.45142,710141,3201,033,5701,610,290
2019-12-23$31.95$31.0020.3%5.9%25.6%1.5%21.5%3.1%0.9%16.7M-356.3M-7.2M0.636.8690,83056,800870,9701,396,330
2019-12-24$32.02$31.0021.1%6.1%25.0%4.7%21.5%3.3%0.7%21.6M-427.1M-7.3M0.587.6161,76035,640903,2701,409,550
2019-12-26$31.74$31.0021.9%6.2%25.1%8.5%21.7%3.2%0.8%8.8M-319.7M-7.3M1.037.6566,46068,160940,7001,407,260
2019-12-27$31.59$31.0022.3%6.4%25.2%10.6%22.3%3.2%0.9%278.2K-235.2M-7.3M0.827.6370,08057,750965,4001,428,100
2019-12-30$31.33$31.0022.8%6.5%25.2%12.6%22.1%3.8%0.4%-5.8M-141.3M-7.2M0.629.3484,82052,500912,0701,380,060
2019-12-31$31.59$31.0022.3%6.2%24.9%10.2%22.6%3.7%0.5%4.2M-299.3M-7.2M0.687.7852,50035,580940,1301,396,880