AVGO Options History — January 2020

In January 2020, AVGO traded between $29.90 and $32.35. ATM implied volatility averaged 24.9%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 0.6% (HV 20d: 25.4%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2020-01-24: Highest Volume — 800,010 contracts
  • 2020-01-31: Largest IV spike — 12.8% change
  • 2020-01-31: Highest IV Rank — 46.8%
  • 2020-01-31: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.10$29.90$32.35$32.22$30.47
Max Pain$31.19$31.00$32.00$31.00$31.00
ATM IV24.9%22.4%30.6%22.9%30.6%
Expected Move7.1%6.3%8.8%6.8%8.8%
HV 20d25.4%21.7%30.8%24.7%30.8%
HV 60d24.2%23.2%26.0%23.6%25.9%
IV Rank21.6%11.0%46.8%13.2%46.8%
IV Percentile25.2%10.3%56.3%14.3%56.3%
Term Structure0.3%-0.7%1.9%0.3%0.0%
VWIV25.1%22.8%31.2%24.6%31.2%
Skew 25d2.9%1.9%4.2%3.9%4.2%
Skew 10d5.5%3.1%9.1%7.4%9.1%
Call IV 25d23.6%21.1%29.1%21.1%29.1%
Put IV 25d26.5%23.8%33.2%25.1%33.2%
Bid-Ask Spread %16.925.7260.4611.1322.80
Gamma HHI0.100.070.210.090.10
Net GEX18.6M-35.2M100.0M48.6M-34.7M
Net DEX-154.8M-1.04B530.2M-700.1M341.3M
Net VEX-7.5M-8.3M-7.1M-7.3M-8.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.191.620.321.04
Total Volume283,346.667139,310800,010287,990274,750
Total OI2,306,603.811,740,9902,798,4002,371,9102,159,670

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$32.22$31.0022.9%6.8%24.7%13.2%24.6%3.9%0.3%48.6M-700.1M-7.3M0.3211.13218,37069,620954,1901,417,720
2020-01-03$31.52$31.0023.8%6.7%25.8%17.2%23.5%4.0%0.5%-35.2M-274.7M-7.2M0.738.74116,15084,3301,019,7401,427,240
2020-01-06$31.29$32.0023.5%6.9%25.9%15.7%23.7%3.8%0.3%21.7M-203.6M-7.1M0.269.20157,65040,710977,7701,389,340
2020-01-07$31.30$32.0023.8%6.9%25.4%17.0%24.2%3.5%0.2%29.2M-220.7M-7.1M0.555.72104,09056,9301,025,3401,418,550
2020-01-08$30.96$32.0023.6%6.7%25.6%16.0%23.7%3.5%0.4%3.8M1.2M-7.3M0.4210.9898,13041,1801,046,5701,448,700
2020-01-09$30.53$32.0024.4%6.8%26.0%19.8%24.8%3.6%0.2%-20.9M236.5M-7.2M0.5910.01214,600125,8501,074,4801,462,870
2020-01-10$29.90$31.0024.9%7.0%26.1%21.8%24.9%2.2%0.2%-28.2M530.2M-7.1M0.749.56219,340162,0001,150,0301,503,710
2020-01-13$30.12$31.0024.4%6.9%24.6%19.8%24.2%1.9%-0.5%-16.8M333.9M-7.3M0.417.94149,10061,3001,082,1601,529,670
2020-01-14$30.86$31.0024.8%6.9%23.4%21.2%24.7%2.0%-0.5%28.3M-102.6M-7.5M0.2814.79226,97064,4401,109,1501,559,470
2020-01-15$30.21$31.0025.0%7.1%22.2%22.2%24.7%2.2%-0.2%-13.0M313.3M-7.2M0.8117.36170,940138,5201,124,8201,556,220
2020-01-16$30.72$31.0023.1%6.4%23.3%13.8%23.0%1.9%-0.7%39.0M-14.5M-7.5M0.4660.46115,77053,7501,188,9901,609,410
2020-01-17$30.76$31.0022.4%6.3%22.3%11.0%22.8%1.9%-0.7%33.7M-21.3M-7.4M0.6729.81113,20076,1401,189,9001,599,950
2020-01-21$30.82$31.0023.2%6.6%22.2%14.6%23.7%2.2%0.1%19.5M-97.1M-7.3M0.809.7779,21063,620815,980925,010
2020-01-22$31.30$31.0023.9%6.9%21.7%17.4%23.7%1.9%0.2%44.1M-358.4M-7.5M0.199.78428,77083,100845,740951,110
2020-01-23$31.87$31.0024.4%7.0%22.6%19.6%24.5%2.1%-0.1%100.0M-750.7M-7.6M0.289.60214,35059,180956,000962,130
2020-01-24$32.35$31.0025.9%7.4%23.3%26.3%26.2%2.4%0.1%66.7M-1.04B-7.8M0.3418.62596,810203,200955,550980,790
2020-01-27$30.95$31.0028.1%8.1%28.1%35.7%28.4%3.4%1.0%6.0M-25.0M-7.8M0.5120.43192,45098,030911,770995,340
2020-01-28$31.86$31.0025.9%7.5%30.0%26.3%26.2%3.4%1.6%40.3M-514.8M-8.0M0.3620.55179,18064,950952,9401,036,970
2020-01-29$31.83$31.0026.2%7.5%29.8%27.3%26.8%3.3%1.2%45.4M-485.4M-8.1M0.3118.18157,68048,340981,6701,066,150
2020-01-30$31.36$31.0027.2%7.6%30.2%31.7%26.8%3.1%1.9%12.3M-197.7M-8.0M1.6229.85125,230202,350993,6501,082,220
2020-01-31$30.47$31.0030.6%8.8%30.8%46.8%31.2%4.2%0.0%-34.7M341.3M-8.3M1.0422.80134,400140,3501,013,8501,145,820