AVGO Options History — February 2020

In February 2020, AVGO traded between $26.67 and $32.46. ATM implied volatility averaged 35.2%, placing in the 60.5% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 4.2% (HV 20d: 31.0%). Max pain ranged from $30.50 to $31.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.70.

Notable Days

  • 2020-02-05: Highest Volume — 272,420 contracts
  • 2020-02-28: Largest IV spike — 25.9% change
  • 2020-02-26: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 20.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.60$26.67$32.46$30.48$26.67
Max Pain$30.97$30.50$31.00$31.00$30.50
ATM IV35.2%27.5%62.2%29.1%62.2%
Expected Move10.7%7.6%20.6%8.1%20.6%
HV 20d31.0%28.8%33.4%30.0%33.2%
HV 60d26.5%24.9%29.8%24.9%29.8%
IV Rank60.5%33.1%100.0%40.3%100.0%
IV Percentile70.1%42.5%100.0%50.0%100.0%
Term Structure0.1%-5.4%4.1%3.5%-5.4%
VWIV37.0%26.8%68.2%28.4%68.2%
Skew 25d5.8%2.1%16.6%5.5%16.6%
Skew 10d10.5%5.8%32.3%9.1%32.3%
Call IV 25d32.8%25.6%57.2%27.8%57.2%
Put IV 25d38.6%28.5%73.8%33.3%73.8%
Bid-Ask Spread %25.3314.0733.3726.4024.17
Gamma HHI0.070.050.110.070.06
Net GEX13.9M-21.0M68.9M-14.1M-16.7M
Net DEX403.3K-779.1M1.03B221.2M1.03B
Net VEX-7.7M-8.2M-7.4M-8.1M-7.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.231.130.430.86
Total Volume169,421.053114,350272,420137,490191,270
Total OI2,024,688.9471,747,2602,178,2002,009,5401,970,930

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$30.48$31.0029.1%8.1%30.0%40.3%28.4%5.5%3.5%-14.1M221.2M-8.1M0.4326.4096,34041,150912,8901,096,650
2020-02-04$31.14$31.0027.5%7.8%31.0%33.1%27.6%3.7%3.4%9.8M-126.7M-8.2M0.6532.6772,94047,420942,0801,109,880
2020-02-05$31.75$31.0027.5%7.6%31.8%33.3%26.8%2.1%3.6%38.0M-463.0M-8.2M0.2333.37221,70050,720960,0301,121,830
2020-02-06$31.90$31.0027.5%9.1%31.5%33.1%32.6%3.5%4.1%62.6M-552.1M-8.1M0.5726.9083,65047,3001,022,7201,134,490
2020-02-07$31.58$31.0029.2%9.3%31.2%40.7%33.3%3.8%3.4%29.7M-351.1M-8.1M0.9430.4470,08065,6601,033,5001,144,700
2020-02-10$31.40$31.0030.9%9.5%30.2%48.0%32.8%3.9%1.5%15.1M-199.8M-7.8M0.7725.9464,71049,640911,8901,100,070
2020-02-11$32.00$31.0030.1%9.2%30.8%44.5%33.1%4.4%1.3%42.0M-531.5M-7.8M0.4832.84110,31053,120932,9201,122,490
2020-02-12$32.46$31.0030.9%9.1%30.1%47.8%31.8%4.0%1.7%68.9M-779.1M-7.6M0.7630.29104,25078,760941,3401,126,660
2020-02-13$32.39$31.0031.1%9.1%28.8%48.7%31.1%3.7%0.8%67.9M-705.2M-7.6M0.5326.0777,12040,490945,5401,140,810
2020-02-14$31.78$31.0030.6%8.9%29.4%46.8%30.6%3.8%0.4%33.5M-365.0M-7.6M0.6823.70112,58076,600958,2501,145,980
2020-02-18$31.05$31.0033.6%9.6%30.7%59.5%33.1%3.8%-1.7%-3.5M27.4M-7.5M0.8319.2599,84083,360900,4001,103,860
2020-02-19$31.58$31.0031.9%9.2%31.3%52.4%32.2%3.9%-0.8%25.9M-277.8M-7.6M0.4114.07106,28043,800931,6101,131,900
2020-02-20$30.99$31.0033.5%9.7%31.6%59.4%33.0%4.5%-1.6%-2.3M19.7M-7.5M0.5921.63101,19060,100956,3101,139,110
2020-02-21$30.39$31.0036.8%10.8%31.5%73.6%36.7%5.2%-3.0%-21.0M296.9M-7.6M0.9523.4688,56084,460969,5901,155,820
2020-02-24$29.21$31.0040.3%12.6%33.4%88.9%44.0%10.6%-1.6%-16.2M505.7M-7.4M0.9222.96113,080104,550776,350970,910
2020-02-25$28.30$31.0042.8%13.5%31.7%99.6%48.3%6.8%-1.9%-18.4M740.8M-7.4M1.1322.78112,740127,280809,8401,019,340
2020-02-26$28.65$31.0043.5%13.4%29.8%100.0%48.1%7.9%-2.7%-18.4M644.0M-7.6M0.7727.2183,94064,210830,4301,064,590
2020-02-27$27.65$31.0049.4%15.9%31.7%100.0%52.1%12.8%-2.8%-19.6M876.9M-7.6M0.8317.12103,60086,200848,3901,084,990
2020-02-28$26.67$30.5062.2%20.6%33.2%100.0%68.2%16.6%-5.4%-16.7M1.03B-7.7M0.8624.17102,99088,280870,3901,100,540