AVGO Options History — March 2020

In March 2020, AVGO traded between $15.90 and $28.35. ATM implied volatility averaged 71.1%, placing in the 79.7% IV rank vs the trailing year. The 30-day expected move averaged 20.8%. IV traded below realized volatility by 16.5% (HV 20d: 87.6%). Max pain ranged from $26.00 to $30.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 1.00.

Notable Days

2020-03-25: Highest Volume — 269,070 contracts
2020-03-16: Largest IV spike — 24.9% change
2020-03-06: Highest IV Rank — 100.0%
2020-03-18: Largest Expected Move — 28.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.21	$15.90	$28.35	$28.14	$23.86
Max Pain	$28.00	$26.00	$30.00	$30.00	$26.00
ATM IV	71.1%	46.1%	98.4%	49.3%	61.9%
Expected Move	20.8%	14.9%	28.2%	16.6%	18.9%
HV 20d	87.6%	38.7%	144.7%	38.7%	142.7%
HV 60d	57.2%	31.7%	85.9%	31.7%	85.7%
IV Rank	79.7%	53.5%	100.0%	69.4%	53.5%
IV Percentile	98.4%	93.3%	100.0%	99.2%	93.3%
Term Structure	-3.1%	-9.0%	0.0%	-3.3%	-2.1%
VWIV	69.2%	49.8%	90.1%	57.6%	61.3%
Skew 25d	19.6%	12.0%	25.0%	16.5%	17.4%
Skew 10d	40.5%	24.9%	56.1%	39.3%	37.5%
Call IV 25d	61.0%	39.6%	85.5%	40.8%	51.4%
Put IV 25d	80.6%	54.9%	110.5%	57.4%	68.8%
Bid-Ask Spread %	43.61	13.55	63.08	23.53	42.84
Gamma HHI	0.06	0.04	0.08	0.06	0.04
Net GEX	-12.1M	-19.7M	-3.8M	-16.7M	-6.8M
Net DEX	1.06B	555.7M	1.62B	694.2M	670.4M
Net VEX	-6.2M	-7.7M	-2.9M	-7.7M	-6.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.29	2.27	1.06	0.68
Total Volume	162,058.636	89,900	269,070	128,000	183,760
Total OI	1,930,615.455	1,635,940	2,194,860	1,905,370	1,767,650

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2020-03-02	$28.14	$30.00	49.3%	16.6%	38.7%	69.4%	57.6%	16.5%	-3.3%	-16.7M	694.2M	-7.7M	1.06	23.53	62,090	65,910	819,910	1,085,460
2020-03-03	$27.70	$30.00	51.5%	17.9%	38.9%	74.9%	60.5%	15.2%	-3.6%	-17.9M	787.0M	-7.7M	1.02	21.04	47,250	48,290	835,030	1,107,580
2020-03-04	$28.35	$30.00	46.1%	16.3%	39.0%	62.0%	53.8%	15.3%	0.0%	-16.3M	631.2M	-7.7M	0.70	29.72	62,760	43,860	847,340	1,126,040
2020-03-05	$27.31	$30.00	55.0%	14.9%	39.6%	83.2%	49.8%	15.2%	-1.1%	-17.9M	867.0M	-7.7M	1.11	13.55	42,550	47,350	871,870	1,145,930
2020-03-06	$26.78	$30.00	62.4%	16.1%	39.5%	100.0%	56.1%	19.4%	-4.2%	-19.7M	982.8M	-7.7M	2.20	31.60	62,120	136,800	884,180	1,157,880
2020-03-09	$25.12	$30.00	71.4%	18.8%	44.1%	100.0%	62.4%	19.0%	-5.1%	-17.7M	1.15B	-7.4M	2.27	36.47	45,410	103,210	834,470	1,131,790
2020-03-10	$25.85	$29.00	60.4%	16.4%	46.4%	78.7%	62.1%	12.0%	-3.0%	-19.7M	1.09B	-7.5M	0.97	45.02	76,370	74,070	837,610	1,118,950
2020-03-11	$24.68	$29.00	70.2%	19.3%	46.8%	97.7%	65.2%	17.0%	-3.8%	-18.1M	1.22B	-7.1M	1.17	40.36	52,800	61,550	864,630	1,146,680
2020-03-12	$22.27	$29.00	84.4%	24.2%	55.4%	100.0%	80.0%	19.8%	-0.5%	-16.0M	1.47B	-6.2M	0.69	43.71	117,100	81,290	884,430	1,165,500
2020-03-13	$21.60	$29.00	74.8%	20.1%	55.2%	85.1%	66.6%	24.7%	-9.0%	-15.9M	1.62B	-5.2M	1.55	40.09	92,710	143,470	937,820	1,164,040
2020-03-16	$19.15	$29.00	93.4%	26.4%	65.6%	100.0%	80.8%	24.3%	-3.9%	-9.7M	1.53B	-4.4M	1.03	44.20	76,700	78,760	838,290	1,124,170
2020-03-17	$19.61	$28.00	78.8%	22.5%	67.9%	80.2%	72.7%	23.0%	-1.4%	-10.1M	1.55B	-4.5M	0.71	52.05	79,320	55,960	884,150	1,147,800
2020-03-18	$15.90	$27.00	98.4%	28.2%	93.3%	100.0%	90.1%	25.0%	-4.2%	-6.4M	1.50B	-2.9M	0.91	49.97	88,990	80,540	921,250	1,166,040
2020-03-19	$20.05	$27.00	82.7%	23.9%	133.0%	80.0%	80.0%	23.9%	-2.6%	-7.4M	1.45B	-5.0M	0.73	58.74	139,600	101,510	973,310	1,185,260
2020-03-20	$19.74	$27.00	75.2%	21.9%	133.0%	70.5%	69.1%	24.5%	-2.6%	-8.6M	1.53B	-4.7M	0.56	63.08	134,950	75,460	984,110	1,210,750
2020-03-23	$19.04	$26.00	77.6%	22.5%	132.9%	73.5%	74.3%	24.3%	-3.9%	-7.5M	1.10B	-4.2M	0.91	53.54	60,480	54,990	698,790	937,150
2020-03-24	$21.00	$26.00	69.0%	20.7%	139.4%	62.5%	69.3%	18.4%	-2.9%	-8.1M	984.2M	-5.0M	1.01	52.76	100,930	101,560	717,500	947,320
2020-03-25	$22.87	$26.00	77.8%	23.8%	143.7%	73.7%	75.7%	20.8%	-4.4%	-7.4M	732.9M	-6.3M	0.29	61.94	209,150	59,920	732,830	969,870
2020-03-26	$23.92	$26.00	77.3%	23.7%	144.7%	73.2%	79.7%	16.7%	-2.4%	-3.8M	555.7M	-6.9M	0.76	51.57	101,300	76,700	778,880	994,640
2020-03-27	$23.78	$26.00	78.1%	24.1%	144.3%	74.2%	83.3%	21.2%	-2.6%	-6.1M	570.0M	-6.9M	1.01	51.22	58,570	59,230	797,990	1,020,790
2020-03-30	$23.85	$26.00	68.2%	20.3%	142.7%	61.6%	72.8%	18.1%	-0.9%	-7.4M	651.1M	-6.6M	0.75	52.42	68,590	51,360	748,880	958,980
2020-03-31	$23.86	$26.00	61.9%	18.9%	142.7%	53.5%	61.3%	17.4%	-2.1%	-6.8M	670.4M	-6.6M	0.68	42.84	109,200	74,560	778,110	989,540