AVGO Options History — May 2020

In May 2020, AVGO traded between $25.96 and $29.05. ATM implied volatility averaged 44.6%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 3.2% (HV 20d: 41.4%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2020-05-01: Highest Volume — 173,260 contracts
  • 2020-05-04: Largest IV spike — 16.6% change
  • 2020-05-15: Highest IV Rank — 38.5%
  • 2020-05-15: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.24$25.96$29.05$25.96$29.05
Max Pain$27.90$26.00$28.00$26.00$28.00
ATM IV44.6%40.0%50.4%42.2%43.2%
Expected Move12.9%11.4%14.3%13.1%12.4%
HV 20d41.4%36.1%52.9%52.9%36.1%
HV 60d91.8%90.9%92.6%91.6%90.9%
IV Rank31.1%25.3%38.5%28.1%29.3%
IV Percentile81.1%74.2%86.1%82.1%79.0%
Term Structure-0.8%-4.8%5.4%0.1%-1.7%
VWIV44.8%41.1%49.5%45.9%42.8%
Skew 25d8.7%4.9%13.0%13.0%7.8%
Skew 10d14.6%2.5%31.6%26.2%18.9%
Call IV 25d39.7%34.5%43.0%36.3%40.3%
Put IV 25d48.4%43.0%55.9%49.2%48.0%
Bid-Ask Spread %68.5736.7379.2336.7366.01
Gamma HHI0.070.050.190.070.12
Net GEX1.1M-8.0M15.0M-2.2M15.0M
Net DEX207.6M-140.8M470.9M456.4M-140.8M
Net VEX-7.4M-7.6M-7.2M-7.6M-7.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.393.013.010.39
Total Volume76,376.541,300173,260173,26084,320
Total OI1,894,665.51,754,7301,984,1501,976,1001,924,420

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$25.96$26.0042.2%13.1%52.9%28.1%45.9%13.0%0.1%-2.2M456.4M-7.6M3.0136.7343,190130,070868,2801,107,820
2020-05-04$26.02$28.0049.2%14.0%51.7%37.0%48.6%11.6%-4.8%-6.8M461.8M-7.5M1.0772.2720,72022,210801,5601,077,230
2020-05-05$26.45$28.0048.4%13.9%43.5%36.0%48.9%12.9%-1.6%-3.3M359.6M-7.6M0.7669.6732,06024,360809,5601,086,950
2020-05-06$26.47$28.0048.0%14.0%42.3%35.5%49.5%10.3%-1.8%-2.0M358.1M-7.6M2.0176.0923,23046,640824,9201,090,140
2020-05-07$26.90$28.0043.2%12.2%42.7%29.4%41.6%8.2%-1.1%5.1M226.7M-7.5M0.4463.9335,06015,530832,2901,092,370
2020-05-08$27.42$28.0042.2%12.1%42.3%28.1%41.2%5.5%0.5%13.6M49.6M-7.5M0.6477.2540,95026,380851,7801,098,310
2020-05-11$27.63$28.0040.0%11.4%41.7%25.3%41.1%8.5%-1.3%12.5M17.5M-7.4M0.6679.2338,50025,460835,7101,074,910
2020-05-12$27.05$28.0042.9%12.0%41.5%28.9%41.2%4.9%-2.0%6.8M175.8M-7.3M0.8377.9732,83027,400849,2001,083,150
2020-05-13$26.07$28.0045.8%13.4%41.7%32.7%46.8%10.1%1.5%-6.2M456.4M-7.2M1.6275.7736,21058,580853,2101,095,100
2020-05-14$26.49$28.0046.6%14.0%42.0%33.7%46.6%8.2%5.4%-3.4M343.2M-7.3M0.7576.4646,95035,040859,2401,118,700
2020-05-15$25.99$28.0050.4%14.3%40.8%38.5%47.3%11.9%-1.7%6.6M470.9M-7.3M0.8775.6649,33042,870865,6301,118,520
2020-05-18$27.43$28.0045.1%12.7%43.7%31.7%42.3%6.4%0.1%-4.6M207.3M-7.3M0.5861.0856,95033,210738,9601,015,770
2020-05-19$27.41$28.0044.5%12.7%40.4%31.0%47.0%8.3%-3.4%-3.4M226.3M-7.4M1.1267.0225,22028,250760,2301,030,290
2020-05-20$27.94$28.0042.6%12.2%37.0%28.5%42.7%8.9%1.3%603.6K95.5M-7.4M1.0861.4239,05042,140773,4301,046,010
2020-05-21$27.55$28.0045.6%13.2%37.5%32.4%43.2%7.3%-1.5%-4.4M196.6M-7.4M0.9766.8321,00020,300784,1701,065,540
2020-05-22$27.59$28.0043.2%12.5%37.2%29.3%43.9%6.6%-1.2%-8.0M205.9M-7.4M0.8563.6237,74031,940791,2601,072,960
2020-05-26$28.32$28.0043.4%13.1%37.9%29.6%44.5%10.5%-1.7%111.6K42.6M-7.4M0.6667.0358,44038,760775,9201,058,800
2020-05-27$28.58$28.0042.7%12.8%37.9%28.8%46.5%6.1%-1.1%2.3M-28.4M-7.3M0.7166.0429,86021,330798,1401,076,130
2020-05-28$28.55$28.0041.8%12.8%36.3%27.6%44.2%7.4%-0.7%3.4M-28.1M-7.2M1.0071.3652,79052,660805,4601,081,240
2020-05-29$29.05$28.0043.2%12.4%36.1%29.3%42.8%7.8%-1.7%15.0M-140.8M-7.3M0.3966.0160,79023,530812,3301,112,090