AVGO Options History — August 2020

In August 2020, AVGO traded between $32.08 and $34.79. ATM implied volatility averaged 38.2%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 19.8% (HV 20d: 18.4%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.59.

Notable Days

2020-08-05: Highest Volume — 284,390 contracts
2020-08-06: Largest IV drop — 5.4% change
2020-08-31: Highest IV Rank — 25.3%
2020-08-31: Largest Expected Move — 13.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.15	$32.08	$34.79	$32.08	$34.79
Max Pain	$30.29	$30.00	$32.00	$32.00	$30.00
ATM IV	38.2%	35.9%	40.0%	38.2%	40.0%
Expected Move	10.9%	8.5%	13.4%	8.5%	13.4%
HV 20d	18.4%	16.7%	20.3%	18.4%	16.7%
HV 60d	26.0%	22.1%	29.2%	29.1%	22.1%
IV Rank	22.9%	19.9%	25.3%	22.9%	25.3%
IV Percentile	64.4%	55.6%	71.0%	65.9%	71.0%
Term Structure	-1.2%	-4.3%	1.4%	-3.5%	-0.1%
VWIV	38.9%	30.2%	48.3%	30.2%	48.3%
Skew 25d	6.9%	-0.4%	10.8%	10.7%	4.8%
Skew 10d	14.2%	5.3%	21.3%	17.2%	12.3%
Call IV 25d	35.6%	32.3%	44.8%	34.4%	35.9%
Put IV 25d	42.5%	39.7%	46.1%	45.2%	40.8%
Bid-Ask Spread %	62.45	47.43	73.81	47.43	54.04
Gamma HHI	0.09	0.05	0.51	0.06	0.06
Net GEX	31.8M	13.3M	107.1M	15.7M	22.8M
Net DEX	-731.2M	-1.07B	-457.9M	-457.9M	-1.07B
Net VEX	-7.3M	-7.8M	-6.8M	-7.5M	-6.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.13	1.55	0.78	0.50
Total Volume	125,303.81	51,890	284,390	139,450	168,810
Total OI	1,872,483.81	1,725,420	1,992,920	1,733,430	1,814,290

Daily Data (21 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
2020-08-03	$32.08	$32.00	38.2%	8.5%	18.4%	22.9%	30.2%	10.7%	-3.5%	15.7M	-457.9M	-7.5M	0.78	47.43	78,250	61,200	696,270	1,037,160
2020-08-04	$32.72	$32.00	38.2%	8.9%	19.0%	23.0%	30.9%	6.5%	-1.3%	24.5M	-649.0M	-7.7M	0.25	50.28	192,280	48,520	719,540	1,070,750
2020-08-05	$32.83	$32.00	38.9%	8.6%	18.6%	23.8%	30.3%	8.5%	0.6%	37.5M	-704.7M	-7.8M	0.13	58.02	251,600	32,790	777,160	1,097,170
2020-08-06	$32.88	$30.00	36.8%	10.8%	18.1%	21.1%	38.4%	6.6%	0.6%	59.5M	-741.5M	-7.8M	0.33	68.17	90,310	29,410	820,870	1,106,770
2020-08-07	$32.52	$30.00	38.7%	11.0%	18.0%	23.6%	38.6%	7.9%	-0.5%	23.4M	-586.4M	-7.7M	0.41	69.30	75,880	31,100	828,360	1,116,970
2020-08-10	$32.76	$30.00	38.9%	11.0%	16.8%	23.8%	41.3%	10.8%	-0.9%	18.9M	-604.8M	-7.6M	0.70	66.53	53,870	37,540	754,290	1,098,540
2020-08-11	$32.47	$30.00	39.5%	11.6%	17.2%	24.6%	40.0%	7.3%	1.4%	17.6M	-547.8M	-7.6M	0.30	67.23	163,780	49,670	776,970	1,112,690
2020-08-12	$33.38	$30.00	38.1%	10.8%	19.6%	22.8%	39.4%	7.8%	-0.5%	43.9M	-896.3M	-7.4M	0.27	64.17	131,100	36,010	810,340	1,126,960
2020-08-13	$32.94	$30.00	38.6%	11.0%	20.0%	23.5%	38.9%	9.7%	-0.8%	32.3M	-734.0M	-7.5M	0.66	65.81	52,080	34,530	837,320	1,135,100
2020-08-14	$32.70	$30.00	36.9%	10.7%	20.2%	21.3%	41.6%	7.5%	0.5%	13.3M	-631.6M	-7.5M	1.55	64.92	40,760	63,290	848,700	1,144,220
2020-08-17	$33.05	$30.00	37.3%	10.7%	20.3%	21.8%	38.8%	5.3%	-0.6%	28.7M	-705.8M	-7.2M	1.09	68.38	37,330	40,680	762,360	1,127,350
2020-08-18	$32.85	$30.00	35.9%	10.3%	20.1%	19.9%	37.7%	5.8%	-2.3%	25.9M	-639.0M	-7.2M	0.79	67.48	29,040	22,850	771,970	1,142,660
2020-08-19	$32.98	$30.00	37.1%	10.6%	20.1%	21.6%	38.0%	7.4%	-0.4%	28.7M	-677.4M	-7.1M	0.98	73.81	33,990	33,250	777,060	1,150,000
2020-08-20	$32.99	$30.00	37.1%	10.7%	19.2%	21.5%	37.3%	6.5%	-1.0%	35.3M	-685.9M	-7.1M	0.63	73.62	41,740	26,350	788,500	1,164,110
2020-08-21	$32.95	$30.00	37.7%	10.9%	18.5%	22.3%	37.7%	7.0%	-1.1%	107.1M	-693.8M	-7.1M	0.42	73.05	72,080	30,080	799,160	1,169,010
2020-08-24	$33.29	$30.00	38.1%	11.3%	17.8%	22.8%	41.0%	4.9%	-1.6%	18.3M	-720.0M	-6.9M	0.55	56.47	77,040	42,630	709,720	1,015,700
2020-08-25	$33.59	$30.00	37.5%	11.1%	16.9%	22.1%	40.6%	9.0%	-3.7%	23.2M	-786.1M	-7.0M	0.74	54.32	37,290	27,710	727,830	1,030,520
2020-08-26	$34.01	$30.00	38.9%	11.4%	17.1%	23.8%	39.6%	9.3%	-4.3%	27.8M	-903.9M	-7.0M	0.35	55.74	96,390	33,430	741,750	1,042,460
2020-08-27	$33.99	$30.00	39.0%	12.4%	17.1%	24.0%	43.6%	-0.4%	-2.2%	28.6M	-897.9M	-7.1M	0.52	56.65	66,320	34,290	765,700	1,053,650
2020-08-28	$34.35	$30.00	40.0%	12.6%	16.9%	25.3%	43.8%	1.3%	-3.1%	35.3M	-1.02B	-7.2M	0.39	55.97	90,600	35,510	783,340	1,068,870
2020-08-31	$34.79	$30.00	40.0%	13.4%	16.7%	25.3%	48.3%	4.8%	-0.1%	22.8M	-1.07B	-6.8M	0.50	54.04	112,410	56,400	759,180	1,055,110