AVGO Options History — September 2020

In September 2020, AVGO traded between $35.00 and $37.44. ATM implied volatility averaged 36.5%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 0.6% (HV 20d: 35.9%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.61.

Notable Days

2020-09-04: Highest Volume — 604,880 contracts
2020-09-04: Largest IV drop — 21.7% change
2020-09-03: Highest IV Rank — 38.8%
2020-09-02: Largest Expected Move — 16.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.07	$35.00	$37.44	$35.92	$36.33
Max Pain	$32.35	$30.00	$35.00	$30.50	$35.00
ATM IV	36.5%	31.7%	50.6%	44.9%	34.0%
Expected Move	10.6%	9.1%	16.9%	15.2%	9.2%
HV 20d	35.9%	18.6%	41.7%	18.6%	40.3%
HV 60d	25.9%	22.9%	27.6%	22.9%	27.5%
IV Rank	20.8%	14.6%	38.8%	31.5%	17.6%
IV Percentile	55.3%	39.3%	86.9%	81.0%	48.0%
Term Structure	0.2%	-5.3%	6.6%	-1.6%	6.6%
VWIV	37.3%	31.2%	60.6%	54.2%	32.4%
Skew 25d	5.3%	-4.6%	10.1%	4.6%	5.3%
Skew 10d	10.0%	4.0%	21.0%	10.2%	21.0%
Call IV 25d	34.6%	26.1%	55.5%	43.1%	33.4%
Put IV 25d	39.9%	34.5%	52.7%	47.7%	38.7%
Bid-Ask Spread %	62.76	47.24	76.17	48.43	59.43
Gamma HHI	0.06	0.04	0.15	0.05	0.05
Net GEX	24.1M	4.5M	53.9M	25.6M	23.1M
Net DEX	-1.07B	-1.76B	-450.1M	-1.34B	-786.7M
Net VEX	-7.5M	-8.1M	-6.8M	-7.2M	-7.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.18	1.08	0.26	0.55
Total Volume	172,564.762	46,580	604,880	369,370	96,400
Total OI	1,893,429.524	1,614,720	2,268,440	1,883,140	1,726,170

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
2020-09-01	$35.92	$30.50	44.9%	15.2%	18.6%	31.5%	54.2%	4.6%	-1.6%	25.6M	-1.34B	-7.2M	0.26	48.43	292,030	77,340	792,950	1,090,190
2020-09-02	$37.44	$31.00	47.4%	16.9%	22.8%	34.7%	60.6%	4.2%	-2.3%	34.6M	-1.76B	-7.7M	0.28	52.22	291,100	80,860	897,190	1,127,240
2020-09-03	$35.27	$30.00	50.6%	13.4%	32.8%	38.8%	47.5%	-4.6%	-5.3%	23.9M	-1.14B	-8.1M	0.49	68.34	280,650	136,190	963,170	1,168,740
2020-09-04	$36.53	$30.00	39.6%	11.3%	34.2%	24.8%	40.4%	2.9%	-0.5%	53.9M	-1.57B	-7.9M	0.44	66.79	419,620	185,260	1,037,210	1,231,230
2020-09-08	$35.32	$31.00	42.4%	11.6%	36.9%	28.3%	40.5%	3.8%	-2.4%	23.2M	-1.03B	-7.9M	0.68	66.34	81,610	55,530	865,730	1,101,380
2020-09-09	$35.99	$31.00	35.8%	10.5%	37.0%	19.9%	37.9%	4.8%	0.2%	29.3M	-1.23B	-7.5M	0.69	63.26	56,180	38,670	869,940	1,125,030
2020-09-10	$35.75	$31.00	35.4%	10.4%	36.2%	19.4%	36.2%	6.1%	1.4%	28.5M	-1.16B	-7.5M	0.43	67.98	75,820	32,680	880,210	1,135,900
2020-09-11	$36.00	$31.00	33.5%	9.6%	35.7%	17.0%	32.7%	6.9%	0.0%	31.4M	-1.24B	-7.2M	0.71	66.32	63,360	45,080	896,730	1,147,040
2020-09-14	$36.29	$32.00	32.4%	9.3%	35.4%	15.5%	32.4%	5.1%	-0.4%	26.5M	-1.31B	-6.9M	0.65	71.20	54,740	35,420	834,490	1,115,580
2020-09-15	$36.58	$32.00	31.7%	9.1%	35.4%	14.6%	31.6%	3.8%	0.9%	28.4M	-1.38B	-6.8M	0.65	71.41	63,400	40,940	844,250	1,132,930
2020-09-16	$36.85	$32.00	32.0%	9.2%	35.1%	15.1%	32.7%	5.2%	-0.5%	30.6M	-1.45B	-6.9M	0.75	76.17	40,630	30,420	857,470	1,138,190
2020-09-17	$36.53	$32.00	34.5%	9.9%	35.5%	18.2%	35.5%	5.2%	0.2%	28.0M	-1.34B	-7.1M	0.78	73.03	54,110	42,220	865,360	1,147,700
2020-09-18	$36.13	$32.00	32.8%	9.4%	35.9%	16.0%	31.2%	4.9%	-0.0%	27.4M	-1.22B	-7.0M	0.18	72.10	298,230	53,170	871,680	1,163,010
2020-09-21	$35.00	$34.00	35.0%	10.1%	38.1%	18.9%	36.4%	7.3%	-1.3%	4.5M	-450.1M	-7.5M	0.71	57.70	68,300	48,360	647,090	967,630
2020-09-22	$36.13	$34.00	33.3%	9.9%	39.4%	16.6%	34.8%	5.8%	2.3%	14.6M	-726.6M	-7.7M	0.61	55.12	62,480	37,990	662,320	987,140
2020-09-23	$35.26	$34.00	35.3%	10.3%	40.6%	19.2%	35.2%	6.4%	-0.8%	9.0M	-506.3M	-7.9M	1.08	58.80	22,400	24,180	684,020	1,002,020
2020-09-24	$35.30	$34.00	35.3%	10.4%	40.5%	19.2%	35.4%	8.6%	0.0%	6.6M	-496.4M	-7.8M	1.05	59.41	32,230	33,940	689,540	1,009,410
2020-09-25	$35.64	$34.00	32.5%	9.2%	40.5%	15.7%	31.8%	10.1%	-1.6%	10.4M	-629.3M	-7.6M	0.61	60.32	46,550	28,180	700,120	1,023,470
2020-09-28	$36.76	$34.00	33.7%	9.2%	41.7%	17.2%	32.5%	8.9%	3.7%	22.5M	-876.4M	-7.6M	0.59	56.26	76,140	45,210	670,500	988,160
2020-09-29	$36.52	$34.75	34.1%	9.2%	41.7%	17.7%	32.0%	5.8%	5.6%	23.9M	-826.8M	-7.8M	0.62	47.24	47,120	29,120	699,040	1,004,850
2020-09-30	$36.33	$35.00	34.0%	9.2%	40.3%	17.6%	32.4%	5.3%	6.6%	23.1M	-786.7M	-7.8M	0.55	59.43	62,010	34,390	711,990	1,014,180