AVGO Options History — October 2020

In October 2020, AVGO traded between $34.80 and $38.34. ATM implied volatility averaged 35.8%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 9.7% (HV 20d: 26.0%). Max pain ranged from $35.00 to $37.25. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.78.

Notable Days

2020-10-02: Highest Volume — 191,110 contracts
2020-10-28: Largest IV spike — 15.3% change
2020-10-28: Highest IV Rank — 26.1%
2020-10-28: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.95	$34.80	$38.34	$36.70	$34.80
Max Pain	$36.53	$35.00	$37.25	$35.00	$37.00
ATM IV	35.8%	32.7%	40.6%	34.6%	39.7%
Expected Move	10.3%	9.4%	12.5%	9.4%	12.3%
HV 20d	26.0%	20.8%	37.5%	37.5%	24.8%
HV 60d	28.1%	27.5%	29.7%	27.5%	29.7%
IV Rank	19.8%	15.9%	26.1%	18.4%	24.9%
IV Percentile	52.0%	36.9%	71.0%	50.4%	68.3%
Term Structure	0.5%	-3.2%	6.6%	6.5%	0.7%
VWIV	36.0%	32.6%	42.8%	33.1%	42.8%
Skew 25d	6.0%	2.6%	8.6%	7.1%	8.6%
Skew 10d	11.7%	3.4%	21.3%	13.4%	21.3%
Call IV 25d	33.1%	30.3%	36.8%	32.0%	34.1%
Put IV 25d	39.2%	34.3%	44.0%	39.1%	42.6%
Bid-Ask Spread %	38.23	5.75	59.55	11.98	58.15
Gamma HHI	0.08	0.04	0.33	0.06	0.05
Net GEX	24.8M	-8.4M	73.0M	29.2M	-8.4M
Net DEX	-872.5M	-1.35B	-167.4M	-915.3M	-167.4M
Net VEX	-7.3M	-7.9M	-6.8M	-7.8M	-7.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.39	1.44	0.51	1.44
Total Volume	86,211.364	40,430	191,110	93,160	67,570
Total OI	1,773,233.636	1,638,600	1,889,010	1,761,660	1,801,310

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
2020-10-01	$36.70	$35.00	34.6%	9.4%	37.5%	18.4%	33.1%	7.1%	6.5%	29.2M	-915.3M	-7.8M	0.51	11.98	61,650	31,510	739,240	1,022,420
2020-10-02	$35.80	$35.00	37.3%	9.6%	31.9%	21.7%	32.6%	7.9%	6.6%	9.6M	-633.6M	-7.9M	0.39	5.75	137,610	53,500	757,450	1,032,780
2020-10-05	$36.60	$36.00	37.6%	10.8%	30.3%	22.1%	39.2%	6.2%	1.4%	25.3M	-874.3M	-7.7M	0.74	20.72	56,480	41,640	731,840	1,014,910
2020-10-06	$36.41	$36.00	38.2%	11.2%	27.6%	23.0%	38.2%	7.5%	-1.3%	25.2M	-822.6M	-7.7M	0.75	33.74	62,300	46,620	742,120	1,024,160
2020-10-07	$36.64	$36.00	37.5%	10.6%	26.9%	22.0%	38.0%	6.7%	1.2%	30.6M	-880.5M	-7.6M	0.84	42.68	25,680	21,540	754,030	1,032,110
2020-10-08	$37.29	$36.00	35.8%	10.2%	27.4%	19.8%	36.1%	6.1%	-0.2%	43.8M	-1.08B	-7.4M	0.67	28.43	70,240	46,940	759,710	1,040,470
2020-10-09	$37.57	$36.00	35.9%	9.6%	27.4%	20.0%	34.7%	4.1%	-0.5%	73.0M	-1.21B	-7.3M	0.45	25.27	92,070	41,340	787,650	1,059,330
2020-10-12	$38.21	$36.00	34.8%	9.7%	27.9%	18.6%	34.1%	5.1%	-1.1%	43.1M	-1.31B	-7.0M	0.52	18.48	72,260	37,720	756,390	1,039,600
2020-10-13	$38.34	$36.00	34.6%	9.8%	27.8%	18.4%	34.2%	6.5%	-0.4%	43.8M	-1.35B	-6.8M	0.72	11.34	55,020	39,550	767,570	1,051,850
2020-10-14	$38.27	$37.00	33.1%	9.6%	27.8%	16.4%	34.0%	2.6%	1.4%	42.5M	-1.33B	-6.8M	0.52	56.94	30,290	15,860	779,150	1,065,260
2020-10-15	$37.99	$37.00	34.0%	9.8%	27.7%	17.6%	33.8%	3.8%	-0.8%	35.8M	-1.26B	-6.9M	0.87	59.55	39,250	33,980	792,440	1,071,850
2020-10-16	$38.03	$37.00	32.7%	9.5%	27.3%	15.9%	33.8%	5.2%	2.7%	61.5M	-1.28B	-6.9M	1.08	54.95	51,860	56,130	799,210	1,089,800
2020-10-19	$37.68	$37.00	35.8%	10.1%	24.6%	19.8%	35.1%	5.6%	-3.2%	18.5M	-914.9M	-7.1M	0.77	41.45	52,960	40,900	665,180	973,420
2020-10-20	$37.82	$37.00	34.2%	9.8%	22.2%	17.8%	34.8%	5.3%	-0.6%	20.9M	-951.7M	-7.1M	0.83	43.11	27,780	23,050	687,720	995,510
2020-10-21	$37.28	$37.25	34.8%	10.0%	20.8%	18.5%	33.7%	5.1%	-1.8%	15.2M	-815.3M	-7.2M	0.93	43.67	33,870	31,460	699,040	1,006,630
2020-10-22	$37.41	$37.25	33.6%	9.6%	20.8%	17.0%	33.5%	5.7%	0.2%	17.4M	-842.2M	-7.2M	1.01	45.05	35,430	35,840	708,630	1,019,350
2020-10-23	$37.25	$37.25	33.3%	9.6%	20.8%	16.6%	33.1%	5.9%	-0.2%	17.9M	-814.4M	-7.2M	0.91	44.64	29,930	27,230	723,990	1,033,290
2020-10-26	$36.11	$37.00	36.4%	10.8%	21.1%	20.6%	36.1%	5.0%	0.2%	2.8M	-529.2M	-7.4M	0.55	47.19	53,560	29,330	692,190	1,013,620
2020-10-27	$36.12	$37.00	35.3%	10.9%	21.0%	19.2%	37.4%	6.8%	0.6%	3.0M	-532.5M	-7.4M	0.96	47.01	20,650	19,780	713,780	1,025,970
2020-10-28	$34.95	$37.00	40.6%	12.5%	23.9%	26.1%	42.8%	7.2%	-0.8%	-5.4M	-239.5M	-7.6M	1.11	49.90	36,020	40,080	723,240	1,033,480
2020-10-29	$35.68	$37.00	37.1%	11.4%	24.8%	21.6%	40.6%	8.6%	-0.0%	-247.6K	-442.4M	-7.6M	0.69	50.98	41,600	28,570	739,300	1,044,150
2020-10-30	$34.80	$37.00	39.7%	12.3%	24.8%	24.9%	42.8%	8.6%	0.7%	-8.4M	-167.4M	-7.5M	1.44	58.15	27,740	39,830	748,910	1,052,400