AVGO Options History — November 2020

In November 2020, AVGO traded between $34.92 and $39.95. ATM implied volatility averaged 36.3%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 4.6% (HV 20d: 31.7%). Max pain ranged from $34.00 to $37.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2020-11-03: Highest Volume — 104,370 contracts
  • 2020-11-10: Largest IV spike — 10.2% change
  • 2020-11-02: Highest IV Rank — 25.1%
  • 2020-11-02: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.85$34.92$39.95$34.92$39.95
Max Pain$35.08$34.00$37.00$37.00$35.00
ATM IV36.3%30.1%39.9%39.9%36.8%
Expected Move10.9%9.7%12.5%12.5%11.9%
HV 20d31.7%23.3%35.9%23.3%27.9%
HV 60d31.6%28.4%32.9%29.6%28.4%
IV Rank20.5%12.5%25.1%25.1%21.2%
IV Percentile50.5%16.7%68.7%68.7%50.0%
Term Structure0.2%-3.3%6.4%4.0%-0.8%
VWIV38.5%33.7%42.4%42.4%41.0%
Skew 25d5.1%2.6%9.2%8.4%5.1%
Skew 10d10.6%2.2%20.3%20.3%9.2%
Call IV 25d34.0%27.6%37.3%35.4%35.0%
Put IV 25d39.1%31.6%43.8%43.8%40.2%
Bid-Ask Spread %68.5350.8279.3550.8258.06
Gamma HHI0.100.040.150.040.07
Net GEX29.7M239.9K43.7M239.9K27.4M
Net DEX-1.08B-1.43B-277.0M-277.0M-1.43B
Net VEX-6.6M-7.4M-5.9M-7.4M-5.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.281.810.970.46
Total Volume67,04638,070104,37055,03087,330
Total OI1,830,2411,725,1901,954,8701,725,1901,774,720

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$34.92$37.0039.9%12.5%23.3%25.1%42.4%8.4%4.0%239.9K-277.0M-7.4M0.9750.8227,92027,110702,2501,022,940
2020-11-03$35.50$37.0037.2%11.3%24.2%21.6%35.8%9.2%2.2%2.6M-403.9M-7.3M0.2852.8681,52022,850702,2501,022,940
2020-11-04$36.50$36.5033.7%9.7%26.2%17.1%33.7%7.8%3.0%22.9M-752.2M-7.1M0.4754.9540,75019,000763,4901,037,140
2020-11-05$38.00$34.0031.4%11.0%29.3%14.3%39.5%5.2%6.4%40.3M-1.24B-6.9M0.8277.5052,19042,750775,6001,042,070
2020-11-06$38.23$34.0030.1%9.9%29.3%12.5%34.7%3.7%3.7%43.7M-1.35B-6.5M0.6779.3530,04020,230791,7001,059,990
2020-11-09$38.06$34.0032.4%10.1%28.7%15.5%36.8%4.1%2.6%38.5M-1.23B-6.6M1.3773.8133,59046,030770,9701,033,910
2020-11-10$36.36$34.0035.7%10.9%32.8%19.7%38.4%7.7%2.5%20.4M-671.1M-6.9M1.0375.9846,04047,360774,5201,045,830
2020-11-11$37.55$35.0038.2%10.3%35.1%22.9%36.9%2.6%-1.9%34.6M-1.05B-6.7M1.0276.7824,38024,760782,9201,069,310
2020-11-12$37.00$35.0039.1%11.1%35.4%24.1%39.2%3.0%-1.3%27.3M-841.3M-6.8M1.5775.4514,84023,230789,3701,080,780
2020-11-13$37.45$35.0036.1%10.6%35.7%20.3%37.0%4.3%0.2%30.1M-1.01B-6.7M1.0176.3022,90023,230791,7801,089,810
2020-11-16$37.94$35.0037.7%10.8%35.9%22.3%38.9%5.6%-0.1%39.8M-1.16B-6.7M1.2476.0824,43030,270774,9401,073,660
2020-11-17$37.98$35.0038.2%10.9%35.8%22.9%38.5%5.2%-1.1%43.6M-1.21B-6.4M1.8173.5620,75037,550787,4401,089,720
2020-11-18$38.23$35.0037.6%10.8%35.5%22.2%38.4%4.2%-2.5%41.6M-1.25B-6.7M1.0076.0234,41034,560796,9901,110,380
2020-11-19$38.38$35.0036.7%10.7%35.5%21.0%38.5%4.5%-3.3%37.6M-1.32B-6.5M0.8676.0537,25031,970804,1101,130,890
2020-11-20$38.61$35.0037.5%10.9%35.5%22.1%40.2%4.8%0.2%36.6M-1.42B-6.2M0.5375.6758,43031,150808,9001,145,970
2020-11-23$38.69$35.0037.2%10.9%33.3%21.7%38.8%4.1%-2.9%13.8M-1.11B-6.2M0.7759.8240,04030,970668,4301,077,860
2020-11-24$39.09$35.0037.0%11.0%33.3%21.4%38.5%3.4%-2.7%24.1M-1.26B-6.1M0.6658.7537,93025,010687,8301,093,550
2020-11-25$39.09$35.0037.5%11.1%30.5%22.1%41.3%3.8%-2.6%29.5M-1.27B-6.1M1.2460.8629,40036,570701,1701,098,860
2020-11-27$39.50$35.0035.9%11.4%30.0%20.0%41.6%5.3%-1.1%38.9M-1.36B-6.2M0.5661.9527,03015,150713,3101,116,520
2020-11-30$39.95$35.0036.8%11.9%27.9%21.2%41.0%5.1%-0.8%27.4M-1.43B-5.9M0.4658.0660,02027,310694,6101,080,110