AVGO Options History — December 2020

In December 2020, AVGO traded between $40.12 and $43.70. ATM implied volatility averaged 30.9%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 9.5% (HV 20d: 21.3%). Max pain ranged from $32.00 to $40.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.81.

Notable Days

2020-12-17: Highest Volume — 1,288,450 contracts
2020-12-11: Largest IV drop — 12.7% change
2020-12-01: Highest IV Rank — 20.6%
2020-12-01: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.09	$40.12	$43.70	$40.35	$43.70
Max Pain	$36.41	$32.00	$40.00	$35.00	$40.00
ATM IV	30.9%	27.6%	36.3%	36.3%	29.1%
Expected Move	8.9%	7.7%	12.2%	12.2%	7.7%
HV 20d	21.3%	17.5%	27.9%	27.9%	20.9%
HV 60d	26.3%	24.6%	27.7%	27.6%	24.6%
IV Rank	13.0%	7.5%	20.6%	20.6%	8.8%
IV Percentile	22.3%	10.3%	47.2%	47.2%	12.7%
Term Structure	-0.1%	-3.0%	1.8%	-2.0%	0.1%
VWIV	32.3%	28.2%	43.4%	43.2%	28.3%
Skew 25d	3.6%	1.6%	6.2%	4.3%	3.8%
Skew 10d	7.5%	3.1%	16.9%	8.8%	9.6%
Call IV 25d	29.9%	26.2%	35.4%	35.0%	27.4%
Put IV 25d	33.5%	29.4%	40.2%	39.3%	31.2%
Bid-Ask Spread %	61.92	38.32	70.23	57.44	38.32
Gamma HHI	0.11	0.07	0.27	0.07	0.09
Net GEX	32.6M	-23.8M	57.6M	35.3M	40.8M
Net DEX	-1.39B	-2.01B	-783.0M	-1.58B	-1.04B
Net VEX	-5.7M	-6.1M	-5.4M	-5.7M	-5.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.04	1.47	0.47	1.02
Total Volume	173,807.273	32,520	1,288,450	87,980	50,500
Total OI	1,836,400.909	1,532,710	2,233,860	1,817,100	1,639,310

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
2020-12-01	$40.35	$35.00	36.3%	12.2%	27.9%	20.6%	43.2%	4.3%	-2.0%	35.3M	-1.58B	-5.7M	0.47	57.44	59,950	28,030	729,670	1,087,430
2020-12-02	$40.36	$35.00	36.0%	11.7%	27.7%	20.1%	43.4%	4.8%	-0.5%	37.4M	-1.57B	-6.1M	0.48	58.59	33,890	16,130	749,040	1,098,690
2020-12-03	$40.12	$32.00	34.5%	10.0%	26.9%	18.2%	35.3%	4.6%	-2.8%	38.2M	-1.53B	-5.9M	0.48	68.67	50,110	24,040	763,950	1,104,760
2020-12-04	$41.11	$32.00	35.4%	9.9%	24.6%	19.4%	35.2%	4.0%	-3.0%	48.3M	-1.84B	-5.6M	0.61	60.88	69,730	42,540	778,960	1,117,160
2020-12-07	$41.99	$32.00	34.5%	9.9%	25.3%	18.2%	35.9%	4.8%	-0.7%	38.6M	-1.96B	-5.4M	1.44	63.43	95,390	137,590	761,720	1,109,660
2020-12-08	$42.38	$34.00	34.5%	9.8%	25.1%	18.2%	35.2%	2.3%	-0.1%	32.9M	-2.01B	-5.6M	0.99	59.19	65,670	65,240	792,930	1,201,730
2020-12-09	$41.58	$34.00	34.9%	9.9%	19.0%	18.8%	35.3%	3.2%	-1.2%	26.6M	-1.76B	-6.0M	1.15	67.60	69,160	79,350	817,490	1,238,470
2020-12-10	$41.10	$34.00	32.1%	9.5%	17.6%	15.2%	34.0%	1.6%	1.8%	15.5M	-1.54B	-6.1M	0.75	70.01	165,640	123,600	824,810	1,273,660
2020-12-11	$40.51	$34.00	28.1%	8.6%	17.5%	10.0%	30.7%	3.1%	1.8%	-23.8M	-1.30B	-5.8M	0.94	62.70	159,000	148,990	892,670	1,341,190
2020-12-14	$41.21	$34.00	29.4%	8.5%	17.9%	11.7%	30.8%	3.2%	-0.8%	29.2M	-1.57B	-5.6M	1.10	69.52	84,000	92,540	795,080	1,213,590
2020-12-15	$41.75	$35.00	27.8%	8.0%	17.9%	9.7%	28.9%	2.7%	0.4%	36.7M	-1.73B	-5.6M	0.54	70.04	57,070	30,620	811,570	1,244,570
2020-12-16	$42.67	$35.00	28.2%	8.1%	18.8%	10.1%	29.4%	3.0%	-0.1%	52.7M	-1.99B	-5.5M	0.52	70.16	106,040	54,990	819,090	1,251,600
2020-12-17	$42.60	$35.00	27.6%	7.9%	19.0%	9.4%	28.2%	2.7%	0.3%	57.6M	-2.00B	-5.4M	0.04	65.93	1,240,650	47,800	825,300	1,256,340
2020-12-18	$43.20	$40.00	28.7%	8.2%	19.3%	10.8%	30.4%	3.2%	-0.2%	48.9M	-1.02B	-5.7M	0.55	70.23	90,110	49,450	567,060	1,262,280
2020-12-21	$42.80	$40.00	30.1%	8.4%	20.0%	12.6%	30.6%	3.9%	0.5%	21.9M	-809.7M	-5.8M	1.14	61.71	47,790	54,700	483,030	1,049,680
2020-12-22	$43.23	$40.00	29.2%	8.3%	20.0%	11.5%	29.8%	6.2%	-0.1%	30.3M	-933.5M	-5.7M	1.17	54.34	28,010	32,900	500,940	1,067,230
2020-12-23	$42.75	$40.00	28.4%	7.8%	20.8%	9.4%	29.0%	3.5%	0.8%	23.0M	-783.0M	-5.8M	0.67	58.63	34,530	23,090	504,260	1,082,000
2020-12-24	$43.04	$40.00	27.6%	7.8%	20.7%	7.5%	29.0%	4.3%	0.6%	37.7M	-892.8M	-5.8M	0.91	62.88	17,030	15,490	517,290	1,091,280
2020-12-28	$43.20	$40.00	28.1%	7.9%	20.6%	7.7%	28.8%	4.2%	1.3%	27.7M	-902.1M	-5.4M	0.78	58.26	49,350	38,550	478,270	1,064,770
2020-12-29	$42.92	$40.00	29.2%	8.1%	20.8%	9.2%	29.8%	4.0%	0.5%	24.5M	-838.5M	-5.6M	1.47	58.61	23,950	35,130	505,860	1,084,300
2020-12-30	$43.50	$40.00	29.2%	7.9%	21.0%	9.1%	28.8%	2.8%	0.6%	36.3M	-995.1M	-5.4M	0.65	55.04	51,870	33,550	508,900	1,093,230
2020-12-31	$43.70	$40.00	29.1%	7.7%	20.9%	8.8%	28.3%	3.8%	0.1%	40.8M	-1.04B	-5.6M	1.02	38.32	25,020	25,480	528,970	1,110,340