AVGO Options History — March 2021

In March 2021, AVGO traded between $42.77 and $48.85. ATM implied volatility averaged 32.6%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 10.8% (HV 20d: 43.5%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.80.

Notable Days

2021-03-18: Highest Volume — 486,860 contracts
2021-03-05: Largest IV drop — 16.5% change
2021-03-04: Highest IV Rank — 17.8%
2021-03-03: Largest Expected Move — 12.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.26	$42.77	$48.85	$48.85	$46.52
Max Pain	$44.26	$43.00	$45.00	$43.00	$45.00
ATM IV	32.6%	28.1%	40.2%	39.0%	28.1%
Expected Move	9.4%	8.0%	12.3%	11.3%	8.3%
HV 20d	43.5%	30.4%	49.9%	32.2%	46.2%
HV 60d	32.9%	27.1%	36.5%	27.1%	36.2%
IV Rank	7.7%	1.1%	17.8%	16.1%	1.1%
IV Percentile	25.3%	3.2%	72.2%	66.3%	3.2%
Term Structure	-0.0%	-2.0%	2.4%	-2.0%	-0.7%
VWIV	33.3%	28.9%	44.7%	39.2%	29.8%
Skew 25d	4.6%	0.5%	13.7%	5.9%	0.5%
Skew 10d	9.0%	4.9%	22.8%	9.7%	6.8%
Call IV 25d	30.8%	22.8%	36.3%	35.4%	27.2%
Put IV 25d	35.5%	27.7%	46.6%	41.2%	27.7%
Bid-Ask Spread %	56.53	46.81	63.16	50.71	54.13
Gamma HHI	0.05	0.04	0.10	0.06	0.05
Net GEX	11.6M	-16.9M	57.6M	11.2M	15.9M
Net DEX	-631.8M	-1.43B	69.7M	-1.14B	-634.6M
Net VEX	-7.6M	-8.3M	-6.8M	-7.5M	-8.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.09	1.34	0.80	0.53
Total Volume	122,433.913	52,000	486,860	111,280	60,140
Total OI	1,507,806.522	1,299,280	1,639,720	1,471,250	1,493,370

Daily Data (23 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
2021-03-01	$48.85	$43.00	39.0%	11.3%	32.2%	16.1%	39.2%	5.9%	-2.0%	11.2M	-1.14B	-7.5M	0.80	50.71	61,730	49,550	595,160	876,090
2021-03-02	$48.25	$43.00	37.7%	11.7%	30.4%	14.3%	42.3%	5.6%	2.1%	8.9M	-991.8M	-7.7M	0.92	52.15	38,160	35,160	617,850	896,990
2021-03-03	$46.63	$43.00	37.6%	12.3%	32.3%	14.1%	44.7%	7.7%	-0.4%	-3.2M	-606.5M	-7.6M	0.91	56.71	67,990	61,940	633,550	911,970
2021-03-04	$44.50	$44.00	40.2%	10.8%	35.5%	17.8%	38.6%	13.7%	-1.0%	-16.9M	-60.8M	-7.8M	0.85	63.01	109,110	92,750	654,880	928,890
2021-03-05	$45.03	$44.00	33.6%	9.3%	35.8%	8.5%	33.4%	5.1%	-1.3%	-14.8M	-154.1M	-7.2M	0.86	54.50	129,940	111,860	682,270	957,450
2021-03-08	$42.77	$44.00	35.7%	10.0%	39.8%	11.4%	35.3%	6.1%	-0.2%	-10.8M	69.7M	-7.2M	0.76	59.24	65,890	50,180	620,630	864,440
2021-03-09	$44.49	$44.00	32.9%	9.4%	42.6%	7.4%	33.4%	5.6%	-1.0%	-1.1M	-319.5M	-7.2M	0.68	61.87	48,820	33,030	647,280	883,360
2021-03-10	$43.87	$44.00	34.3%	9.3%	42.5%	9.4%	32.6%	5.4%	-0.9%	-4.1M	-183.0M	-7.3M	0.52	61.12	40,380	20,860	662,030	893,870
2021-03-11	$45.47	$44.00	31.2%	9.0%	44.7%	5.1%	32.0%	1.9%	0.3%	13.7M	-588.1M	-7.2M	0.97	54.69	66,400	64,180	673,730	903,080
2021-03-12	$45.09	$44.00	32.0%	9.1%	44.3%	6.2%	32.5%	2.6%	-0.3%	8.3M	-485.1M	-7.2M	1.00	59.64	41,020	40,940	685,600	926,890
2021-03-15	$47.02	$44.00	31.6%	9.1%	46.5%	5.7%	32.5%	2.6%	0.0%	23.1M	-1.02B	-7.1M	0.69	57.60	67,110	46,300	651,730	880,600
2021-03-16	$47.87	$44.00	30.3%	8.7%	47.0%	3.9%	31.1%	2.6%	0.5%	35.8M	-1.28B	-6.8M	0.53	60.41	90,880	48,100	670,090	892,460
2021-03-17	$48.34	$44.00	30.3%	8.7%	47.0%	3.8%	30.4%	2.4%	-0.5%	57.6M	-1.43B	-7.0M	0.82	62.69	44,230	36,490	703,390	905,980
2021-03-18	$46.64	$44.00	32.6%	9.3%	48.7%	7.1%	32.9%	3.3%	0.1%	28.6M	-907.5M	-7.4M	0.09	59.77	446,780	40,080	712,690	920,280
2021-03-19	$45.96	$45.00	30.6%	8.8%	48.6%	5.5%	31.4%	3.3%	0.1%	15.0M	-401.8M	-7.8M	0.88	63.16	59,180	51,930	670,480	938,160
2021-03-22	$47.51	$45.00	28.5%	8.0%	49.3%	1.7%	29.7%	9.2%	1.3%	22.7M	-814.8M	-7.6M	1.04	46.81	38,040	39,610	515,400	783,880
2021-03-23	$46.39	$45.00	29.0%	8.2%	49.9%	2.8%	28.9%	0.9%	-0.6%	11.5M	-574.1M	-7.8M	1.06	52.12	47,320	50,190	532,740	799,930
2021-03-24	$45.99	$45.00	30.6%	8.5%	49.7%	5.9%	30.3%	4.6%	-0.7%	6.2M	-472.7M	-7.8M	1.34	56.30	22,240	29,760	563,440	830,620
2021-03-25	$46.30	$45.00	30.5%	8.5%	47.3%	5.8%	31.0%	2.0%	0.0%	7.2M	-524.7M	-8.0M	0.89	54.31	38,160	33,790	571,470	845,600
2021-03-26	$47.60	$45.00	33.2%	9.1%	46.7%	11.1%	31.4%	4.4%	2.4%	31.7M	-882.3M	-8.2M	0.60	53.65	65,300	38,980	584,570	856,500
2021-03-29	$47.25	$45.00	30.2%	8.9%	45.5%	5.2%	32.0%	6.5%	1.7%	20.0M	-753.6M	-8.1M	0.87	53.04	36,420	31,560	565,950	838,700
2021-03-30	$45.58	$45.00	30.6%	8.8%	47.0%	6.4%	31.0%	4.4%	1.1%	-632.6K	-380.3M	-8.2M	0.71	52.55	72,390	51,110	581,960	853,550
2021-03-31	$46.52	$45.00	28.1%	8.3%	46.2%	1.1%	29.8%	0.5%	-0.7%	15.9M	-634.6M	-8.3M	0.53	54.13	39,280	20,860	609,180	884,190