AVGO Options History — September 2021

In September 2021, AVGO traded between $48.60 and $50.93. ATM implied volatility averaged 23.6%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 7.6% (HV 20d: 16.0%). Max pain ranged from $47.00 to $49.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2021-09-03: Highest Volume — 512,420 contracts
  • 2021-09-03: Largest IV drop — 21.5% change
  • 2021-09-30: Highest IV Rank — 26.7%
  • 2021-09-01: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.79$48.60$50.93$49.37$48.60
Max Pain$48.24$47.00$49.00$48.00$49.00
ATM IV23.6%20.5%27.7%26.3%26.1%
Expected Move6.7%5.8%8.0%8.0%7.5%
HV 20d16.0%13.7%18.6%14.3%18.6%
HV 60d16.4%15.6%17.3%15.9%17.2%
IV Rank10.7%0.0%26.7%16.1%26.7%
IV Percentile10.6%0.0%30.6%21.0%27.0%
Term Structure0.0%-1.2%1.4%0.6%-1.2%
VWIV24.4%21.1%28.5%28.5%25.8%
Skew 25d4.2%2.2%8.2%3.0%6.3%
Skew 10d8.1%0.3%16.3%0.3%12.8%
Call IV 25d22.4%19.1%26.6%25.9%23.5%
Put IV 25d26.5%23.3%32.7%28.9%29.7%
Bid-Ask Spread %47.2340.0755.5044.5448.83
Gamma HHI0.080.040.210.060.05
Net GEX25.8M-13.2M97.2M11.4M-13.2M
Net DEX-663.0M-1.19B-69.8M-617.8M-69.8M
Net VEX-10.1M-11.8M-9.0M-9.8M-11.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.331.680.720.67
Total Volume154,494.28666,070512,420134,88071,280
Total OI1,840,116.191,653,2902,035,2401,791,7901,863,060

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$49.37$48.0026.3%8.0%14.3%16.1%28.5%3.0%0.6%11.4M-617.8M-9.8M0.7244.5478,42056,460645,0101,146,780
2021-09-02$49.12$47.0027.7%7.3%14.3%21.1%26.5%4.2%-1.0%3.0M-540.0M-9.6M0.9255.05172,120157,980650,9501,170,050
2021-09-03$49.84$47.0021.8%6.2%15.1%0.5%22.5%3.2%-0.3%34.0M-816.9M-9.1M0.6044.02320,790191,630660,6801,196,350
2021-09-07$49.64$48.0021.4%6.1%15.2%0.0%22.9%2.2%-0.0%28.9M-724.3M-9.0M0.7243.4479,04057,090642,6801,156,700
2021-09-08$49.41$48.0022.3%6.4%15.1%4.3%23.3%2.7%0.3%14.3M-584.4M-9.2M0.8248.5862,59051,440664,4701,186,290
2021-09-09$49.53$48.0022.2%6.2%15.1%3.9%22.9%2.7%-1.2%17.2M-640.1M-9.2M1.2140.0756,26067,850679,1901,212,010
2021-09-10$49.89$48.0022.8%6.6%15.3%6.7%24.1%2.3%0.2%49.9M-783.9M-9.5M0.5954.8294,61055,380684,7301,227,160
2021-09-13$49.76$48.0022.9%6.6%15.4%7.2%23.5%3.5%0.3%14.6M-694.6M-9.4M0.6352.8257,84036,650668,4401,221,690
2021-09-14$50.06$48.0023.2%6.6%15.4%8.7%23.6%3.8%0.3%25.6M-821.9M-9.2M0.7548.6762,69047,000680,7601,237,630
2021-09-15$50.93$48.0022.2%6.4%14.6%3.7%22.8%3.2%1.4%58.3M-1.19B-9.1M0.6955.50130,32090,400696,7001,252,560
2021-09-16$50.72$48.0022.1%6.3%13.7%3.0%22.7%3.0%0.0%65.3M-1.17B-9.3M0.5640.5062,95035,100714,7601,265,410
2021-09-17$50.48$48.0023.0%6.6%14.0%7.8%23.4%3.9%0.7%35.7M-1.05B-9.9M0.4146.1288,90036,740754,7201,280,520
2021-09-20$49.16$48.0026.8%7.8%17.5%26.7%27.7%8.2%0.3%-9.9M-312.0M-10.6M0.3343.04236,24078,960621,3101,031,980
2021-09-21$49.20$48.0025.7%7.3%16.4%21.1%28.5%6.4%-0.0%-7.5M-366.0M-10.9M1.2648.0153,85067,610642,4501,041,240
2021-09-22$50.22$49.0024.3%6.6%17.7%14.5%24.0%4.9%-0.4%14.2M-599.2M-11.2M0.7148.9186,34061,070650,4001,077,200
2021-09-23$50.46$49.0021.8%6.0%17.6%1.5%21.8%3.5%0.7%45.7M-806.1M-10.8M1.2044.7358,09069,570671,1201,115,240
2021-09-24$50.47$49.0020.5%5.8%17.6%0.0%23.2%4.2%-0.6%97.2M-817.3M-11.1M1.6843.6229,10048,880696,2901,137,250
2021-09-27$50.53$49.0021.2%5.8%16.2%3.3%21.1%4.4%0.4%44.4M-785.5M-11.2M0.9745.1233,51032,560674,0701,095,780
2021-09-28$49.24$49.0025.6%7.3%18.6%24.3%25.7%5.6%1.0%11.4M-312.6M-11.8M1.2449.2443,95054,360687,2401,112,220
2021-09-29$49.03$49.0025.5%7.4%18.6%23.8%27.2%5.9%-0.7%916.9K-220.5M-11.7M1.2846.1130,14038,620700,3301,129,020
2021-09-30$48.60$49.0026.1%7.5%18.6%26.7%25.8%6.3%-1.2%-13.2M-69.8M-11.5M0.6748.8342,56028,720704,2901,158,770