AVGO Options History — September 2023

In September 2023, AVGO traded between $81.21 and $87.46. ATM implied volatility averaged 28.1%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 6.5% (HV 20d: 34.7%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.07.

Notable Days

  • 2023-09-01: Highest Volume — 1,513,780 contracts
  • 2023-09-21: Largest IV spike — 10.7% change
  • 2023-09-26: Highest IV Rank — 25.6%
  • 2023-09-26: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.51$81.21$87.46$87.46$82.99
Max Pain$83.65$80.00$85.00$80.00$84.00
ATM IV28.1%25.4%31.8%27.1%29.9%
Expected Move8.1%7.3%9.2%7.4%8.6%
HV 20d34.7%28.4%39.3%39.3%28.4%
HV 60d29.5%28.6%31.6%31.6%29.5%
IV Rank14.9%7.0%25.6%11.8%20.0%
IV Percentile26.6%5.2%60.3%15.1%44.0%
Term Structure0.2%-0.2%0.8%0.1%0.8%
VWIV28.6%25.9%32.2%26.3%29.9%
Skew 25d2.7%1.4%3.9%1.4%3.7%
Skew 10d5.6%2.8%8.1%2.8%7.1%
Call IV 25d27.1%24.7%30.2%26.7%28.1%
Put IV 25d29.8%26.7%34.0%28.1%31.8%
Bid-Ask Spread %47.2041.1854.2252.2846.22
Gamma HHI0.050.030.190.190.04
Net GEX-40.8M-128.6M134.3M-110.5M-40.6M
Net DEX-1.93B-4.04B23.9M-3.03B-1.38B
Net VEX-20.0M-21.0M-19.4M-19.4M-20.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.271.611.100.83
Total Volume425,218212,0301,513,7801,513,780291,000
Total OI2,667,720.52,267,9003,148,3903,148,3902,532,710

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$87.46$80.0027.1%7.4%39.3%11.8%26.3%1.4%0.1%-110.5M-3.03B-19.4M1.1052.28721,380792,4001,483,4601,664,930
2023-09-05$87.34$82.0027.1%7.9%38.7%11.9%27.9%1.6%0.2%-4.4M-3.24B-20.0M1.1246.03223,470250,9201,274,0701,498,110
2023-09-06$87.05$82.0027.1%7.9%38.5%11.8%28.9%1.8%0.3%-18.4M-3.21B-20.5M0.9245.35170,160156,4801,350,2601,576,140
2023-09-07$85.84$82.0028.2%8.1%36.5%15.1%28.7%2.6%0.2%-109.4M-2.34B-21.0M1.0249.70262,760268,2801,400,5201,609,590
2023-09-08$85.54$84.0026.9%7.8%36.3%11.4%27.7%2.4%0.2%-42.3M-2.34B-20.3M1.0452.08143,110149,1801,430,8201,649,580
2023-09-11$85.91$84.0027.0%7.8%35.9%11.6%27.7%2.6%0.1%-19.4M-2.71B-20.1M0.9654.22144,700139,3401,242,5401,494,370
2023-09-12$84.50$84.0027.4%8.0%35.5%12.7%28.0%2.6%0.4%-67.5M-1.98B-19.7M0.7452.22138,190102,4001,287,2201,536,180
2023-09-13$85.26$84.0026.5%7.7%35.4%10.0%27.3%2.5%0.3%5.7M-2.70B-19.8M1.1552.83138,580159,3501,339,1901,546,390
2023-09-14$87.14$84.0025.4%7.3%36.1%7.0%26.2%2.0%0.3%134.3M-4.04B-19.9M0.7851.86242,450190,0801,392,1001,571,820
2023-09-15$84.92$84.0026.6%7.7%37.3%10.4%27.3%2.4%0.5%-128.6M-2.16B-19.6M0.9853.20234,930229,1301,400,9101,608,810
2023-09-18$84.72$84.0026.9%7.7%37.3%11.3%27.7%2.5%0.3%-9.4M-1.74B-19.6M0.8741.18119,510104,4901,024,8401,243,060
2023-09-19$84.98$84.0026.7%7.7%33.4%10.7%25.9%2.5%0.1%-6.4M-1.85B-19.6M0.2741.55383,750102,8301,038,2501,279,520
2023-09-20$83.24$85.0027.5%7.9%33.7%13.0%26.3%2.7%0.0%-55.8M-882.9M-19.6M1.6144.2493,120150,1401,034,4601,312,420
2023-09-21$81.21$85.0030.4%8.7%32.6%21.5%30.0%3.4%-0.2%-125.5M23.9M-19.8M1.6041.19343,820550,9301,065,4801,331,970
2023-09-22$82.82$85.0029.0%8.3%32.5%17.4%29.3%3.5%-0.1%-55.3M-1.09B-20.3M1.3243.76223,950295,9601,142,8101,415,380
2023-09-25$82.99$84.0030.1%8.7%32.5%20.6%31.2%3.5%0.1%-35.9M-1.20B-20.2M1.5645.5082,700129,3301,007,5201,294,920
2023-09-26$81.45$84.0031.8%9.2%33.0%25.6%32.2%3.8%0.0%-75.6M-505.3M-20.3M1.2142.04111,700135,4401,035,6701,333,660
2023-09-27$81.57$84.0031.1%9.1%29.7%23.7%31.7%3.9%0.5%-63.4M-648.4M-20.2M1.3543.99112,640151,9801,084,9801,340,890
2023-09-28$83.27$84.0030.3%8.6%30.9%21.1%30.8%3.5%0.3%12.9M-1.51B-20.3M0.8644.49141,760122,0201,113,2301,365,630
2023-09-29$82.99$84.0029.9%8.6%28.4%20.0%29.9%3.7%0.8%-40.6M-1.38B-20.1M0.8346.22158,670132,3301,148,1101,384,600