AAPL Options History — July 2013 In July 2013, AAPL traded between $14.61 and $16.19. ATM implied volatility averaged 27.8%, placing in the 45.9% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 4.9% (HV 20d: 23.0%). Max pain ranged from $14.11 to $15.89. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.66.
Notable Days 2013-07-24 : Highest Volume — 20,211,100 contracts2013-07-24 : Largest IV drop — 25.5% change2013-07-09 : Highest IV Rank — 63.1%2013-07-09 : Largest Expected Move — 9.5%Monthly Statistics Metric Avg Min Max Open Close Price $15.33 $14.61 $16.19 $14.61 $16.16 Max Pain $14.97 $14.11 $15.89 $14.11 $15.89 ATM IV 27.8% 21.1% 33.0% 32.0% 21.9% Expected Move 8.0% 6.0% 9.5% 9.0% 6.3% HV 20d 23.0% 20.0% 26.3% 20.3% 22.9% HV 60d 24.0% 22.0% 26.7% 26.3% 22.4% IV Rank 45.9% 23.7% 63.1% 59.7% 26.2% IV Percentile 42.5% 4.4% 70.6% 67.9% 5.6% Term Structure -2.0% -3.9% 0.1% -2.0% -0.3% VWIV 27.9% 21.4% 33.0% 31.8% 22.0% Skew 25d 1.9% 0.4% 2.8% 2.3% 0.8% Skew 10d 3.2% 0.5% 5.0% 4.1% 0.7% Call IV 25d 26.9% 20.9% 31.7% 30.7% 21.7% Put IV 25d 28.8% 21.7% 34.5% 33.0% 22.5% Bid-Ask Spread % 11.51 5.84 23.64 6.59 15.19 Gamma HHI 0.08 0.03 0.50 0.03 0.08 Net GEX 384.9M -975.6M 804.3M 142.8M 765.2M Net DEX 3.74B -5.76B 10.42B 10.42B -4.89B Net VEX -137.4M -148.7M -125.1M -134.9M -148.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.66 0.54 0.76 0.64 0.66 Total Volume 10,237,548.364 5,774,300 20,211,100 11,664,128 10,832,108 Total OI 72,879,632 62,737,584 77,608,636 71,809,976 71,182,356
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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2013-07-01 $14.61 $14.11 32.0% 9.0% 20.3% 59.7% 31.8% 2.3% -2.0% 142.8M 10.42B -134.9M 0.64 6.59 N/A N/A 7,107,072 4,557,056 44,004,492 27,805,484 2013-07-02 $14.95 $14.11 30.9% 8.8% 22.5% 56.1% 30.8% 2.1% -1.9% 378.5M 6.68B -142.8M 0.66 9.33 N/A N/A 8,626,408 5,670,000 45,439,520 28,631,120 2013-07-03 $15.03 $14.29 30.7% 8.8% 22.6% 55.3% 30.8% 2.2% -2.0% 424.1M 6.02B -143.4M 0.67 6.53 N/A N/A 4,330,984 2,891,812 46,227,916 29,449,924 2013-07-05 $14.91 $14.29 31.2% 8.9% 22.3% 57.1% 31.2% 2.4% -2.3% 181.0M 8.23B -137.5M 0.74 5.84 N/A N/A 6,101,592 4,513,964 46,302,452 29,703,156 2013-07-08 $14.82 $14.29 31.9% 9.1% 22.0% 59.3% 32.0% 2.5% -3.1% 129.3M 9.81B -130.9M 0.66 8.42 N/A N/A 4,762,912 3,148,544 44,756,096 28,052,444 2013-07-09 $15.08 $14.29 33.0% 9.5% 23.1% 63.1% 33.0% 2.8% -3.5% 381.9M 6.42B -138.9M 0.67 8.35 N/A N/A 7,041,384 4,729,648 45,751,720 28,460,404 2013-07-10 $15.03 $14.64 32.3% 9.3% 23.1% 60.9% 32.5% 2.5% -3.5% 364.0M 7.36B -135.8M 0.67 14.51 N/A N/A 4,942,728 3,298,988 46,862,620 29,091,496 2013-07-11 $15.26 $0.00 30.2% 8.8% 23.5% 53.7% 30.6% 2.8% -2.4% 709.6M 3.95B -140.8M 0.69 6.65 N/A N/A 6,241,312 4,293,576 47,379,024 29,392,608 2013-07-12 $15.23 $14.64 29.6% 8.7% 23.3% 51.7% 30.4% 2.3% -2.2% 335.2M 4.80B -136.3M 0.70 20.05 N/A N/A 6,712,580 4,690,560 47,711,916 29,896,720 2013-07-15 $15.27 $15.18 29.8% 8.3% 22.8% 52.4% 28.8% 2.7% -3.5% 337.1M 5.28B -138.0M 0.64 10.06 N/A N/A 4,403,084 2,808,400 45,745,420 28,256,200 2013-07-16 $15.36 $15.18 28.5% 8.0% 22.9% 48.1% 28.2% 2.7% -3.2% 418.4M 4.42B -134.7M 0.54 13.31 N/A N/A 4,586,344 2,488,640 46,384,464 28,651,672 2013-07-17 $15.37 $15.18 27.7% 7.9% 22.9% 45.5% 27.6% 2.7% -3.3% 430.9M 4.46B -133.8M 0.66 10.52 N/A N/A 3,484,992 2,289,308 47,025,776 28,923,272 2013-07-18 $15.42 $15.18 27.2% 7.8% 21.6% 43.7% 27.1% 2.5% -0.9% 518.0M 3.69B -137.1M 0.61 10.70 N/A N/A 5,105,744 3,131,016 46,922,148 28,950,432 2013-07-19 $15.18 $15.18 28.5% 8.2% 21.7% 48.1% 28.6% 2.5% -1.0% -975.6M 7.35B -129.4M 0.71 11.64 N/A N/A 6,617,436 4,678,380 47,641,132 29,272,656 2013-07-22 $15.23 $15.18 28.4% 8.0% 21.5% 47.9% 28.0% 2.2% -3.1% 232.9M 4.72B -129.5M 0.66 7.40 N/A N/A 3,593,212 2,356,984 38,912,048 23,825,536 2013-07-23 $14.96 $15.18 29.4% 8.4% 20.0% 51.2% 29.1% 1.2% -3.9% 166.5M 6.88B -125.1M 0.67 14.20 N/A N/A 8,379,000 5,595,184 40,321,344 24,614,212 2013-07-24 $15.73 $15.00 21.9% 6.3% 26.3% 26.3% 22.0% 0.4% -0.3% 750.4M -2.03B -137.8M 0.66 10.45 N/A N/A 12,191,228 8,019,872 43,457,372 26,507,600 2013-07-25 $15.66 $15.71 21.9% 6.3% 25.8% 26.3% 22.3% 0.9% -0.0% 569.1M -326.3M -138.6M 0.61 11.05 N/A N/A 6,021,148 3,685,360 44,725,716 27,331,416 2013-07-26 $15.75 $15.71 21.1% 6.0% 25.2% 23.7% 21.4% 0.8% 0.1% 738.0M -1.91B -140.6M 0.76 23.64 N/A N/A 5,471,984 4,158,196 45,393,460 27,744,724 2013-07-29 $15.99 $15.36 22.2% 6.4% 25.4% 27.4% 22.5% 0.8% -0.5% 665.4M -3.24B -143.0M 0.66 15.43 N/A N/A 5,518,184 3,635,100 42,305,872 25,094,356 2013-07-30 $16.19 $15.89 21.9% 6.3% 23.7% 26.3% 22.3% 0.7% -0.2% 804.3M -5.76B -146.1M 0.62 13.45 N/A N/A 7,736,876 4,777,164 43,307,796 25,935,812 2013-07-31 $16.16 $15.89 21.9% 6.3% 22.9% 26.2% 22.0% 0.8% -0.3% 765.2M -4.89B -148.7M 0.66 15.19 N/A N/A 6,537,692 4,294,416 44,240,756 26,941,600
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