AAPL Options History — September 2013 In September 2013, AAPL traded between $16.08 and $18.08. ATM implied volatility averaged 29.1%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 1.2% (HV 20d: 30.3%). Max pain ranged from $16.07 to $17.68. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.58.
Notable Days 2013-09-11 : Highest Volume — 24,882,340 contracts2013-09-23 : Largest IV spike — 10.5% change2013-09-30 : Highest IV Rank — 55.3%2013-09-16 : Largest Expected Move — 9.3%Monthly Statistics Metric Avg Min Max Open Close Price $17.15 $16.08 $18.08 $17.45 $17.03 Max Pain $16.75 $16.07 $17.68 $17.50 $16.07 ATM IV 29.1% 25.7% 33.4% 29.8% 33.4% Expected Move 8.7% 7.3% 9.3% 8.5% 9.0% HV 20d 30.3% 25.2% 36.5% 25.5% 35.8% HV 60d 26.8% 23.8% 28.9% 23.8% 28.5% IV Rank 37.9% 22.9% 55.3% 44.6% 55.3% IV Percentile 47.9% 18.7% 73.4% 59.1% 73.4% Term Structure 0.2% -2.4% 5.4% -1.0% -1.6% VWIV 30.6% 25.8% 32.5% 30.1% 31.4% Skew 25d -0.2% -1.2% 0.4% 0.0% -1.2% Skew 10d -0.9% -2.5% 0.3% -0.6% -2.5% Call IV 25d 29.7% 25.8% 34.2% 30.2% 34.2% Put IV 25d 29.5% 26.2% 33.0% 30.2% 33.0% Bid-Ask Spread % 5.13 1.60 12.78 5.54 1.81 Gamma HHI 0.10 0.04 0.62 0.07 0.07 Net GEX 570.5M -2.07B 1.03B 650.5M 591.3M Net DEX -8.69B -20.84B 5.76B -11.73B -7.43B Net VEX -171.8M -184.3M -154.6M -176.4M -167.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.58 0.46 0.75 0.52 0.51 Total Volume 14,019,971 7,373,072 24,882,340 11,475,492 7,373,072 Total OI 79,601,890.2 73,946,432 85,615,348 73,946,432 74,936,456
Daily Data (20 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 2013-09-03 $17.45 $17.50 29.8% 8.5% 25.5% 44.6% 30.1% 0.0% -1.0% 650.5M -11.73B -176.4M 0.52 5.54 N/A N/A 7,543,144 3,932,348 46,856,908 27,089,524 2013-09-04 $17.81 $17.50 29.1% 8.3% 26.0% 42.0% 29.5% -0.3% -1.2% 1.03B -17.77B -182.7M 0.59 6.01 N/A N/A 7,346,920 4,300,436 48,040,776 27,739,264 2013-09-05 $17.69 $17.50 29.4% 8.4% 26.2% 43.2% 30.0% -0.5% -1.0% 803.5M -15.39B -181.0M 0.54 5.59 N/A N/A 5,612,236 3,037,636 48,813,324 28,514,192 2013-09-06 $17.79 $17.50 29.8% 8.5% 25.9% 40.2% 30.5% -0.5% -1.0% 991.8M -17.40B -184.3M 0.60 6.25 N/A N/A 8,856,932 5,320,616 49,631,372 28,905,632 2013-09-09 $18.08 $17.50 29.9% 8.6% 25.2% 40.7% 30.3% -0.6% -1.4% 979.8M -20.84B -181.9M 0.48 5.48 N/A N/A 7,691,516 3,698,520 47,562,648 27,327,608 2013-09-10 $17.67 $17.68 29.0% 8.3% 25.7% 37.0% 29.7% -0.8% -1.0% 752.4M -14.37B -178.1M 0.46 9.90 N/A N/A 14,953,288 6,917,428 48,933,024 28,326,284 2013-09-11 $16.70 $17.68 28.5% 8.2% 28.2% 34.6% 29.1% -0.4% -0.9% 152.9M 488.4M -164.9M 0.53 12.51 N/A N/A 16,247,112 8,635,228 50,962,520 29,279,460 2013-09-12 $16.88 $0.00 26.1% 7.5% 27.6% 24.5% 26.5% 0.0% 0.1% 501.2M -3.22B -170.3M 0.67 12.78 N/A N/A 9,175,656 6,150,396 53,354,056 30,367,372 2013-09-13 $16.60 $16.79 25.7% 7.3% 28.1% 22.9% 25.8% 0.4% 0.0% -2.07B 1.61B -164.4M 0.73 11.30 N/A N/A 8,223,012 5,969,012 54,613,216 31,002,132 2013-09-16 $16.08 $0.00 27.2% 9.3% 29.4% 29.2% 32.2% 0.2% 3.2% 129.4M 5.76B -154.6M 0.56 2.86 N/A N/A 10,834,264 6,079,640 50,806,560 28,985,544 2013-09-17 $16.26 $16.43 25.8% 9.1% 29.5% 23.5% 31.8% 0.4% 3.7% 357.5M 2.93B -159.0M 0.62 3.23 N/A N/A 7,576,100 4,722,396 53,005,932 29,562,148 2013-09-18 $16.60 $16.07 25.9% 9.1% 30.7% 24.1% 32.1% 0.2% 3.8% 721.6M -2.86B -164.8M 0.65 2.54 N/A N/A 7,965,188 5,148,752 53,996,936 29,941,492 2013-09-19 $16.87 $16.07 25.9% 9.2% 31.5% 24.0% 32.0% 0.1% 5.4% 985.7M -7.62B -168.9M 0.61 1.76 N/A N/A 8,728,216 5,350,100 54,334,980 30,061,052 2013-09-20 $16.69 $16.07 28.0% 9.2% 31.5% 32.7% 32.2% 0.2% 5.3% 630.1M -3.70B -164.8M 0.75 4.21 N/A N/A 10,643,416 8,030,260 54,950,840 30,643,704 2013-09-23 $17.52 $16.43 31.0% 9.2% 36.5% 45.0% 32.5% -0.3% -2.4% 904.7M -15.30B -176.3M 0.49 2.49 N/A N/A 13,584,340 6,613,012 47,794,348 27,006,084 2013-09-24 $17.47 $16.07 31.0% 9.1% 36.5% 45.0% 31.9% -0.2% -2.3% 989.4M -14.30B -176.0M 0.63 1.82 N/A N/A 7,438,060 4,706,660 49,719,656 28,120,680 2013-09-25 $17.20 $16.07 32.2% 9.0% 35.5% 50.1% 31.3% -0.4% -2.1% 694.1M -9.84B -173.6M 0.56 3.17 N/A N/A 7,382,172 4,144,700 50,455,524 29,001,112 2013-09-26 $17.36 $16.43 31.8% 8.9% 35.6% 48.4% 31.4% -0.4% -1.1% 903.4M -12.52B -173.6M 0.54 1.60 N/A N/A 5,972,960 3,226,888 51,078,300 29,236,536 2013-09-27 $17.24 $16.07 32.2% 9.0% 35.7% 50.3% 31.4% -0.8% -1.0% 714.0M -10.21B -173.6M 0.59 1.73 N/A N/A 7,104,188 4,163,600 51,465,008 29,615,600 2013-09-30 $17.03 $16.07 33.4% 9.0% 35.8% 55.3% 31.4% -1.2% -1.6% 591.3M -7.43B -167.7M 0.51 1.81 N/A N/A 4,898,404 2,474,668 47,793,116 27,143,340
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