AAPL Options History — November 2013 In November 2013, AAPL traded between $18.30 and $19.86. ATM implied volatility averaged 21.0%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 2.7% (HV 20d: 18.3%). Max pain ranged from $17.50 to $18.57. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.63.
Notable Days 2013-11-05 : Highest Volume — 24,085,040 contracts2013-11-29 : Largest IV spike — 14.9% change2013-11-01 : Highest IV Rank — 18.3%2013-11-01 : Largest Expected Move — 8.6%Monthly Statistics Metric Avg Min Max Open Close Price $18.74 $18.30 $19.86 $18.57 $19.86 Max Pain $17.93 $17.50 $18.57 $17.50 $18.57 ATM IV 21.0% 19.3% 24.6% 24.6% 22.6% Expected Move 8.3% 8.1% 8.6% 8.6% 8.1% HV 20d 18.3% 16.4% 19.7% 17.3% 18.2% HV 60d 25.4% 24.7% 27.4% 27.4% 25.2% IV Rank 4.7% 0.0% 18.3% 18.3% 13.5% IV Percentile 2.8% 0.0% 11.9% 9.1% 11.9% Term Structure 0.9% -0.2% 2.3% 0.3% 0.3% VWIV 29.2% 28.1% 30.1% 30.1% 28.3% Skew 25d 0.3% -1.1% 0.7% 0.2% -1.1% Skew 10d 0.3% -3.4% 2.1% -0.3% -3.4% Call IV 25d 21.0% 19.3% 24.4% 24.4% 23.6% Put IV 25d 21.4% 19.7% 24.6% 24.6% 22.5% Bid-Ask Spread % 2.49 2.07 3.63 3.63 3.28 Gamma HHI 0.09 0.05 0.23 0.07 0.08 Net GEX 1.07B 364.8M 1.73B 797.3M 1.58B Net DEX -16.34B -35.23B -7.49B -18.43B -35.23B Net VEX -151.1M -164.5M -141.2M -164.5M -152.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.18 0.83 0.61 0.44 Total Volume 11,316,054.4 6,644,680 24,085,040 12,575,668 17,938,984 Total OI 73,536,583.4 65,939,132 84,102,984 84,102,984 73,564,344
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 2013-11-01 $18.57 $17.50 24.6% 8.6% 17.3% 18.3% 30.1% 0.2% 0.3% 797.3M -18.43B -164.5M 0.61 3.63 N/A N/A 7,813,960 4,761,708 53,282,040 30,820,944 2013-11-04 $18.81 $17.50 23.3% 8.5% 17.5% 12.9% 29.8% 0.2% 0.3% 1.12B -21.51B -161.4M 0.58 2.53 N/A N/A 6,109,348 3,563,420 48,467,272 28,557,032 2013-11-05 $18.77 $17.50 22.9% 8.5% 17.0% 11.5% 29.7% -0.1% 0.5% 1.22B -21.44B -162.4M 0.18 2.41 N/A N/A 20,369,048 3,715,992 49,499,100 29,392,020 2013-11-06 $18.60 $17.50 22.2% 8.5% 17.5% 8.4% 29.7% 0.3% 0.7% 888.3M -11.70B -156.9M 0.83 2.23 N/A N/A 5,014,520 4,149,712 46,198,460 30,619,624 2013-11-07 $18.30 $17.86 22.3% 8.4% 18.8% 8.7% 29.7% 0.5% 0.6% 364.8M -7.49B -156.9M 0.74 2.07 N/A N/A 6,162,828 4,585,672 46,738,860 30,518,852 2013-11-08 $18.59 $17.86 20.8% 8.4% 19.3% 2.7% 29.4% 0.5% 1.1% 1.42B -13.04B -155.3M 0.71 2.07 N/A N/A 7,115,976 5,066,628 47,154,072 30,593,976 2013-11-11 $18.54 $17.86 20.4% 8.4% 19.4% 1.0% 29.5% 0.4% 1.2% 858.0M -11.95B -153.1M 0.70 2.28 N/A N/A 4,690,616 3,275,776 45,062,192 28,766,192 2013-11-12 $18.57 $17.86 20.5% 8.4% 19.3% 1.3% 29.5% 0.5% 1.0% 975.8M -13.17B -152.1M 0.76 2.31 N/A N/A 4,154,752 3,170,020 45,673,572 28,938,140 2013-11-13 $18.59 $17.86 19.9% 8.5% 19.3% 0.0% 29.6% 0.7% 1.1% 1.01B -13.66B -151.4M 0.61 2.58 N/A N/A 4,178,944 2,529,240 46,094,384 29,223,348 2013-11-14 $18.86 $17.86 20.6% 8.5% 19.6% 3.0% 29.6% 0.6% 0.3% 1.73B -18.74B -149.4M 0.61 2.33 N/A N/A 7,449,092 4,543,392 45,814,132 28,902,496 2013-11-15 $18.75 $17.86 20.8% 8.4% 19.7% 3.7% 29.2% 0.5% 0.2% 1.25B -15.88B -149.0M 0.74 2.38 N/A N/A 6,679,260 4,963,448 46,536,840 29,486,408 2013-11-18 $18.52 $17.86 20.9% 8.4% 18.3% 4.3% 29.1% 0.7% 1.6% 633.1M -11.71B -148.5M 0.61 2.50 N/A N/A 5,163,060 3,167,528 41,028,148 24,910,984 2013-11-19 $18.56 $17.86 20.0% 8.3% 18.3% 0.7% 29.0% 0.5% 1.7% 649.7M -12.06B -146.9M 0.65 2.60 N/A N/A 4,107,628 2,688,532 42,168,420 25,795,896 2013-11-20 $18.39 $18.21 19.7% 8.3% 18.2% 0.0% 29.0% 0.4% 1.8% 367.5M -9.46B -144.7M 0.68 2.13 N/A N/A 3,966,872 2,677,808 42,732,872 26,103,028 2013-11-21 $18.61 $18.21 20.0% 8.2% 18.1% 1.1% 28.6% 0.6% 0.0% 933.4M -13.38B -144.0M 0.60 2.50 N/A N/A 5,436,676 3,244,332 43,178,268 26,505,192 2013-11-22 $18.56 $18.21 20.0% 8.2% 17.7% 1.2% 28.7% 0.4% -0.2% 1.49B -12.56B -143.7M 0.64 2.25 N/A N/A 5,259,632 3,365,684 43,754,956 26,955,684 2013-11-25 $18.70 $18.21 19.3% 8.1% 17.7% 0.0% 28.2% 0.3% 2.3% 995.3M -15.03B -142.4M 0.65 2.32 N/A N/A 4,687,956 3,065,776 41,941,844 25,310,432 2013-11-26 $19.05 $18.21 19.4% 8.1% 16.4% 0.8% 28.3% 0.5% 1.7% 1.45B -21.00B -141.2M 0.55 3.14 N/A N/A 11,708,732 6,484,464 42,810,740 25,967,732 2013-11-27 $19.50 $18.21 19.7% 8.1% 17.4% 1.7% 28.1% 0.1% 0.6% 1.64B -29.36B -147.3M 0.59 2.37 N/A N/A 12,106,108 7,187,964 44,619,176 27,043,996 2013-11-29 $19.86 $18.57 22.6% 8.1% 18.2% 13.5% 28.3% -1.1% 0.3% 1.58B -35.23B -152.0M 0.44 3.28 N/A N/A 12,423,348 5,515,636 45,538,584 28,025,760
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