AAPL Options History — November 2014 In November 2014, AAPL traded between $27.17 and $29.75. ATM implied volatility averaged 20.0%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.2% (HV 20d: 15.8%). Max pain ranged from $25.00 to $27.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.52.
Notable Days 2014-11-05 : Highest Volume — 15,632,036 contracts2014-11-17 : Largest IV spike — 9.7% change2014-11-28 : Highest IV Rank — 27.8%2014-11-28 : Largest Expected Move — 7.7%Monthly Statistics Metric Avg Min Max Open Close Price $28.32 $27.17 $29.75 $27.35 $29.73 Max Pain $25.26 $25.00 $27.50 $25.00 $27.50 ATM IV 20.0% 18.1% 22.1% 19.0% 22.1% Expected Move 7.0% 6.6% 7.7% 6.7% 7.7% HV 20d 15.8% 11.4% 21.3% 21.3% 13.6% HV 60d 21.3% 19.9% 22.1% 21.4% 19.9% IV Rank 15.6% 4.3% 27.8% 9.9% 27.8% IV Percentile 25.3% 5.6% 44.8% 13.9% 44.8% Term Structure 0.2% -0.3% 0.7% 0.5% 0.0% VWIV 25.0% 23.5% 27.0% 23.7% 27.0% Skew 25d 1.0% 0.5% 1.5% 1.5% 0.7% Skew 10d 2.3% 0.6% 3.8% 3.6% 1.6% Call IV 25d 20.1% 17.8% 22.5% 19.0% 22.5% Put IV 25d 21.1% 19.0% 23.2% 20.5% 23.2% Bid-Ask Spread % 5.11 3.26 6.42 5.64 5.73 Gamma HHI 0.11 0.07 0.26 0.11 0.15 Net GEX 980.7M 769.1M 1.64B 948.5M 1.09B Net DEX -30.73B -35.61B -22.37B -35.61B -34.14B Net VEX -96.0M -101.8M -90.4M -98.2M -98.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.52 0.07 0.84 0.56 0.48 Total Volume 4,397,079.158 1,859,796 15,632,036 4,956,056 2,289,132 Total OI 35,370,646.105 33,458,972 37,871,464 36,933,968 36,188,892
Daily Data (19 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 2014-11-03 $27.35 $25.00 19.0% 6.7% 21.3% 9.9% 23.7% 1.5% 0.5% 948.5M -35.61B -98.2M 0.56 5.64 N/A N/A 3,184,644 1,771,412 21,364,004 15,569,964 2014-11-04 $27.17 $25.00 19.0% 6.7% 21.1% 10.0% 23.7% 1.3% 0.4% 901.4M -33.03B -101.8M 0.64 6.06 N/A N/A 1,670,748 1,065,524 21,463,616 15,864,940 2014-11-05 $27.21 $25.00 18.6% 6.7% 20.1% 7.6% 24.2% 1.3% 0.4% 1.02B -33.60B -98.6M 0.07 6.42 N/A N/A 14,594,992 1,037,044 21,716,476 16,154,988 2014-11-06 $27.18 $25.00 18.5% 6.6% 20.2% 6.9% 24.4% 1.4% 0.6% 892.7M -22.51B -98.3M 0.84 5.40 N/A N/A 1,605,056 1,352,000 17,867,640 16,577,408 2014-11-07 $27.24 $25.00 18.1% 6.6% 20.2% 4.7% 23.6% 1.3% 0.7% 1.64B -22.92B -97.0M 0.61 5.65 N/A N/A 1,946,128 1,184,956 17,806,612 16,768,804 2014-11-10 $27.17 $25.00 18.3% 6.6% 19.0% 5.9% 23.5% 1.3% 0.3% 870.2M -22.37B -95.4M 0.66 4.47 N/A N/A 1,120,488 739,308 17,422,796 16,108,752 2014-11-11 $27.41 $25.00 18.3% 6.6% 19.1% 5.5% 23.5% 1.2% 0.3% 932.5M -24.25B -94.2M 0.55 5.25 N/A N/A 1,432,856 792,208 17,442,376 16,072,900 2014-11-12 $27.80 $25.00 18.1% 6.6% 15.8% 4.3% 23.5% 1.1% 0.6% 1.14B -27.58B -91.6M 0.65 6.19 N/A N/A 2,713,872 1,752,652 17,868,836 16,358,588 2014-11-13 $28.18 $25.00 19.0% 6.7% 13.7% 9.6% 23.9% 0.9% -0.0% 1.08B -30.53B -91.7M 0.45 5.22 N/A N/A 4,197,572 1,882,664 18,127,140 16,676,588 2014-11-14 $28.55 $25.00 19.5% 7.0% 13.6% 12.7% 25.0% 0.7% -0.0% 1.08B -33.09B -90.4M 0.43 4.60 N/A N/A 3,138,116 1,354,748 18,606,160 17,047,324 2014-11-17 $28.49 $25.00 21.4% 7.3% 12.9% 23.7% 26.1% 1.1% 0.1% 869.8M -30.83B -95.1M 0.57 3.26 N/A N/A 2,559,916 1,457,996 18,215,472 16,596,552 2014-11-18 $28.89 $25.00 21.4% 7.3% 11.4% 23.9% 25.8% 0.7% 0.1% 898.7M -33.62B -91.5M 0.42 6.24 N/A N/A 2,608,340 1,102,656 18,581,484 17,000,020 2014-11-19 $28.67 $25.00 21.7% 7.4% 12.4% 25.3% 26.1% 1.0% -0.1% 910.0M -31.82B -98.0M 0.39 4.85 N/A N/A 2,162,004 838,280 18,966,484 17,254,304 2014-11-20 $29.09 $25.00 21.9% 7.4% 12.2% 26.8% 26.1% 1.0% -0.3% 994.6M -34.42B -97.5M 0.47 4.52 N/A N/A 2,871,020 1,342,312 18,989,760 17,342,292 2014-11-21 $29.07 $25.00 21.7% 7.4% 12.3% 25.6% 26.4% 0.6% -0.3% 915.4M -33.84B -97.0M 0.50 3.53 N/A N/A 3,223,548 1,614,760 19,143,880 17,623,432 2014-11-24 $29.66 $25.00 21.2% 7.4% 13.3% 22.4% 26.0% 0.8% 0.1% 769.1M -33.62B -93.6M 0.46 4.09 N/A N/A 2,890,528 1,325,508 17,693,656 15,765,316 2014-11-25 $29.45 $26.25 21.2% 7.4% 13.7% 22.8% 26.2% 0.5% 0.3% 771.3M -32.16B -96.4M 0.48 5.11 N/A N/A 3,549,444 1,688,260 18,220,376 16,184,228 2014-11-26 $29.75 $26.25 21.0% 7.4% 13.9% 21.5% 26.3% 0.7% 0.3% 909.2M -33.93B -99.1M 0.57 4.79 N/A N/A 2,216,400 1,267,412 18,791,956 16,598,260 2014-11-28 $29.73 $27.50 22.1% 7.7% 13.6% 27.8% 27.0% 0.7% 0.0% 1.09B -34.14B -98.5M 0.48 5.73 N/A N/A 1,546,628 742,504 19,146,136 17,042,756
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