AAPL Options History — March 2015 In March 2015, AAPL traded between $30.56 and $32.35. ATM implied volatility averaged 27.1%, placing in the 42.2% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 5.9% (HV 20d: 21.2%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.60.
Notable Days 2015-03-11 : Highest Volume — 6,563,520 contracts2015-03-25 : Largest IV spike — 14.8% change2015-03-27 : Highest IV Rank — 68.9%2015-03-06 : Largest Expected Move — 7.8%Monthly Statistics Metric Avg Min Max Open Close Price $31.49 $30.56 $32.35 $32.25 $31.15 Max Pain $28.61 $27.50 $30.00 $28.75 $30.00 ATM IV 27.1% 22.7% 33.2% 26.2% 31.9% Expected Move 7.1% 6.2% 7.8% 7.8% 6.9% HV 20d 21.2% 19.0% 22.7% 19.3% 22.7% HV 60d 27.5% 26.8% 28.1% 28.1% 27.5% IV Rank 42.2% 23.3% 68.9% 38.6% 63.3% IV Percentile 70.3% 38.1% 94.0% 69.0% 91.7% Term Structure 1.5% -0.9% 6.6% -0.2% -0.9% VWIV 25.0% 21.9% 27.7% 27.6% 24.0% Skew 25d 1.7% 0.9% 2.9% 1.1% 2.5% Skew 10d 3.5% 1.8% 6.0% 1.8% 4.9% Call IV 25d 26.3% 19.2% 32.0% 26.0% 31.6% Put IV 25d 28.1% 22.1% 34.6% 27.2% 34.1% Bid-Ask Spread % 4.59 1.49 53.48 1.90 1.76 Gamma HHI 0.08 0.06 0.11 0.09 0.07 Net GEX 564.8M 292.2M 905.9M 615.6M 524.9M Net DEX -20.26B -26.30B -14.43B -24.60B -16.60B Net VEX -109.9M -113.5M -106.4M -110.5M -110.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.47 0.77 0.56 0.64 Total Volume 3,690,479.455 1,928,776 6,563,520 2,984,244 2,789,036 Total OI 26,395,176.182 24,130,372 28,605,660 24,933,728 25,719,168
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 2015-03-02 $32.25 $28.75 26.2% 7.8% 19.3% 38.6% 27.6% 1.1% -0.2% 615.6M -24.60B -110.5M 0.56 1.90 N/A N/A 1,917,004 1,067,240 14,880,524 10,053,204 2015-03-03 $32.35 $28.75 25.8% 7.5% 19.0% 36.5% 27.0% 1.0% -0.3% 690.5M -25.45B -106.4M 0.68 2.01 N/A N/A 1,489,052 1,009,904 15,236,968 10,350,088 2015-03-04 $32.10 $28.75 25.8% 7.6% 19.5% 36.7% 26.9% 0.9% -0.4% 642.5M -23.89B -109.8M 0.68 1.97 N/A N/A 1,239,936 845,224 15,389,720 10,661,168 2015-03-05 $31.61 $27.50 26.7% 7.6% 20.6% 40.4% 26.8% 1.2% -0.5% 449.6M -20.92B -106.9M 0.51 1.49 N/A N/A 3,463,292 1,767,508 15,634,484 10,801,364 2015-03-06 $31.65 $27.50 27.4% 7.8% 20.6% 43.8% 27.7% 1.3% -0.7% 564.1M -21.34B -112.1M 0.59 1.60 N/A N/A 3,986,368 2,354,520 16,159,508 11,015,580 2015-03-09 $31.79 $27.50 25.0% 7.2% 20.2% 33.3% 25.4% 1.1% 0.3% 599.7M -22.59B -108.4M 0.55 1.84 N/A N/A 3,383,000 1,862,552 15,313,324 10,253,160 2015-03-10 $31.13 $27.50 25.9% 7.4% 21.9% 37.2% 26.1% 1.4% 0.1% 395.7M -18.80B -107.4M 0.58 2.37 N/A N/A 2,680,760 1,567,664 15,760,488 10,705,540 2015-03-11 $30.56 $27.50 26.5% 7.6% 22.0% 39.9% 26.6% 1.7% 0.2% 301.3M -15.31B -112.3M 0.71 2.73 N/A N/A 3,840,240 2,723,280 16,172,456 10,908,048 2015-03-12 $31.11 $28.75 24.9% 7.2% 21.6% 33.0% 25.4% 1.6% 0.3% 535.9M -18.25B -111.5M 0.66 2.94 N/A N/A 2,161,388 1,426,084 16,636,144 11,234,028 2015-03-13 $30.90 $28.75 25.2% 7.3% 21.1% 34.2% 26.0% 1.2% 0.5% 428.7M -17.07B -111.5M 0.71 2.75 N/A N/A 2,856,156 2,015,024 16,965,852 11,639,808 2015-03-16 $31.24 $28.75 24.3% 7.0% 21.4% 30.4% 24.7% 1.5% 5.6% 584.6M -19.79B -110.2M 0.57 2.65 N/A N/A 1,400,028 794,072 15,903,216 10,968,364 2015-03-17 $31.76 $28.75 24.5% 7.0% 22.2% 31.0% 24.9% 1.6% 5.7% 760.6M -23.67B -109.1M 0.47 1.58 N/A N/A 2,285,292 1,072,028 16,077,140 11,139,216 2015-03-18 $32.12 $28.75 22.7% 6.5% 22.4% 23.3% 23.0% 1.6% 6.4% 905.9M -26.30B -109.0M 0.51 2.22 N/A N/A 2,651,396 1,342,704 16,396,456 11,351,444 2015-03-19 $31.88 $28.75 24.1% 6.6% 22.6% 29.3% 23.1% 1.6% 5.8% 823.2M -24.35B -110.2M 0.53 1.72 N/A N/A 1,932,744 1,027,928 16,627,672 11,547,160 2015-03-20 $31.48 $28.75 24.8% 6.5% 22.7% 32.5% 21.9% 2.9% 6.6% 652.5M -21.41B -109.5M 0.64 53.48 N/A N/A 2,211,164 1,424,452 16,807,996 11,756,088 2015-03-23 $31.80 $28.75 27.0% 6.2% 20.9% 41.9% 22.1% 2.1% 1.3% 600.5M -20.73B -108.0M 0.59 3.09 N/A N/A 1,652,112 970,036 14,419,436 9,710,936 2015-03-24 $31.67 $28.93 27.7% 6.2% 20.9% 44.8% 22.0% 2.2% 1.3% 606.8M -19.62B -110.3M 0.54 2.78 N/A N/A 1,251,816 676,960 14,685,484 10,028,640 2015-03-25 $30.84 $28.93 31.8% 7.4% 21.1% 62.5% 25.7% 2.2% 0.8% 353.6M -14.87B -109.5M 0.57 3.21 N/A N/A 2,539,560 1,438,912 14,877,040 10,189,016 2015-03-26 $31.09 $29.29 32.0% 7.1% 20.8% 63.6% 24.8% 2.5% 0.6% 461.5M -16.30B -109.8M 0.70 1.82 N/A N/A 1,911,936 1,333,072 15,304,964 10,430,876 2015-03-27 $30.81 $29.29 33.2% 7.5% 20.4% 68.9% 26.3% 2.7% 0.4% 292.2M -14.43B -111.3M 0.77 3.46 N/A N/A 2,014,668 1,545,864 15,525,288 10,647,176 2015-03-30 $31.58 $29.29 31.8% 6.4% 22.3% 62.8% 22.1% 2.3% -0.7% 634.8M -19.36B -113.5M 0.53 1.55 N/A N/A 2,135,392 1,133,180 14,748,376 10,061,268 2015-03-31 $31.15 $30.00 31.9% 6.9% 22.7% 63.3% 24.0% 2.5% -0.9% 524.9M -16.60B -110.7M 0.64 1.76 N/A N/A 1,696,220 1,092,816 15,236,196 10,482,972
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