AAPL Options History — May 2015 In May 2015, AAPL traded between $31.21 and $33.17. ATM implied volatility averaged 21.2%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 2.3% (HV 20d: 23.5%). Max pain ranged from $31.25 to $33.75. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.57.
Notable Days 2015-05-06 : Highest Volume — 9,321,612 contracts2015-05-26 : Largest IV spike — 16.1% change2015-05-06 : Highest IV Rank — 38.0%2015-05-06 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $32.20 $31.21 $33.17 $32.19 $32.63 Max Pain $32.67 $31.25 $33.75 $31.25 $32.75 ATM IV 21.2% 17.9% 26.1% 24.3% 19.4% Expected Move 6.1% 5.1% 7.5% 6.9% 5.4% HV 20d 23.5% 21.7% 25.2% 22.3% 21.8% HV 60d 21.4% 20.7% 22.0% 21.5% 21.3% IV Rank 16.0% 0.9% 38.0% 30.4% 7.6% IV Percentile 22.1% 0.4% 59.5% 48.4% 9.5% Term Structure 0.3% -0.1% 1.0% -0.1% 0.2% VWIV 21.6% 18.1% 26.3% 25.1% 18.8% Skew 25d 2.1% 1.5% 2.7% 2.4% 2.2% Skew 10d 4.2% 2.7% 5.8% 4.9% 4.2% Call IV 25d 20.4% 17.2% 25.5% 23.6% 18.3% Put IV 25d 22.4% 18.7% 28.0% 25.9% 20.5% Bid-Ask Spread % 2.03 1.35 2.89 2.29 2.29 Gamma HHI 0.11 0.07 0.15 0.10 0.11 Net GEX 781.0M 364.0M 1.33B 761.1M 724.1M Net DEX -15.92B -23.84B -10.12B -18.99B -16.73B Net VEX -116.7M -119.4M -114.2M -116.5M -116.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.57 0.31 0.81 0.67 0.65 Total Volume 3,969,997.8 2,197,932 9,321,612 7,133,248 3,756,736 Total OI 27,219,377.4 24,823,372 29,095,616 28,782,828 27,155,148
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 2015-05-01 $32.19 $31.25 24.3% 6.9% 22.3% 30.4% 25.1% 2.4% -0.1% 761.1M -18.99B -116.5M 0.67 2.29 N/A N/A 4,265,076 2,868,172 17,593,572 11,189,256 2015-05-04 $32.17 $32.50 22.6% 6.7% 21.7% 22.7% 23.9% 2.0% 1.0% 738.4M -17.09B -116.3M 0.53 1.86 N/A N/A 2,453,480 1,291,764 15,973,472 10,180,756 2015-05-05 $31.47 $32.50 24.1% 7.1% 22.8% 29.5% 25.0% 2.0% 0.5% 448.8M -12.14B -116.3M 0.53 1.72 N/A N/A 2,503,536 1,322,796 16,423,740 10,636,852 2015-05-06 $31.21 $32.50 26.1% 7.5% 23.0% 38.0% 26.3% 2.4% 0.2% 364.0M -10.76B -117.4M 0.31 2.46 N/A N/A 7,105,236 2,216,376 16,783,460 10,893,568 2015-05-07 $31.31 $32.50 24.3% 7.1% 22.9% 30.4% 25.3% 2.7% 0.3% 464.2M -10.12B -118.8M 0.51 1.43 N/A N/A 2,541,372 1,284,064 16,823,300 11,452,720 2015-05-08 $31.91 $32.50 21.6% 6.3% 23.8% 18.7% 22.8% 2.5% 0.6% 805.1M -14.47B -118.1M 0.62 1.65 N/A N/A 3,074,876 1,898,824 17,035,620 11,690,384 2015-05-11 $31.58 $32.50 22.5% 6.6% 24.1% 22.4% 22.8% 2.0% 0.4% 598.7M -11.50B -117.1M 0.58 2.36 N/A N/A 1,769,276 1,024,616 16,293,444 10,997,540 2015-05-12 $31.50 $32.50 22.5% 6.6% 24.1% 22.3% 22.7% 2.1% 0.3% 576.0M -10.78B -116.3M 0.60 1.86 N/A N/A 1,660,772 990,072 16,660,412 11,232,248 2015-05-13 $31.50 $33.75 22.0% 6.4% 24.0% 20.4% 22.4% 2.1% 0.3% 556.8M -10.69B -114.2M 0.54 1.74 N/A N/A 1,532,768 834,544 16,935,952 11,378,228 2015-05-14 $32.21 $33.75 21.1% 6.1% 25.2% 14.9% 21.8% 2.1% 0.1% 1.10B -16.19B -119.4M 0.55 1.35 N/A N/A 2,647,956 1,443,552 17,053,160 11,555,680 2015-05-15 $32.17 $33.75 20.5% 5.9% 24.7% 12.3% 21.2% 2.0% 0.3% 659.2M -15.56B -116.3M 0.57 1.51 N/A N/A 2,472,652 1,403,340 17,295,184 11,800,432 2015-05-18 $32.55 $32.50 19.5% 5.6% 23.7% 7.9% 19.6% 1.9% 0.3% 855.4M -17.39B -115.4M 0.45 2.89 N/A N/A 2,654,536 1,190,384 14,827,824 9,995,548 2015-05-19 $32.52 $32.50 19.3% 5.5% 23.6% 7.2% 19.5% 1.7% 0.2% 980.5M -17.65B -117.4M 0.65 2.73 N/A N/A 1,420,416 923,192 15,547,012 10,346,136 2015-05-20 $32.57 $32.50 18.8% 5.4% 23.3% 5.1% 19.0% 1.7% 0.5% 1.05B -17.87B -118.4M 0.46 1.99 N/A N/A 1,657,584 762,220 15,741,564 10,562,960 2015-05-21 $32.88 $32.50 18.2% 5.2% 23.3% 2.5% 18.6% 1.9% 0.5% 1.33B -20.89B -115.0M 0.61 1.91 N/A N/A 2,132,904 1,291,424 15,882,916 10,711,248 2015-05-22 $33.17 $32.50 17.9% 5.1% 23.4% 0.9% 18.1% 1.5% 0.5% 921.1M -23.84B -115.0M 0.53 1.99 N/A N/A 3,202,692 1,682,280 16,105,520 11,020,708 2015-05-26 $32.43 $32.75 20.7% 5.9% 24.1% 13.5% 20.9% 2.0% -0.1% 677.6M -15.70B -116.2M 0.65 2.08 N/A N/A 2,825,716 1,842,768 15,161,336 10,224,716 2015-05-27 $33.02 $32.75 19.2% 5.4% 24.4% 6.6% 19.1% 2.1% 0.1% 1.05B -20.36B -118.6M 0.63 2.37 N/A N/A 2,000,128 1,253,924 15,754,016 10,659,112 2015-05-28 $32.96 $32.75 19.0% 5.3% 23.7% 6.0% 18.8% 2.0% 0.3% 957.5M -19.70B -116.0M 0.81 2.12 N/A N/A 1,214,524 983,408 15,866,588 10,946,216 2015-05-29 $32.63 $32.75 19.4% 5.4% 21.8% 7.6% 18.8% 2.2% 0.2% 724.1M -16.73B -116.0M 0.65 2.29 N/A N/A 2,271,676 1,485,060 16,027,804 11,127,344
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