AAPL Options History — July 2015 In July 2015, AAPL traded between $30.05 and $33.01. ATM implied volatility averaged 24.8%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 4.8% (HV 20d: 20.0%). Max pain ranged from $31.25 to $32.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.74.
Notable Days 2015-07-22 : Highest Volume — 8,240,808 contracts2015-07-22 : Largest IV drop — 29.9% change2015-07-09 : Highest IV Rank — 66.4%2015-07-09 : Largest Expected Move — 8.7%Monthly Statistics Metric Avg Min Max Open Close Price $31.33 $30.05 $33.01 $31.63 $30.38 Max Pain $32.39 $31.25 $32.50 $31.25 $32.50 ATM IV 24.8% 19.6% 32.8% 24.8% 23.4% Expected Move 6.7% 4.9% 8.7% 4.9% 6.7% HV 20d 20.0% 11.5% 26.8% 11.8% 26.1% HV 60d 19.3% 17.6% 21.4% 17.7% 19.1% IV Rank 31.4% 8.3% 66.4% 31.2% 25.0% IV Percentile 49.7% 13.5% 90.1% 52.8% 40.1% Term Structure -0.6% -1.8% 0.5% -0.4% -0.2% VWIV 23.8% 17.3% 30.8% 17.3% 24.7% Skew 25d 2.3% 0.6% 4.5% 2.3% 3.5% Skew 10d 5.0% 1.2% 10.2% 4.7% 7.7% Call IV 25d 23.9% 19.2% 31.3% 23.9% 22.1% Put IV 25d 26.2% 20.7% 35.8% 26.2% 25.7% Bid-Ask Spread % 2.11 1.58 4.03 2.08 2.29 Gamma HHI 0.10 0.07 0.27 0.12 0.07 Net GEX 447.0M 58.9M 1.35B 597.6M 79.9M Net DEX -9.31B -19.66B -1.52B -11.27B -2.20B Net VEX -109.1M -114.2M -105.3M -109.6M -109.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.74 0.41 1.23 0.70 1.23 Total Volume 3,805,702.182 1,893,488 8,240,808 2,406,932 4,153,024 Total OI 28,822,243.636 25,224,340 30,808,836 28,233,472 29,334,172
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 2015-07-01 $31.63 $31.25 24.8% 4.9% 11.8% 31.2% 17.3% 2.3% -0.4% 597.6M -11.27B -109.6M 0.70 2.08 N/A N/A 1,418,968 987,964 16,427,460 11,806,012 2015-07-02 $31.62 $31.25 25.0% 5.0% 11.6% 32.4% 17.5% 2.2% -0.3% 609.0M -11.06B -107.8M 0.81 2.19 N/A N/A 1,328,428 1,070,012 16,589,520 12,017,520 2015-07-06 $31.48 $32.50 25.4% 6.9% 11.6% 33.9% 23.7% 2.4% -1.1% 433.7M -9.96B -105.3M 0.80 1.58 N/A N/A 1,049,652 843,836 15,975,460 11,429,392 2015-07-07 $31.36 $32.50 26.7% 7.1% 11.5% 39.5% 24.7% 2.6% -1.2% 373.8M -9.31B -106.7M 0.73 1.88 N/A N/A 1,871,408 1,372,232 16,247,788 11,651,692 2015-07-08 $30.68 $32.50 30.0% 7.9% 13.8% 54.1% 27.8% 3.4% -1.6% 132.6M -5.10B -109.6M 0.71 1.82 N/A N/A 2,562,508 1,823,988 16,584,028 11,968,752 2015-07-09 $30.05 $32.50 32.8% 8.7% 14.2% 66.4% 30.8% 4.5% -1.8% 58.9M -1.52B -108.7M 0.77 2.33 N/A N/A 3,702,196 2,860,216 17,124,532 12,232,168 2015-07-10 $30.86 $32.50 29.1% 7.7% 17.7% 50.3% 27.5% 3.9% -1.5% 401.3M -7.63B -110.0M 0.91 1.99 N/A N/A 2,647,584 2,408,064 17,852,820 12,664,320 2015-07-13 $31.42 $32.50 26.3% 7.3% 18.7% 37.7% 25.7% 3.0% -0.6% 559.1M -11.22B -109.6M 0.69 1.94 N/A N/A 1,624,460 1,119,204 16,930,644 12,174,436 2015-07-14 $31.41 $32.50 25.3% 7.1% 18.7% 33.6% 25.3% 2.9% -0.2% 559.8M -11.05B -107.3M 0.79 2.16 N/A N/A 1,241,100 983,072 17,246,268 12,376,560 2015-07-15 $31.69 $32.50 25.2% 7.1% 19.0% 33.1% 24.4% 2.7% -0.4% 729.0M -13.07B -108.6M 0.83 1.75 N/A N/A 1,446,856 1,201,320 17,374,416 12,541,808 2015-07-16 $32.09 $32.50 24.3% 6.7% 19.5% 29.1% 23.9% 2.6% -1.0% 983.9M -16.09B -107.2M 0.66 1.63 N/A N/A 2,074,524 1,374,172 17,438,768 12,754,388 2015-07-17 $32.37 $32.50 27.3% 7.5% 19.7% 42.3% 26.6% 2.0% -1.7% 1.35B -18.36B -110.3M 0.41 2.12 N/A N/A 3,449,400 1,398,432 17,605,292 12,981,360 2015-07-20 $33.01 $32.50 28.7% 8.1% 20.5% 48.5% 28.7% 1.4% -1.3% 701.2M -19.66B -111.4M 0.41 2.06 N/A N/A 3,861,844 1,566,840 14,971,728 10,252,612 2015-07-21 $32.75 $32.50 28.2% 8.0% 20.7% 46.4% 28.1% 0.6% -1.0% 719.6M -17.94B -112.6M 0.59 4.03 N/A N/A 3,831,580 2,265,828 15,799,160 10,867,636 2015-07-22 $31.28 $32.50 19.8% 5.7% 26.7% 9.4% 20.5% 1.0% 0.5% 174.8M -6.88B -106.5M 0.62 1.92 N/A N/A 5,078,644 3,162,164 16,961,492 11,904,092 2015-07-23 $31.30 $32.50 20.6% 5.9% 26.5% 12.8% 21.0% 1.3% -0.0% 394.3M -7.94B -114.2M 0.74 2.48 N/A N/A 2,314,700 1,716,576 17,821,084 12,545,552 2015-07-24 $31.12 $32.50 21.0% 6.0% 26.5% 14.8% 21.3% 1.6% 0.3% 220.4M -6.28B -112.8M 0.86 1.97 N/A N/A 2,211,544 1,895,832 18,116,512 12,692,324 2015-07-27 $30.68 $32.50 22.4% 6.5% 26.8% 20.6% 23.3% 1.7% 0.1% 197.9M -4.60B -109.8M 0.84 2.00 N/A N/A 1,548,376 1,295,112 16,042,912 11,468,592 2015-07-28 $30.83 $32.50 19.9% 5.6% 26.3% 9.6% 20.0% 1.4% 0.3% 234.0M -5.31B -108.7M 0.63 2.10 N/A N/A 1,190,056 748,920 16,323,388 11,752,340 2015-07-29 $30.72 $32.50 19.6% 5.5% 26.1% 8.3% 19.7% 1.6% 0.4% 186.4M -4.50B -107.1M 0.72 2.12 N/A N/A 1,437,216 1,030,860 16,533,588 11,814,836 2015-07-30 $30.62 $32.50 20.5% 5.8% 26.0% 12.5% 20.7% 2.0% 0.3% 136.1M -3.84B -108.0M 0.74 1.94 N/A N/A 1,466,344 1,090,392 16,828,524 12,063,412 2015-07-31 $30.38 $32.50 23.4% 6.7% 26.1% 25.0% 24.7% 3.5% -0.2% 79.9M -2.20B -109.2M 1.23 2.29 N/A N/A 1,859,364 2,293,660 17,076,100 12,258,072
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