AAPL Options History — August 2015 In August 2015, AAPL traded between $26.07 and $29.93. ATM implied volatility averaged 32.1%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 1.3% (HV 20d: 33.4%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.77.
Notable Days 2015-08-05 : Highest Volume — 11,148,848 contracts2015-08-21 : Largest IV spike — 47.9% change2015-08-21 : Highest IV Rank — 100.0%2015-08-24 : Largest Expected Move — 16.3%Monthly Statistics Metric Avg Min Max Open Close Price $28.39 $26.07 $29.93 $29.61 $28.21 Max Pain $30.27 $30.00 $32.50 $32.50 $30.00 ATM IV 32.1% 24.3% 55.0% 25.9% 34.9% Expected Move 9.3% 7.0% 16.3% 7.7% 10.0% HV 20d 33.4% 26.2% 41.4% 27.3% 40.6% HV 60d 24.1% 19.7% 28.6% 19.7% 28.6% IV Rank 51.4% 29.1% 100.0% 36.2% 46.2% IV Percentile 77.5% 46.4% 100.0% 61.1% 93.7% Term Structure -0.5% -2.3% 0.7% 0.2% -0.4% VWIV 32.9% 24.7% 59.2% 27.4% 35.9% Skew 25d 7.0% 3.9% 14.8% 3.9% 9.8% Skew 10d 15.0% 7.8% 31.2% 8.5% 21.8% Call IV 25d 29.4% 23.2% 48.1% 24.8% 30.7% Put IV 25d 36.4% 27.5% 62.8% 28.6% 40.6% Bid-Ask Spread % 2.27 1.23 4.36 3.40 2.55 Gamma HHI 0.06 0.05 0.11 0.07 0.06 Net GEX 143.4M -70.8M 387.4M 23.6M 261.6M Net DEX 706.5M -6.16B 7.84B 650.0M -2.16B Net VEX -115.2M -123.6M -101.0M -106.5M -120.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.77 0.53 1.03 0.75 0.76 Total Volume 5,394,492.571 2,406,760 11,148,848 5,813,224 2,406,760 Total OI 31,340,003.238 27,954,960 33,730,336 27,954,960 29,848,772
Daily Data (21 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 2015-08-03 $29.61 $32.50 25.9% 7.7% 27.3% 36.2% 27.4% 3.9% 0.2% 23.6M 650.0M -106.5M 0.75 3.40 N/A N/A 3,329,760 2,483,464 15,672,936 12,282,024 2015-08-04 $28.64 $32.00 29.1% 8.9% 29.4% 50.1% 32.0% 5.2% -0.7% -70.8M 5.30B -101.0M 0.81 1.79 N/A N/A 4,695,932 3,813,292 16,458,600 12,841,544 2015-08-05 $28.84 $31.25 27.2% 8.3% 28.9% 42.0% 28.8% 4.7% -1.1% 45.7M 3.02B -109.3M 0.57 2.18 N/A N/A 7,084,500 4,064,348 17,546,368 13,579,420 2015-08-06 $28.83 $30.00 27.0% 7.7% 28.2% 40.8% 27.4% 4.4% 0.1% 106.7M 1.89B -116.2M 0.58 1.50 N/A N/A 3,503,704 2,043,144 17,853,488 14,077,152 2015-08-07 $28.87 $30.00 26.8% 7.7% 26.2% 40.0% 27.6% 4.5% 0.5% 174.2M 1.33B -117.5M 0.70 1.93 N/A N/A 2,164,220 1,512,516 18,190,560 14,048,888 2015-08-10 $29.93 $30.00 24.3% 7.0% 28.8% 29.1% 24.7% 4.3% -0.2% 306.5M -6.16B -118.9M 0.53 1.58 N/A N/A 2,977,224 1,567,144 17,142,124 13,021,844 2015-08-11 $28.37 $30.00 32.4% 8.8% 34.0% 64.6% 30.7% 5.7% -1.3% 30.8M 2.39B -115.9M 0.82 2.00 N/A N/A 3,580,864 2,941,736 17,620,132 13,362,368 2015-08-12 $28.79 $30.00 30.3% 8.6% 34.3% 55.4% 31.5% 5.9% -0.4% 115.4M 525.5M -119.2M 0.79 1.60 N/A N/A 4,284,000 3,368,700 18,346,596 13,990,508 2015-08-13 $28.84 $30.00 27.7% 7.9% 33.8% 44.1% 27.6% 4.8% -0.3% 179.4M -278.5M -117.7M 0.81 1.47 N/A N/A 2,308,088 1,861,216 18,884,764 14,406,548 2015-08-14 $29.00 $30.00 26.5% 7.7% 33.7% 38.9% 26.9% 4.6% 0.7% 308.5M -1.23B -117.1M 0.68 1.53 N/A N/A 2,412,124 1,635,556 19,079,156 14,651,180 2015-08-17 $29.30 $30.00 26.6% 7.7% 32.9% 39.1% 26.2% 4.3% -0.8% 217.6M -3.04B -116.3M 0.60 1.35 N/A N/A 2,100,524 1,265,100 18,165,808 13,842,772 2015-08-18 $29.11 $30.00 26.2% 7.5% 32.9% 37.3% 25.7% 4.0% -0.3% 196.3M -1.98B -116.1M 0.71 1.23 N/A N/A 1,424,700 1,009,144 18,381,464 13,879,452 2015-08-19 $28.75 $30.00 26.3% 7.5% 29.4% 38.0% 26.3% 4.1% -0.1% 77.5M 50.4M -112.4M 0.94 1.41 N/A N/A 1,646,792 1,548,184 18,492,208 13,917,296 2015-08-20 $28.25 $30.00 29.5% 8.4% 29.8% 52.0% 30.1% 5.3% 0.3% -6.2M 2.31B -111.3M 0.76 2.29 N/A N/A 2,982,184 2,267,000 18,723,620 13,858,712 2015-08-21 $26.59 $30.00 43.6% 12.7% 35.7% 100.0% 42.8% 9.9% -2.1% -22.6M 7.84B -109.5M 0.96 3.18 N/A N/A 4,561,452 4,364,260 19,058,028 14,019,188 2015-08-24 $26.07 $30.00 55.0% 16.3% 35.9% 100.0% 59.2% 14.8% -2.3% 53.3M 5.05B -113.8M 1.03 3.42 N/A N/A 3,535,136 3,653,448 16,433,312 12,311,724 2015-08-25 $26.39 $30.00 47.3% 13.8% 36.3% 79.5% 47.4% 14.3% -0.9% 79.2M 4.00B -116.4M 0.72 3.00 N/A N/A 2,762,248 1,998,572 17,122,396 12,906,020 2015-08-26 $27.38 $30.00 38.3% 11.0% 39.6% 55.3% 42.4% 12.6% -0.6% 198.9M 1.27B -120.0M 1.02 3.17 N/A N/A 2,448,244 2,499,004 17,733,672 13,227,048 2015-08-27 $28.15 $30.00 34.7% 9.7% 41.3% 45.6% 36.0% 9.8% -0.3% 347.5M -2.39B -120.5M 0.92 4.36 N/A N/A 3,131,852 2,865,984 17,848,532 13,524,668 2015-08-28 $28.29 $30.00 34.5% 9.7% 41.4% 45.2% 35.0% 10.2% 0.0% 387.4M -3.54B -123.6M 0.72 2.70 N/A N/A 1,846,708 1,335,516 17,968,052 13,821,124 2015-08-31 $28.21 $30.00 34.9% 10.0% 40.6% 46.2% 35.9% 9.8% -0.4% 261.6M -2.16B -120.3M 0.76 2.55 N/A N/A 1,366,152 1,040,608 17,044,864 12,803,908
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