AAPL Options History — September 2015 In September 2015, AAPL traded between $27.02 and $29.09. ATM implied volatility averaged 34.8%, placing in the 46.0% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 2.7% (HV 20d: 37.5%). Max pain ranged from $28.75 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.85.
Notable Days 2015-09-09 : Highest Volume — 6,065,312 contracts2015-09-02 : Largest IV drop — 19.2% change2015-09-01 : Highest IV Rank — 72.4%2015-09-01 : Largest Expected Move — 13.3%Monthly Statistics Metric Avg Min Max Open Close Price $28.19 $27.02 $29.09 $27.02 $27.53 Max Pain $29.11 $28.75 $30.00 $30.00 $28.75 ATM IV 34.8% 28.2% 44.7% 44.7% 39.5% Expected Move 9.4% 7.5% 13.3% 13.3% 9.0% HV 20d 37.5% 29.5% 43.8% 41.7% 29.5% HV 60d 32.0% 29.8% 33.6% 29.8% 33.6% IV Rank 46.0% 28.1% 72.4% 72.4% 58.6% IV Percentile 86.7% 67.9% 99.2% 99.2% 96.8% Term Structure 1.1% -1.1% 5.1% -1.1% -0.8% VWIV 33.5% 26.3% 45.5% 45.5% 31.3% Skew 25d 9.4% 7.3% 13.4% 13.4% 9.8% Skew 10d 19.7% 14.6% 28.3% 28.3% 19.2% Call IV 25d 31.0% 24.5% 38.9% 38.8% 35.4% Put IV 25d 40.3% 31.8% 52.2% 52.2% 45.2% Bid-Ask Spread % 2.41 1.63 3.44 3.44 2.56 Gamma HHI 0.08 0.05 0.27 0.05 0.05 Net GEX 298.4M 42.3M 725.0M 113.3M 116.6M Net DEX -2.43B -6.73B 2.27B 2.27B 426.4M Net VEX -113.3M -120.1M -105.9M -116.1M -105.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.85 0.60 1.06 0.84 0.86 Total Volume 3,166,877.143 1,485,936 6,065,312 3,833,924 3,509,956 Total OI 29,991,909.333 27,131,724 32,131,628 30,299,460 29,164,420
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 2015-09-01 $27.02 $30.00 44.7% 13.3% 41.7% 72.4% 45.5% 13.4% -1.1% 113.3M 2.27B -116.1M 0.84 3.44 N/A N/A 2,083,876 1,750,048 17,305,044 12,994,416 2015-09-02 $27.95 $30.00 36.1% 10.1% 43.6% 49.5% 37.5% 10.3% -0.3% 276.0M -1.18B -120.1M 0.87 2.76 N/A N/A 1,815,296 1,570,976 17,693,104 13,315,800 2015-09-03 $27.63 $30.00 37.2% 10.8% 43.8% 52.4% 37.5% 10.1% -0.3% 221.0M 377.0M -118.0M 0.99 2.89 N/A N/A 1,522,388 1,507,392 17,864,004 13,411,028 2015-09-04 $27.39 $30.00 39.4% 11.2% 43.8% 58.2% 42.3% 11.3% -0.4% 95.8M 1.60B -116.6M 0.86 2.04 N/A N/A 1,542,440 1,325,044 17,935,240 13,566,668 2015-09-08 $28.08 $30.00 36.6% 10.8% 42.6% 50.8% 37.3% 10.1% 0.9% 246.5M -1.54B -115.3M 0.67 2.99 N/A N/A 1,418,568 953,848 17,157,976 12,809,876 2015-09-09 $27.48 $30.00 36.6% 10.5% 39.0% 50.7% 34.7% 9.7% 0.1% 151.3M 1.49B -110.6M 0.75 2.28 N/A N/A 3,456,344 2,608,968 17,428,752 12,984,112 2015-09-10 $28.12 $28.75 33.3% 9.9% 39.6% 41.8% 34.8% 8.7% 1.4% 308.5M -2.09B -116.3M 0.95 2.33 N/A N/A 1,886,676 1,789,224 17,767,108 13,276,392 2015-09-11 $28.51 $28.75 31.0% 8.9% 39.9% 35.8% 33.3% 8.6% -0.2% 725.0M -4.21B -115.6M 0.80 1.63 N/A N/A 1,886,276 1,499,616 18,117,188 13,623,780 2015-09-14 $28.81 $28.75 31.3% 9.0% 40.1% 36.7% 33.4% 8.3% 2.9% 383.7M -5.24B -115.7M 0.73 2.13 N/A N/A 1,600,204 1,169,384 17,273,304 12,935,536 2015-09-15 $29.07 $28.75 29.5% 8.5% 40.0% 31.8% 29.9% 7.7% 3.3% 467.5M -6.73B -114.1M 0.84 2.33 N/A N/A 1,478,316 1,241,916 17,567,564 13,175,580 2015-09-16 $29.09 $28.75 28.2% 8.1% 40.0% 28.1% 28.1% 7.3% 3.9% 461.5M -6.37B -113.8M 0.82 1.88 N/A N/A 1,130,608 926,120 17,771,768 13,376,460 2015-09-17 $28.51 $28.75 29.1% 8.1% 40.4% 30.7% 29.7% 7.8% 4.0% 290.4M -2.95B -110.7M 0.94 2.53 N/A N/A 2,139,728 2,017,508 18,037,876 13,537,372 2015-09-18 $28.39 $28.75 30.2% 8.1% 39.9% 33.6% 29.5% 8.0% 5.1% 209.3M -1.71B -112.1M 0.81 2.32 N/A N/A 2,062,864 1,669,908 18,232,512 13,899,116 2015-09-21 $28.79 $28.75 30.4% 7.5% 33.0% 34.2% 26.3% 8.2% 1.4% 305.1M -5.28B -112.0M 0.60 2.28 N/A N/A 1,573,704 942,544 15,592,492 11,539,232 2015-09-22 $28.16 $28.75 33.6% 8.4% 33.2% 42.6% 30.2% 8.6% 1.5% 204.1M -2.55B -110.3M 0.96 2.31 N/A N/A 759,980 725,956 16,067,988 11,790,628 2015-09-23 $28.63 $28.75 32.5% 7.6% 33.4% 39.8% 27.5% 8.8% 0.9% 356.1M -4.96B -112.7M 0.83 2.47 N/A N/A 874,168 727,860 16,321,524 12,013,188 2015-09-24 $28.75 $28.75 34.4% 8.2% 31.1% 44.7% 30.1% 9.0% 0.7% 405.7M -5.76B -112.1M 0.94 2.48 N/A N/A 1,416,496 1,330,396 16,480,288 12,145,496 2015-09-25 $28.72 $28.75 34.5% 8.0% 29.7% 45.2% 28.4% 8.6% 1.0% 678.3M -5.58B -113.3M 0.70 2.61 N/A N/A 1,982,160 1,384,016 16,622,880 12,428,636 2015-09-28 $28.21 $28.75 40.3% 9.9% 30.4% 60.8% 38.2% 10.8% -0.9% 209.3M -2.78B -112.3M 1.06 2.00 N/A N/A 1,246,348 1,317,548 16,071,176 11,897,016 2015-09-29 $27.20 $28.75 42.8% 11.0% 33.0% 67.3% 38.7% 11.6% -0.8% 42.3M 1.69B -106.7M 1.04 2.34 N/A N/A 2,289,640 2,370,112 16,325,996 12,311,560 2015-09-30 $27.53 $28.75 39.5% 9.0% 29.5% 58.6% 31.3% 9.8% -0.8% 116.6M 426.4M -105.9M 0.86 2.56 N/A N/A 1,890,076 1,619,880 16,769,300 12,395,120
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