AAPL Options History — October 2015 In October 2015, AAPL traded between $27.25 and $30.13. ATM implied volatility averaged 33.5%, placing in the 42.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 8.8% (HV 20d: 24.7%). Max pain ranged from $28.75 to $28.75. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.73.
Notable Days 2015-10-28 : Highest Volume — 5,475,248 contracts2015-10-28 : Largest IV drop — 38.1% change2015-10-01 : Highest IV Rank — 64.8%2015-10-26 : Largest Expected Move — 11.5%Monthly Statistics Metric Avg Min Max Open Close Price $28.32 $27.25 $30.13 $27.25 $29.97 Max Pain $28.75 $28.75 $28.75 $28.75 $28.75 ATM IV 33.5% 22.0% 41.8% 41.8% 22.0% Expected Move 9.3% 6.4% 11.5% 10.0% 6.4% HV 20d 24.7% 22.3% 27.1% 27.0% 26.4% HV 60d 32.5% 31.5% 33.4% 33.4% 33.1% IV Rank 42.4% 11.5% 64.8% 64.8% 11.5% IV Percentile 76.5% 23.0% 98.0% 98.0% 23.0% Term Structure -1.2% -2.3% 0.6% -1.2% 0.6% VWIV 32.9% 23.1% 40.4% 36.6% 23.1% Skew 25d 7.5% 2.9% 10.7% 10.7% 2.9% Skew 10d 15.7% 4.9% 21.6% 21.6% 4.9% Call IV 25d 30.3% 21.2% 37.5% 37.5% 21.2% Put IV 25d 37.8% 24.1% 48.2% 48.2% 24.1% Bid-Ask Spread % 2.56 1.68 5.62 2.40 2.09 Gamma HHI 0.09 0.05 0.44 0.05 0.44 Net GEX 362.0M 10.4M 1.47B 49.3M 1.47B Net DEX -3.79B -14.66B 2.09B 1.60B -13.50B Net VEX -102.2M -106.8M -95.9M -105.4M -104.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.73 0.45 0.98 0.93 0.48 Total Volume 3,073,616 1,721,556 5,475,248 2,467,432 3,539,124 Total OI 28,284,869.273 24,147,112 30,883,116 29,626,348 28,473,164
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 2015-10-01 $27.25 $28.75 41.8% 10.0% 27.0% 64.8% 36.6% 10.7% -1.2% 49.3M 1.60B -105.4M 0.93 2.40 N/A N/A 1,280,108 1,187,324 17,035,328 12,591,020 2015-10-02 $27.57 $28.75 39.3% 8.8% 27.0% 58.1% 31.8% 9.8% -1.1% 185.8M -130.8M -106.6M 0.89 2.34 N/A N/A 1,864,944 1,664,520 17,356,624 12,828,040 2015-10-05 $27.70 $28.75 38.0% 10.2% 26.9% 54.4% 35.8% 8.7% -1.7% 174.7M -188.9M -103.1M 0.89 4.39 N/A N/A 1,261,680 1,119,884 16,631,472 12,214,908 2015-10-06 $27.83 $28.75 37.4% 10.2% 25.4% 53.0% 35.2% 8.7% -1.4% 194.1M -795.3M -105.9M 0.92 2.17 N/A N/A 1,158,280 1,066,400 16,889,872 12,639,368 2015-10-07 $27.62 $28.75 38.1% 10.2% 24.3% 54.8% 35.3% 8.5% -1.7% 137.7M 435.0M -103.8M 0.98 2.31 N/A N/A 1,198,020 1,174,956 17,109,132 12,769,160 2015-10-08 $27.36 $28.75 38.6% 10.2% 22.9% 56.2% 35.9% 9.0% -1.9% 10.4M 2.09B -100.9M 0.82 2.30 N/A N/A 1,714,624 1,411,324 17,242,328 13,081,728 2015-10-09 $28.00 $28.75 36.3% 10.0% 24.0% 50.0% 34.9% 8.8% -1.8% 456.5M -1.94B -104.5M 0.77 2.48 N/A N/A 1,879,196 1,448,712 17,516,500 13,255,956 2015-10-12 $27.89 $28.75 34.6% 9.7% 23.6% 45.3% 34.1% 8.2% -0.2% 220.9M -371.1M -99.1M 0.79 1.87 N/A N/A 1,084,568 856,684 16,956,872 12,551,288 2015-10-13 $27.95 $28.75 33.5% 9.5% 23.3% 42.6% 32.6% 8.4% -0.2% 241.1M -433.6M -98.6M 0.80 2.20 N/A N/A 989,796 790,924 17,220,616 12,745,072 2015-10-14 $27.50 $28.75 35.1% 9.7% 23.8% 46.8% 35.2% 9.0% -1.3% 74.6M 1.99B -95.9M 0.82 2.23 N/A N/A 1,562,632 1,280,608 17,352,936 12,784,628 2015-10-15 $27.95 $28.75 33.0% 9.4% 23.8% 41.2% 32.8% 8.5% -0.5% 278.8M -335.8M -96.8M 0.88 1.85 N/A N/A 1,463,292 1,286,056 17,506,816 12,933,260 2015-10-16 $27.75 $28.75 33.7% 9.4% 23.9% 43.0% 31.9% 8.6% -1.1% 145.3M 642.8M -96.8M 0.71 1.68 N/A N/A 1,387,196 988,600 17,725,488 13,157,628 2015-10-19 $27.89 $28.75 32.0% 9.0% 23.3% 38.5% 32.7% 7.8% -1.7% 210.6M -2.54B -96.7M 0.67 2.57 N/A N/A 1,032,428 689,128 13,781,564 10,365,548 2015-10-20 $28.43 $28.75 31.8% 9.0% 23.1% 37.8% 32.3% 7.7% -1.7% 350.3M -5.22B -100.3M 0.58 2.83 N/A N/A 1,699,628 979,900 14,135,364 10,573,132 2015-10-21 $28.46 $28.75 31.7% 9.1% 22.3% 37.7% 32.9% 8.1% -1.5% 389.2M -5.33B -100.5M 0.55 2.24 N/A N/A 1,956,156 1,067,984 14,424,736 10,966,560 2015-10-22 $28.85 $28.75 29.3% 8.5% 22.8% 31.1% 30.8% 7.5% -1.8% 530.3M -7.13B -100.8M 0.67 2.35 N/A N/A 1,610,040 1,084,072 14,682,232 11,147,540 2015-10-23 $29.75 $28.75 30.2% 8.8% 25.3% 33.5% 32.6% 6.2% -1.8% 587.3M -12.54B -106.2M 0.54 2.69 N/A N/A 3,411,924 1,831,800 14,835,844 11,259,800 2015-10-26 $28.82 $28.75 37.5% 11.5% 27.1% 53.2% 40.4% 6.6% -1.9% 308.6M -6.97B -106.8M 0.69 2.84 N/A N/A 2,048,576 1,415,868 14,490,732 10,627,600 2015-10-27 $28.63 $28.75 37.0% 11.3% 23.5% 51.8% 37.7% 6.2% -2.3% 298.3M -6.14B -104.6M 0.57 5.62 N/A N/A 3,310,044 1,902,128 15,012,804 11,051,408 2015-10-28 $29.76 $28.75 22.9% 6.8% 26.6% 14.0% 25.0% 3.2% 0.2% 723.8M -12.00B -103.8M 0.66 2.55 N/A N/A 3,291,220 2,184,028 16,090,900 11,853,980 2015-10-29 $30.13 $28.75 22.4% 6.6% 26.2% 12.6% 24.3% 3.0% 0.4% 926.9M -14.66B -105.9M 0.45 2.25 N/A N/A 2,378,852 1,066,324 16,470,420 11,927,756 2015-10-30 $29.97 $28.75 22.0% 6.4% 26.4% 11.5% 23.1% 2.9% 0.6% 1.47B -13.50B -104.8M 0.48 2.09 N/A N/A 2,390,596 1,148,528 16,507,688 11,965,476
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