AAPL Options History — November 2015 In November 2015, AAPL traded between $28.15 and $30.82. ATM implied volatility averaged 22.8%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 5.3% (HV 20d: 28.1%). Max pain ranged from $28.75 to $30.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.48.
Notable Days 2015-11-04 : Highest Volume — 9,144,476 contracts2015-11-10 : Largest IV spike — 13.6% change2015-11-13 : Highest IV Rank — 22.3%2015-11-11 : Largest Expected Move — 7.6%Monthly Statistics Metric Avg Min Max Open Close Price $29.55 $28.15 $30.82 $30.26 $29.57 Max Pain $29.81 $28.75 $30.00 $28.75 $30.00 ATM IV 22.8% 20.7% 26.1% 21.3% 20.7% Expected Move 6.6% 6.0% 7.6% 6.2% 6.0% HV 20d 28.1% 24.2% 32.1% 26.4% 24.2% HV 60d 29.6% 25.7% 33.1% 33.1% 25.7% IV Rank 13.3% 7.8% 22.3% 9.8% 7.8% IV Percentile 26.2% 13.1% 47.6% 20.2% 13.1% Term Structure 0.2% -0.8% 0.9% 0.2% 0.5% VWIV 23.5% 21.1% 29.8% 22.4% 21.1% Skew 25d 3.7% 2.6% 5.1% 2.8% 3.3% Skew 10d 7.5% 4.5% 10.5% 5.0% 6.0% Call IV 25d 21.5% 19.3% 24.6% 20.6% 19.3% Put IV 25d 25.2% 22.6% 29.7% 23.4% 22.6% Bid-Ask Spread % 2.95 1.63 5.85 2.14 5.34 Gamma HHI 0.10 0.07 0.16 0.11 0.12 Net GEX 508.7M -15.7M 971.3M 712.8M 437.1M Net DEX -7.58B -16.93B 737.3M -13.54B -7.10B Net VEX -97.2M -104.0M -89.2M -102.0M -89.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.48 0.14 0.66 0.52 0.46 Total Volume 2,937,089.2 1,206,428 9,144,476 2,072,808 1,568,656 Total OI 26,091,724.8 23,728,444 27,615,560 26,075,136 23,728,444
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 2015-11-02 $30.26 $28.75 21.3% 6.2% 26.4% 9.8% 22.4% 2.8% 0.2% 712.8M -13.54B -102.0M 0.52 2.14 N/A N/A 1,364,784 708,024 15,406,680 10,668,456 2015-11-03 $30.82 $28.75 21.3% 6.2% 26.9% 9.5% 22.9% 2.8% 0.2% 870.9M -16.93B -104.0M 0.49 2.02 N/A N/A 1,828,648 887,676 15,673,400 10,880,436 2015-11-04 $30.42 $28.75 21.1% 6.2% 27.3% 8.8% 21.7% 2.6% 0.1% 763.3M -14.53B -102.6M 0.14 2.21 N/A N/A 8,003,988 1,140,488 15,885,592 11,121,796 2015-11-05 $30.23 $30.00 21.4% 6.3% 27.1% 9.5% 22.6% 2.6% 0.3% 644.0M -10.28B -102.6M 0.32 2.23 N/A N/A 3,713,664 1,190,620 15,005,420 11,472,432 2015-11-06 $30.27 $30.00 22.2% 6.6% 26.2% 11.9% 22.6% 3.0% -0.2% 971.3M -10.89B -103.3M 0.65 3.10 N/A N/A 1,612,024 1,052,616 15,349,556 11,533,576 2015-11-09 $30.14 $30.00 22.4% 6.6% 26.2% 12.4% 23.5% 3.6% 0.6% 641.5M -10.02B -102.7M 0.56 5.03 N/A N/A 1,162,596 654,292 14,745,932 11,007,348 2015-11-10 $29.10 $30.00 25.5% 7.4% 29.7% 20.6% 26.6% 4.2% 0.4% 299.0M -4.22B -98.8M 0.45 1.88 N/A N/A 3,347,424 1,507,284 15,023,196 11,219,644 2015-11-11 $29.07 $30.00 25.8% 7.6% 28.9% 21.4% 29.8% 4.2% 0.5% 326.5M -4.41B -99.9M 0.30 5.85 N/A N/A 1,367,060 405,812 15,305,700 11,479,152 2015-11-12 $28.95 $30.00 24.4% 7.2% 28.6% 17.6% 24.7% 4.3% 0.9% 270.8M -3.43B -97.2M 0.45 2.03 N/A N/A 1,921,464 868,676 15,439,484 11,579,088 2015-11-13 $28.15 $30.00 26.1% 7.4% 30.4% 22.3% 27.0% 5.1% -0.3% -15.7M 737.3M -93.0M 0.59 2.10 N/A N/A 2,934,548 1,721,008 15,617,452 11,660,900 2015-11-16 $28.55 $30.00 25.1% 7.2% 30.7% 19.5% 25.7% 5.1% 0.2% 229.8M -2.00B -92.9M 0.66 2.62 N/A N/A 1,185,640 777,820 15,018,168 11,261,852 2015-11-17 $28.43 $30.00 24.2% 6.9% 30.0% 17.2% 24.5% 5.1% 0.4% 238.4M -1.64B -92.1M 0.40 2.42 N/A N/A 1,673,000 667,964 15,228,012 11,403,788 2015-11-18 $29.34 $30.00 24.3% 7.0% 32.1% 17.4% 23.7% 4.7% -0.8% 561.8M -6.84B -96.4M 0.51 1.63 N/A N/A 2,081,904 1,060,844 15,411,652 11,526,456 2015-11-19 $29.74 $30.00 22.5% 6.4% 32.0% 12.6% 23.0% 3.9% 0.3% 779.3M -9.29B -97.6M 0.45 2.27 N/A N/A 2,362,892 1,063,000 15,633,520 11,676,360 2015-11-20 $29.81 $30.00 21.3% 6.1% 30.1% 9.2% 22.0% 3.6% 0.3% 636.8M -9.43B -96.1M 0.51 1.85 N/A N/A 1,743,996 893,452 15,758,684 11,856,876 2015-11-23 $29.44 $30.00 21.8% 6.3% 28.1% 10.6% 21.9% 3.5% 0.1% 404.4M -6.51B -93.2M 0.56 4.68 N/A N/A 1,195,548 666,604 13,631,244 10,157,596 2015-11-24 $29.72 $30.00 21.3% 6.1% 28.1% 9.5% 21.9% 3.2% 0.2% 521.1M -7.93B -96.3M 0.48 3.49 N/A N/A 1,182,152 571,484 13,922,932 10,343,600 2015-11-25 $29.50 $30.00 21.4% 6.1% 24.7% 9.7% 21.4% 3.3% 0.1% 443.8M -6.77B -93.2M 0.46 2.74 N/A N/A 988,528 459,176 14,076,248 10,418,832 2015-11-27 $29.45 $30.00 20.9% 6.0% 24.2% 8.2% 21.6% 3.2% 0.3% 437.3M -6.53B -91.0M 0.59 3.36 N/A N/A 760,024 446,404 14,189,080 10,515,912 2015-11-30 $29.57 $30.00 20.7% 6.0% 24.2% 7.8% 21.1% 3.3% 0.5% 437.1M -7.10B -89.2M 0.46 5.34 N/A N/A 1,071,156 497,500 13,608,768 10,119,676
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