AAPL Options History — January 2016

In January 2016, AAPL traded between $23.38 and $26.30. ATM implied volatility averaged 36.3%, placing in the 49.7% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 8.2% (HV 20d: 28.1%). Max pain ranged from $26.25 to $28.75. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.73.

Notable Days

2016-01-27: Highest Volume — 6,633,672 contracts
2016-01-27: Largest IV drop — 19.9% change
2016-01-07: Highest IV Rank — 64.3%
2016-01-25: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.60	$23.38	$26.30	$26.30	$23.88
Max Pain	$27.74	$26.25	$28.75	$27.50	$26.25
ATM IV	36.3%	27.1%	41.7%	34.8%	27.1%
Expected Move	10.1%	7.7%	11.9%	9.1%	7.7%
HV 20d	28.1%	22.0%	37.5%	25.6%	37.3%
HV 60d	27.2%	25.7%	29.1%	25.7%	29.1%
IV Rank	49.7%	24.8%	64.3%	45.7%	24.8%
IV Percentile	86.6%	55.6%	97.6%	85.3%	55.6%
Term Structure	-1.5%	-2.8%	0.2%	-1.6%	0.2%
VWIV	35.2%	27.7%	41.1%	30.5%	27.7%
Skew 25d	4.5%	2.4%	5.8%	5.7%	2.6%
Skew 10d	8.7%	4.9%	12.1%	10.9%	4.9%
Call IV 25d	34.2%	26.2%	39.6%	31.9%	26.2%
Put IV 25d	38.8%	28.9%	45.2%	37.5%	28.9%
Bid-Ask Spread %	2.64	1.71	6.07	2.35	2.84
Gamma HHI	0.06	0.04	0.10	0.05	0.06
Net GEX	23.1M	-128.7M	239.5M	-1.4M	57.8M
Net DEX	5.97B	208.5M	10.43B	4.38B	5.75B
Net VEX	-70.8M	-79.0M	-64.1M	-70.2M	-74.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.59	0.96	0.85	0.67
Total Volume	3,245,279.789	1,105,508	6,633,672	4,137,716	1,105,508
Total OI	23,199,662.526	17,226,140	27,646,156	24,141,188	22,889,400

Daily Data (19 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
2016-01-04	$26.30	$27.50	34.8%	9.1%	25.6%	45.7%	30.5%	5.7%	-1.6%	-1.4M	4.38B	-70.2M	0.85	2.35	N/A	N/A	2,234,580	1,903,136	13,717,040	10,424,148
2016-01-05	$25.70	$28.75	36.0%	9.3%	22.0%	48.8%	33.3%	5.2%	-1.4%	-39.7M	6.73B	-69.4M	0.73	2.07	N/A	N/A	1,537,672	1,127,776	14,370,764	11,035,344
2016-01-06	$25.09	$28.75	37.8%	10.0%	22.7%	53.9%	34.7%	5.1%	-1.6%	-88.3M	8.48B	-67.3M	0.77	1.97	N/A	N/A	1,975,516	1,521,196	14,737,768	11,228,816
2016-01-07	$24.29	$28.75	41.7%	10.9%	24.1%	64.3%	37.4%	5.6%	-2.3%	-124.6M	10.43B	-64.7M	0.70	3.32	N/A	N/A	2,689,280	1,878,696	15,161,416	11,403,696
2016-01-08	$24.25	$28.75	39.3%	10.4%	23.5%	57.9%	36.1%	5.7%	-2.1%	-76.3M	10.23B	-66.1M	0.96	2.23	N/A	N/A	1,917,828	1,841,540	16,010,988	11,577,036
2016-01-11	$24.64	$28.75	37.3%	10.1%	24.7%	52.3%	35.1%	5.5%	-1.4%	-5.2M	8.59B	-68.5M	0.78	2.96	N/A	N/A	1,041,768	812,548	15,396,276	11,190,516
2016-01-12	$25.02	$28.75	35.4%	9.6%	25.2%	47.3%	33.7%	5.1%	-1.9%	58.2M	6.52B	-70.2M	0.70	3.02	N/A	N/A	1,025,188	712,676	15,683,584	11,003,124
2016-01-13	$24.39	$28.75	38.1%	10.4%	26.2%	54.6%	36.3%	4.9%	-2.1%	-15.2M	7.92B	-68.2M	0.69	2.08	N/A	N/A	1,549,500	1,074,872	15,865,708	10,903,952
2016-01-14	$24.85	$27.50	35.3%	9.7%	27.5%	47.1%	34.2%	5.0%	-1.9%	80.4M	6.38B	-70.9M	0.69	1.71	N/A	N/A	2,083,392	1,443,408	16,181,432	10,998,528
2016-01-15	$24.30	$27.50	40.1%	11.0%	27.8%	60.0%	36.7%	5.8%	-2.8%	-47.8M	8.14B	-70.7M	0.69	2.36	N/A	N/A	2,932,720	2,013,168	16,466,364	11,179,792
2016-01-19	$24.23	$27.50	37.5%	10.7%	27.4%	53.1%	37.1%	4.4%	-1.2%	72.6M	4.02B	-71.1M	0.59	2.52	N/A	N/A	1,426,436	842,480	10,574,532	6,651,608
2016-01-20	$24.27	$27.50	40.7%	11.7%	26.1%	61.6%	41.1%	4.3%	-1.9%	113.3M	3.46B	-73.2M	0.67	2.73	N/A	N/A	1,595,352	1,070,140	11,055,764	6,875,380
2016-01-21	$24.14	$27.50	37.1%	10.7%	25.5%	51.8%	37.5%	4.0%	-1.7%	124.8M	3.85B	-71.4M	0.80	2.07	N/A	N/A	1,127,032	903,740	11,416,284	7,036,100
2016-01-22	$25.33	$27.50	35.7%	10.4%	31.7%	48.1%	36.7%	4.0%	-1.8%	239.5M	208.5M	-79.0M	0.79	2.44	N/A	N/A	2,190,836	1,721,508	11,639,208	7,278,016
2016-01-25	$24.88	$27.50	39.2%	11.9%	31.6%	57.5%	41.1%	3.9%	-1.9%	132.7M	1.78B	-78.1M	0.67	2.92	N/A	N/A	1,339,656	895,744	11,241,012	7,071,128
2016-01-26	$24.86	$27.00	37.6%	11.5%	31.6%	53.2%	39.7%	4.1%	-1.5%	145.8M	2.05B	-76.3M	0.81	6.07	N/A	N/A	2,615,636	2,108,760	11,738,968	7,411,224
2016-01-27	$23.38	$26.25	30.1%	8.7%	37.5%	33.0%	30.6%	2.4%	-0.0%	-128.7M	7.49B	-64.1M	0.71	2.33	N/A	N/A	3,880,096	2,753,576	12,590,936	8,300,264
2016-01-28	$23.54	$26.25	28.6%	8.2%	36.6%	29.1%	29.4%	2.7%	-0.2%	-58.3M	6.99B	-71.9M	0.65	2.13	N/A	N/A	1,679,328	1,088,028	13,673,616	8,813,856
2016-01-29	$23.88	$26.25	27.1%	7.7%	37.3%	24.8%	27.7%	2.6%	0.2%	57.8M	5.75B	-74.3M	0.67	2.84	N/A	N/A	660,128	445,380	13,924,864	8,964,536