AAPL Options History — March 2016 In March 2016, AAPL traded between $25.12 and $27.40. ATM implied volatility averaged 22.7%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 2.1% (HV 20d: 20.7%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.65.
Notable Days 2016-03-04 : Highest Volume — 3,370,632 contracts2016-03-28 : Largest IV spike — 13.8% change2016-03-31 : Highest IV Rank — 27.5%2016-03-07 : Largest Expected Move — 6.8%Monthly Statistics Metric Avg Min Max Open Close Price $26.06 $25.12 $27.40 $25.12 $27.27 Max Pain $25.00 $25.00 $25.00 $25.00 $25.00 ATM IV 22.7% 20.7% 28.0% 21.8% 28.0% Expected Move 6.0% 5.1% 6.8% 6.3% 5.5% HV 20d 20.7% 15.7% 26.6% 26.6% 16.0% HV 60d 28.9% 27.9% 30.3% 30.3% 28.2% IV Rank 13.2% 7.8% 27.5% 10.7% 27.5% IV Percentile 27.7% 13.1% 58.7% 20.6% 58.7% Term Structure 1.3% -0.6% 3.5% 0.3% -0.6% VWIV 21.2% 18.5% 23.4% 22.2% 19.5% Skew 25d 2.7% 1.9% 3.5% 3.3% 2.9% Skew 10d 5.4% 3.9% 7.2% 7.2% 6.2% Call IV 25d 21.9% 19.2% 27.0% 20.2% 27.0% Put IV 25d 24.5% 21.5% 29.9% 23.5% 29.9% Bid-Ask Spread % 1.97 1.35 3.74 2.14 2.15 Gamma HHI 0.14 0.09 0.38 0.09 0.15 Net GEX 431.3M 276.6M 974.0M 306.9M 477.0M Net DEX -4.50B -8.98B -1.23B -1.29B -8.26B Net VEX -84.5M -87.1M -82.0M -82.7M -85.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.43 0.89 0.64 0.60 Total Volume 1,892,201.636 785,048 3,370,632 2,960,528 1,398,880 Total OI 20,834,351.455 19,025,476 22,135,436 20,126,276 20,808,372
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 2016-03-01 $25.12 $25.00 21.8% 6.3% 26.6% 10.7% 22.2% 3.3% 0.3% 306.9M -1.29B -82.7M 0.64 2.14 N/A N/A 1,805,912 1,154,616 12,097,396 8,028,880 2016-03-02 $25.17 $25.00 21.4% 6.0% 25.2% 9.6% 21.5% 3.2% 0.4% 332.5M -1.63B -82.7M 0.82 2.33 N/A N/A 841,084 688,356 12,408,164 8,302,024 2016-03-03 $25.33 $25.00 21.8% 6.6% 24.3% 10.6% 22.7% 2.7% 0.7% 400.1M -2.65B -84.9M 0.54 1.67 N/A N/A 1,562,844 851,020 12,608,468 8,417,756 2016-03-04 $25.74 $25.00 21.1% 6.1% 24.8% 8.7% 22.4% 2.4% 0.5% 974.0M -5.04B -87.1M 0.62 1.52 N/A N/A 2,078,952 1,291,680 13,016,592 8,523,080 2016-03-07 $25.40 $25.00 22.8% 6.8% 22.6% 13.2% 23.4% 2.0% 0.9% 337.3M -2.38B -86.5M 0.78 1.35 N/A N/A 944,192 732,728 12,761,196 8,043,612 2016-03-08 $25.22 $25.00 22.7% 6.7% 22.7% 13.1% 23.3% 2.4% 0.7% 276.6M -1.23B -85.5M 0.65 1.72 N/A N/A 722,652 472,228 12,996,496 8,315,804 2016-03-09 $25.24 $25.00 21.8% 6.5% 22.7% 10.7% 22.5% 2.5% 0.7% 304.5M -1.28B -84.4M 0.62 1.47 N/A N/A 720,480 449,128 13,156,180 8,387,936 2016-03-10 $25.25 $25.00 22.8% 6.7% 22.3% 13.3% 23.2% 2.4% 0.8% 319.0M -1.34B -84.1M 0.70 1.73 N/A N/A 1,067,956 744,956 13,240,064 8,497,976 2016-03-11 $25.53 $25.00 21.7% 6.4% 22.3% 10.3% 22.1% 2.3% 1.0% 627.5M -2.99B -84.7M 0.59 1.87 N/A N/A 1,089,244 648,012 13,375,264 8,613,664 2016-03-14 $25.65 $25.00 21.2% 6.1% 22.3% 9.0% 22.1% 2.5% 3.1% 416.6M -3.11B -83.8M 0.54 1.81 N/A N/A 510,212 274,836 13,018,464 8,292,960 2016-03-15 $26.13 $25.00 21.5% 6.2% 21.1% 10.0% 22.5% 2.0% 2.0% 519.3M -6.01B -85.6M 0.55 1.69 N/A N/A 1,677,160 921,660 13,167,768 8,358,012 2016-03-16 $26.46 $25.00 21.4% 6.1% 21.0% 9.5% 21.9% 1.9% 2.1% 542.9M -7.31B -85.8M 0.61 1.53 N/A N/A 1,326,512 804,836 13,147,328 8,517,616 2016-03-17 $26.54 $25.00 22.2% 6.3% 19.1% 11.9% 22.8% 1.9% 2.0% 517.6M -7.55B -86.2M 0.69 1.70 N/A N/A 818,148 566,076 13,232,960 8,750,196 2016-03-18 $26.47 $25.00 20.7% 5.7% 19.2% 7.8% 19.9% 2.3% 2.4% 601.3M -7.14B -84.3M 0.43 1.86 N/A N/A 1,701,584 724,492 13,230,896 8,904,540 2016-03-21 $26.43 $25.00 21.7% 5.7% 19.3% 10.5% 19.9% 3.0% 3.1% 331.3M -4.68B -82.9M 0.71 3.74 N/A N/A 1,086,816 771,456 11,687,512 7,337,964 2016-03-22 $26.70 $25.00 21.6% 5.4% 16.8% 10.3% 19.9% 3.1% 3.1% 387.2M -5.95B -83.8M 0.89 2.26 N/A N/A 981,708 872,432 11,975,292 7,614,180 2016-03-23 $26.52 $25.00 22.4% 5.4% 17.0% 12.3% 19.2% 3.0% 2.8% 337.2M -5.08B -83.7M 0.70 2.28 N/A N/A 829,600 577,792 12,134,008 7,751,336 2016-03-24 $26.41 $25.00 22.6% 5.2% 17.3% 12.8% 18.8% 3.2% 3.5% 289.5M -4.51B -83.8M 0.77 2.28 N/A N/A 977,712 750,564 12,236,060 7,900,768 2016-03-28 $26.30 $25.00 25.7% 5.5% 17.6% 21.2% 19.4% 3.5% 0.2% 294.6M -3.85B -82.0M 0.80 2.06 N/A N/A 563,424 448,684 11,893,532 7,592,112 2016-03-29 $26.92 $25.00 26.0% 5.1% 18.8% 22.1% 18.5% 3.1% -0.4% 423.1M -6.72B -83.3M 0.64 1.95 N/A N/A 1,180,432 758,144 12,051,352 7,770,844 2016-03-30 $27.40 $25.00 27.5% 5.6% 15.7% 26.1% 19.8% 2.9% -0.6% 473.2M -8.98B -84.7M 0.48 2.19 N/A N/A 2,181,436 1,057,800 12,218,180 7,972,928 2016-03-31 $27.27 $25.00 28.0% 5.5% 16.0% 27.5% 19.5% 2.9% -0.6% 477.0M -8.26B -85.6M 0.60 2.15 N/A N/A 874,164 524,716 12,631,328 8,177,044
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