AAPL Options History — June 2016 In June 2016, AAPL traded between $23.02 and $24.92. ATM implied volatility averaged 22.1%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 4.2% (HV 20d: 18.0%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.79.
Notable Days 2016-06-17 : Highest Volume — 2,779,996 contracts2016-06-24 : Largest IV spike — 12.8% change2016-06-27 : Highest IV Rank — 27.6%2016-06-27 : Largest Expected Move — 6.7%Monthly Statistics Metric Avg Min Max Open Close Price $24.15 $23.02 $24.92 $24.59 $23.87 Max Pain $24.36 $24.00 $25.00 $25.00 $24.00 ATM IV 22.1% 17.9% 28.2% 19.9% 23.9% Expected Move 5.8% 4.6% 6.7% 5.5% 4.6% HV 20d 18.0% 14.1% 21.7% 21.7% 18.3% HV 60d 23.8% 23.2% 24.1% 23.9% 23.9% IV Rank 11.4% 0.3% 27.6% 5.5% 16.0% IV Percentile 24.0% 0.4% 61.9% 7.9% 36.1% Term Structure 1.1% -0.2% 4.1% -0.1% -0.0% VWIV 20.4% 16.6% 23.1% 19.4% 16.6% Skew 25d 2.9% 1.6% 4.5% 1.6% 3.3% Skew 10d 5.8% 2.8% 10.2% 2.8% 6.5% Call IV 25d 21.1% 17.5% 26.5% 19.5% 22.5% Put IV 25d 24.0% 19.3% 30.9% 21.1% 25.8% Bid-Ask Spread % 2.43 1.50 5.06 1.62 2.70 Gamma HHI 0.09 0.06 0.23 0.11 0.07 Net GEX 161.9M -58.9M 511.8M 239.6M 180.1M Net DEX 2.13B -1.26B 5.33B 364.8M 1.54B Net VEX -76.1M -81.7M -67.0M -81.6M -71.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.56 1.00 0.56 0.84 Total Volume 1,696,776.909 999,172 2,779,996 1,459,072 1,748,096 Total OI 22,036,661.273 19,491,760 23,988,260 22,806,716 20,623,972
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 2016-06-01 $24.59 $25.00 19.9% 5.5% 21.7% 5.5% 19.4% 1.6% -0.1% 239.6M 364.8M -81.6M 0.56 1.62 N/A N/A 936,244 522,828 14,054,664 8,752,052 2016-06-02 $24.40 $24.38 20.1% 5.8% 21.5% 6.0% 20.5% 1.6% -0.2% 192.7M 1.45B -80.2M 0.59 1.97 N/A N/A 1,418,356 842,720 14,270,132 8,827,516 2016-06-03 $24.50 $24.38 19.0% 5.6% 20.9% 3.2% 19.9% 1.7% 0.1% 272.6M 933.6M -80.4M 0.81 1.50 N/A N/A 991,868 807,868 14,451,360 8,962,496 2016-06-06 $24.69 $24.38 18.8% 5.4% 20.7% 2.5% 19.9% 1.7% 0.2% 314.3M -96.4M -80.8M 0.76 1.72 N/A N/A 711,920 544,196 13,949,332 8,611,052 2016-06-07 $24.75 $24.38 18.6% 5.4% 20.7% 2.1% 19.4% 1.7% 0.2% 350.0M -343.5M -80.8M 0.77 1.63 N/A N/A 764,144 588,892 14,134,752 8,779,228 2016-06-08 $24.70 $24.38 17.9% 5.2% 20.8% 0.3% 18.8% 1.8% 0.1% 314.3M 109.1M -80.2M 0.80 1.64 N/A N/A 556,124 443,048 14,234,984 8,918,508 2016-06-09 $24.92 $24.38 18.0% 5.2% 20.3% 0.5% 18.8% 1.8% 0.3% 511.8M -1.26B -80.9M 0.88 1.85 N/A N/A 826,500 723,932 14,351,212 9,010,808 2016-06-10 $24.71 $24.38 19.8% 5.7% 18.1% 5.3% 20.9% 2.0% 0.2% 191.2M 121.6M -81.7M 0.78 2.18 N/A N/A 1,156,360 898,552 14,409,396 9,121,556 2016-06-13 $24.32 $24.38 21.4% 6.2% 19.5% 9.7% 21.9% 2.3% 3.0% 149.0M 2.30B -78.5M 0.74 1.80 N/A N/A 947,444 697,216 13,961,184 8,960,004 2016-06-14 $24.36 $24.38 21.7% 6.2% 14.9% 10.3% 22.2% 2.6% 4.1% 191.3M 1.95B -80.3M 0.80 1.74 N/A N/A 913,292 734,296 14,195,056 9,045,572 2016-06-15 $24.28 $24.38 21.0% 6.0% 14.9% 8.4% 21.1% 2.6% 3.8% 182.7M 2.40B -78.4M 0.78 1.86 N/A N/A 818,020 640,176 14,340,048 9,138,316 2016-06-16 $24.41 $24.38 21.5% 6.0% 14.7% 9.9% 21.2% 3.0% 4.1% 245.9M 2.10B -77.7M 0.85 1.61 N/A N/A 1,129,896 962,676 14,501,660 9,269,096 2016-06-17 $23.84 $24.38 23.5% 6.4% 17.2% 15.3% 22.3% 3.9% 2.7% -33.7M 4.76B -74.5M 0.82 1.86 N/A N/A 1,529,544 1,250,452 14,611,032 9,377,228 2016-06-20 $23.78 $24.38 24.0% 6.1% 17.0% 16.4% 21.1% 4.0% 1.4% 23.3M 3.93B -72.3M 0.76 1.98 N/A N/A 711,412 538,912 11,979,596 7,812,900 2016-06-21 $24.00 $24.38 23.8% 5.7% 16.5% 15.9% 19.9% 4.2% 1.1% 56.4M 3.25B -73.2M 0.91 2.14 N/A N/A 741,364 672,192 12,151,324 7,938,272 2016-06-22 $23.89 $24.38 25.0% 6.1% 15.5% 19.1% 21.4% 4.3% 1.2% 47.0M 3.62B -73.2M 1.00 3.29 N/A N/A 731,452 728,524 12,431,908 8,077,368 2016-06-23 $23.98 $24.38 23.7% 5.5% 14.1% 15.6% 19.5% 3.9% 1.0% 71.1M 3.38B -72.8M 0.87 5.06 N/A N/A 590,220 513,464 12,558,376 8,190,004 2016-06-24 $23.42 $24.38 26.8% 6.6% 15.6% 23.8% 22.7% 4.3% 0.7% -58.9M 5.33B -70.3M 0.93 4.10 N/A N/A 1,416,488 1,312,336 12,706,324 8,288,276 2016-06-27 $23.02 $24.38 28.2% 6.7% 16.3% 27.6% 23.1% 4.5% 0.2% -28.8M 4.81B -67.0M 0.73 3.78 N/A N/A 1,160,360 849,688 11,953,676 7,538,084 2016-06-28 $23.40 $24.13 25.0% 5.5% 17.9% 19.1% 19.1% 3.7% 0.0% 35.2M 3.57B -68.2M 0.66 3.96 N/A N/A 995,072 657,596 12,269,456 7,710,300 2016-06-29 $23.61 $24.00 25.1% 5.1% 17.9% 19.2% 18.0% 3.2% -0.2% 115.6M 2.60B -70.7M 0.69 3.57 N/A N/A 947,908 657,444 12,535,764 7,802,704 2016-06-30 $23.87 $24.00 23.9% 4.6% 18.3% 16.0% 16.6% 3.3% -0.0% 180.1M 1.54B -71.1M 0.84 2.70 N/A N/A 950,860 797,236 12,711,352 7,912,620
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