AAPL Options History — August 2016 In August 2016, AAPL traded between $26.12 and $27.38. ATM implied volatility averaged 17.6%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 5.8% (HV 20d: 23.4%). Max pain ranged from $24.63 to $26.25. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.61.
Notable Days 2016-08-03 : Highest Volume — 5,745,672 contracts2016-08-03 : Largest IV drop — 8.6% change2016-08-31 : Highest IV Rank — 13.4%2016-08-31 : Largest Expected Move — 5.9%Monthly Statistics Metric Avg Min Max Open Close Price $26.92 $26.12 $27.38 $26.53 $26.55 Max Pain $25.34 $24.63 $26.25 $24.63 $26.25 ATM IV 17.6% 15.9% 19.8% 16.9% 19.8% Expected Move 5.1% 4.5% 5.9% 4.7% 5.9% HV 20d 23.4% 10.4% 28.0% 27.1% 10.4% HV 60d 21.2% 20.2% 22.7% 22.4% 20.3% IV Rank 4.8% 0.0% 13.4% 0.7% 13.4% IV Percentile 4.8% 0.0% 14.3% 0.8% 14.3% Term Structure 0.4% -0.4% 1.0% 0.5% -0.4% VWIV 18.3% 15.5% 21.0% 17.4% 21.0% Skew 25d 1.2% 0.7% 1.7% 1.6% 1.2% Skew 10d 2.7% 1.6% 4.0% 3.7% 2.1% Call IV 25d 17.5% 15.5% 19.6% 16.6% 19.6% Put IV 25d 18.7% 16.9% 20.7% 18.3% 20.7% Bid-Ask Spread % 1.81 1.13 2.81 1.95 2.23 Gamma HHI 0.15 0.11 0.21 0.13 0.11 Net GEX 508.4M 302.7M 681.8M 524.2M 362.6M Net DEX -7.37B -9.86B -3.91B -8.12B -4.31B Net VEX -83.3M -86.8M -79.5M -82.1M -79.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.11 0.87 0.53 0.83 Total Volume 1,867,930.087 1,079,884 5,745,672 2,080,516 1,308,320 Total OI 20,230,665.217 18,897,096 21,243,348 20,023,924 20,252,572
Daily Data (23 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 2016-08-01 $26.53 $24.63 16.9% 4.7% 27.1% 0.7% 17.4% 1.6% 0.5% 524.2M -8.12B -82.1M 0.53 1.95 N/A N/A 1,355,608 724,908 12,284,412 7,739,512 2016-08-02 $26.12 $24.75 17.8% 5.0% 27.4% 3.2% 17.8% 1.7% 0.5% 467.1M -6.12B -82.8M 0.63 1.83 N/A N/A 1,121,424 701,804 12,507,664 7,935,840 2016-08-03 $26.45 $24.88 16.3% 4.5% 27.5% 0.0% 15.5% 1.6% 0.7% 681.8M -8.14B -83.2M 0.11 2.81 N/A N/A 5,166,700 578,972 12,662,712 8,165,204 2016-08-04 $26.48 $25.00 15.9% 5.1% 27.6% 0.0% 18.2% 1.4% 0.6% 610.9M -5.96B -82.1M 0.58 1.52 N/A N/A 1,225,052 716,244 11,787,340 8,335,176 2016-08-05 $26.87 $25.00 17.3% 5.5% 27.8% 3.3% 19.0% 1.1% 0.4% 505.2M -8.20B -86.8M 0.41 1.69 N/A N/A 2,210,784 896,732 11,987,304 8,447,112 2016-08-08 $27.08 $25.00 17.7% 5.4% 27.8% 4.6% 19.4% 0.9% 1.0% 561.7M -8.61B -86.2M 0.46 1.41 N/A N/A 1,335,504 614,848 11,934,612 7,965,316 2016-08-09 $27.23 $25.00 16.9% 5.2% 27.8% 2.5% 18.4% 0.9% 1.0% 601.2M -9.20B -84.1M 0.58 1.32 N/A N/A 1,128,156 659,584 12,159,764 8,179,216 2016-08-10 $27.00 $25.00 17.0% 5.1% 28.0% 2.7% 18.3% 0.9% 0.8% 559.7M -8.10B -85.5M 0.87 1.58 N/A N/A 774,196 674,988 12,257,324 8,292,032 2016-08-11 $27.02 $25.00 17.0% 5.1% 27.4% 2.8% 18.2% 0.9% 0.9% 568.8M -8.36B -85.6M 0.52 1.45 N/A N/A 964,432 497,720 12,337,920 8,463,936 2016-08-12 $27.05 $25.00 16.7% 5.0% 27.4% 2.0% 17.9% 0.9% 0.7% 589.8M -8.36B -85.4M 0.58 1.39 N/A N/A 856,328 494,880 12,513,640 8,506,800 2016-08-15 $27.38 $25.00 17.5% 5.1% 27.4% 4.0% 18.1% 0.7% 0.3% 627.6M -9.86B -85.1M 0.42 1.33 N/A N/A 1,188,336 493,568 12,126,220 8,105,904 2016-08-16 $27.38 $25.00 17.8% 5.1% 27.4% 4.7% 18.1% 1.1% 0.4% 631.1M -9.79B -84.2M 0.43 1.31 N/A N/A 1,599,920 682,820 12,300,368 8,180,828 2016-08-17 $27.30 $25.00 17.4% 5.0% 27.5% 3.7% 17.7% 1.0% 0.7% 572.4M -8.84B -84.0M 0.81 1.46 N/A N/A 791,404 638,868 12,344,684 8,382,484 2016-08-18 $27.27 $25.00 17.1% 4.9% 27.3% 2.9% 17.4% 1.1% 0.8% 589.7M -8.56B -84.2M 0.61 1.63 N/A N/A 714,356 437,664 12,478,128 8,543,748 2016-08-19 $27.34 $25.00 16.8% 4.8% 26.8% 2.2% 17.3% 1.3% 0.8% 464.5M -9.07B -84.1M 0.65 1.13 N/A N/A 1,184,364 765,616 12,608,212 8,635,136 2016-08-22 $27.14 $25.00 17.7% 5.0% 26.3% 4.5% 17.8% 1.5% -0.1% 446.9M -6.89B -82.9M 0.70 2.20 N/A N/A 784,580 552,624 11,640,012 7,257,084 2016-08-23 $27.22 $26.00 17.1% 4.8% 26.1% 3.1% 17.2% 1.5% 0.1% 497.5M -7.24B -81.3M 0.61 2.06 N/A N/A 671,168 408,716 11,832,544 7,432,260 2016-08-24 $27.01 $26.25 18.4% 5.2% 13.5% 7.8% 18.6% 1.6% -0.2% 427.6M -6.15B -82.8M 0.62 2.52 N/A N/A 756,036 469,740 11,992,636 7,502,888 2016-08-25 $26.93 $26.25 18.6% 5.3% 13.4% 9.4% 18.8% 1.2% -0.1% 403.7M -5.78B -82.6M 0.72 2.13 N/A N/A 981,616 711,536 12,097,252 7,603,760 2016-08-26 $26.75 $26.25 18.9% 5.4% 13.6% 10.5% 19.0% 1.3% -0.1% 302.7M -5.08B -81.8M 0.78 2.66 N/A N/A 1,224,840 960,516 12,287,920 7,750,620 2016-08-29 $26.70 $26.25 19.3% 5.6% 12.1% 11.7% 20.3% 1.3% -0.1% 372.2M -4.93B -80.2M 0.66 2.10 N/A N/A 857,212 563,752 12,035,496 7,518,852 2016-08-30 $26.46 $26.25 19.2% 5.6% 11.2% 11.2% 20.0% 1.1% -0.2% 324.4M -3.91B -79.5M 0.84 1.88 N/A N/A 825,460 690,496 12,293,100 7,639,756 2016-08-31 $26.55 $26.25 19.8% 5.9% 10.4% 13.4% 21.0% 1.2% -0.4% 362.6M -4.31B -79.9M 0.83 2.23 N/A N/A 715,048 593,272 12,477,228 7,775,344
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