AAPL Options History — September 2016 In September 2016, AAPL traded between $25.87 and $28.89. ATM implied volatility averaged 21.6%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 0.8% (HV 20d: 20.8%). Max pain ranged from $26.25 to $27.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.65.
Notable Days 2016-09-14 : Highest Volume — 7,831,708 contracts2016-09-26 : Largest IV spike — 15.6% change2016-09-29 : Highest IV Rank — 47.2%2016-09-15 : Largest Expected Move — 6.2%Monthly Statistics Metric Avg Min Max Open Close Price $27.73 $25.87 $28.89 $26.63 $28.24 Max Pain $26.96 $26.25 $27.50 $26.25 $27.50 ATM IV 21.6% 18.3% 28.2% 19.9% 26.7% Expected Move 5.6% 5.1% 6.2% 5.9% 5.1% HV 20d 20.8% 9.3% 26.6% 10.4% 26.6% HV 60d 22.0% 19.9% 23.5% 20.3% 22.8% IV Rank 21.2% 8.7% 47.2% 14.8% 41.6% IV Percentile 29.7% 8.7% 75.4% 15.5% 68.7% Term Structure 1.5% -0.7% 7.1% -0.4% -0.5% VWIV 20.1% 18.1% 22.3% 20.9% 18.1% Skew 25d 1.4% 0.7% 2.4% 1.3% 2.4% Skew 10d 2.8% 1.3% 4.7% 2.5% 4.4% Call IV 25d 21.2% 18.0% 27.6% 19.8% 26.0% Put IV 25d 22.6% 18.9% 29.7% 21.1% 28.4% Bid-Ask Spread % 1.95 1.39 2.59 2.06 2.09 Gamma HHI 0.15 0.08 0.49 0.12 0.17 Net GEX 584.8M 151.9M 1.44B 420.9M 782.0M Net DEX -8.65B -17.04B -149.0M -4.72B -8.91B Net VEX -85.9M -91.4M -77.9M -80.6M -86.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.41 0.84 0.78 0.57 Total Volume 2,733,933.143 1,242,680 7,831,708 1,621,104 2,136,572 Total OI 22,230,292.762 20,510,556 24,437,268 20,546,384 23,137,504
Daily Data (21 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 2016-09-01 $26.63 $26.25 19.9% 5.9% 10.4% 14.8% 20.9% 1.3% -0.4% 420.9M -4.72B -80.6M 0.78 2.06 N/A N/A 909,664 711,440 12,661,404 7,884,980 2016-09-02 $26.91 $26.25 18.5% 5.4% 9.8% 9.4% 19.3% 1.2% -0.3% 607.7M -6.22B -81.9M 0.70 2.02 N/A N/A 1,122,224 789,388 12,978,076 8,078,400 2016-09-06 $26.91 $26.25 19.1% 5.4% 9.3% 11.8% 19.6% 1.2% -0.3% 499.5M -5.79B -81.1M 0.53 1.58 N/A N/A 864,932 455,068 12,736,304 7,774,252 2016-09-07 $27.14 $26.25 18.3% 5.4% 9.6% 8.7% 19.1% 1.2% 0.0% 632.8M -6.81B -81.2M 0.54 2.59 N/A N/A 1,560,156 845,692 13,027,408 7,984,516 2016-09-08 $26.38 $26.25 18.9% 5.6% 13.8% 11.1% 19.8% 1.5% -0.0% 269.9M -2.57B -78.2M 0.51 1.87 N/A N/A 2,209,840 1,127,476 13,414,356 8,200,916 2016-09-09 $25.87 $26.25 20.7% 5.9% 15.2% 17.8% 21.3% 2.2% -0.3% 151.9M -149.0M -77.9M 0.76 2.09 N/A N/A 1,855,960 1,415,492 13,944,396 8,455,604 2016-09-12 $26.41 $26.25 19.8% 5.8% 17.2% 14.5% 20.7% 2.3% 0.6% 354.1M -3.26B -78.5M 0.82 1.54 N/A N/A 1,130,900 928,620 13,440,440 8,209,504 2016-09-13 $27.01 $26.25 20.7% 5.9% 18.6% 17.6% 21.1% 2.4% -0.1% 566.6M -6.69B -84.1M 0.56 1.66 N/A N/A 1,843,212 1,037,124 13,590,908 8,495,584 2016-09-14 $27.93 $26.25 20.9% 6.2% 22.2% 18.6% 22.3% 1.0% 0.7% 782.3M -12.34B -88.0M 0.41 1.39 N/A N/A 5,562,868 2,268,840 13,780,360 8,655,068 2016-09-15 $28.89 $27.50 21.4% 6.2% 25.1% 20.5% 22.1% 0.9% 0.3% 785.6M -17.04B -90.6M 0.58 1.57 N/A N/A 3,942,332 2,284,584 14,355,056 9,111,432 2016-09-16 $28.76 $27.50 20.8% 6.0% 25.2% 17.9% 21.3% 0.9% 0.2% 1.44B -15.94B -91.2M 0.60 1.43 N/A N/A 3,004,728 1,800,772 14,783,988 9,653,280 2016-09-19 $28.38 $27.50 20.7% 5.9% 25.8% 17.7% 21.0% 0.9% 5.4% 522.7M -10.69B -91.4M 0.64 2.42 N/A N/A 1,509,312 962,476 13,512,136 8,255,244 2016-09-20 $28.44 $27.50 20.0% 5.7% 25.6% 15.1% 20.5% 0.9% 5.9% 560.1M -10.99B -91.0M 0.84 2.17 N/A N/A 850,364 716,340 13,820,756 8,481,332 2016-09-21 $28.39 $27.50 19.1% 5.5% 25.6% 11.8% 19.6% 0.9% 6.2% 554.3M -10.59B -90.5M 0.59 2.09 N/A N/A 1,135,604 665,952 14,018,648 8,603,552 2016-09-22 $28.68 $27.50 19.4% 5.2% 25.4% 12.8% 18.5% 0.9% 6.7% 736.6M -12.52B -89.7M 0.64 2.26 N/A N/A 1,164,716 747,352 14,185,676 8,701,564 2016-09-23 $28.18 $27.50 22.1% 5.6% 26.4% 23.0% 19.9% 0.7% 7.1% 468.2M -9.10B -89.5M 0.75 2.33 N/A N/A 1,725,728 1,301,096 14,292,048 8,824,584 2016-09-26 $28.26 $27.50 25.5% 5.7% 26.2% 35.8% 20.3% 1.6% 0.4% 502.0M -9.30B -88.9M 0.69 1.85 N/A N/A 867,648 596,040 13,672,932 8,423,444 2016-09-27 $28.28 $27.50 25.9% 5.2% 26.2% 37.0% 18.5% 1.5% 0.3% 537.0M -9.40B -87.4M 0.75 2.00 N/A N/A 711,912 530,768 13,762,724 8,562,260 2016-09-28 $28.50 $27.50 26.7% 5.1% 25.8% 40.3% 18.4% 1.4% -0.6% 645.2M -10.58B -88.4M 0.54 1.85 N/A N/A 1,221,024 654,416 13,897,104 8,669,608 2016-09-29 $28.09 $27.50 28.2% 5.6% 26.6% 47.2% 19.9% 2.2% -0.7% 462.8M -8.04B -87.5M 0.80 2.11 N/A N/A 1,246,256 997,708 14,006,008 8,792,792 2016-09-30 $28.24 $27.50 26.7% 5.1% 26.6% 41.6% 18.1% 2.4% -0.5% 782.0M -8.91B -86.5M 0.57 2.09 N/A N/A 1,364,372 772,200 14,171,704 8,965,800
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