AAPL Options History — October 2016 In October 2016, AAPL traded between $28.17 and $29.50. ATM implied volatility averaged 24.5%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 7.7% (HV 20d: 16.9%). Max pain ranged from $27.50 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.58.
Notable Days 2016-10-26 : Highest Volume — 4,588,884 contracts2016-10-26 : Largest IV drop — 30.0% change2016-10-04 : Highest IV Rank — 45.8%2016-10-25 : Largest Expected Move — 7.8%Monthly Statistics Metric Avg Min Max Open Close Price $28.92 $28.17 $29.50 $28.17 $28.43 Max Pain $27.55 $27.50 $28.00 $27.50 $28.00 ATM IV 24.5% 17.7% 27.8% 27.4% 17.7% Expected Move 6.6% 5.1% 7.8% 5.1% 5.2% HV 20d 16.9% 10.9% 26.5% 26.5% 13.5% HV 60d 20.8% 17.7% 22.8% 22.8% 17.8% IV Rank 33.3% 6.7% 45.8% 44.3% 6.9% IV Percentile 55.6% 6.3% 74.2% 72.2% 7.1% Term Structure -1.0% -2.0% 0.5% -1.2% 0.3% VWIV 23.3% 17.8% 27.3% 18.0% 18.7% Skew 25d 1.9% 1.2% 2.4% 2.2% 2.1% Skew 10d 3.9% 2.0% 5.4% 4.3% 4.2% Call IV 25d 23.8% 17.3% 26.5% 26.3% 17.4% Put IV 25d 25.7% 18.8% 28.7% 28.5% 19.5% Bid-Ask Spread % 2.06 1.52 4.09 1.99 2.13 Gamma HHI 0.13 0.11 0.16 0.14 0.13 Net GEX 589.8M 252.2M 936.0M 490.2M 343.9M Net DEX -11.36B -15.94B -5.49B -8.24B -6.04B Net VEX -82.6M -86.3M -77.7M -85.4M -78.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.58 0.42 0.79 0.62 0.65 Total Volume 2,000,006.095 920,060 4,588,884 972,224 1,264,908 Total OI 22,292,691.048 19,079,312 23,804,504 22,007,432 20,499,944
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 2016-10-03 $28.17 $27.50 27.4% 5.1% 26.5% 44.3% 18.0% 2.2% -1.2% 490.2M -8.24B -85.4M 0.62 1.99 N/A N/A 600,180 372,044 13,504,816 8,502,616 2016-10-04 $28.26 $27.50 27.8% 5.2% 26.5% 45.8% 18.2% 2.1% -1.4% 544.5M -8.87B -84.7M 0.48 2.14 N/A N/A 1,092,776 525,452 13,654,864 8,598,360 2016-10-05 $28.25 $27.50 27.5% 5.1% 26.4% 44.9% 17.8% 2.3% -1.3% 563.5M -8.88B -84.8M 0.65 1.96 N/A N/A 558,264 361,796 13,809,412 8,665,256 2016-10-06 $28.50 $27.50 26.8% 7.1% 23.9% 42.2% 25.8% 2.4% -1.5% 709.2M -10.50B -83.6M 0.63 1.60 N/A N/A 1,008,216 639,656 13,891,188 8,724,724 2016-10-07 $28.52 $27.50 26.6% 7.0% 22.3% 41.4% 24.8% 2.2% -1.2% 743.5M -10.58B -83.0M 0.63 1.79 N/A N/A 957,948 605,560 13,956,496 8,827,900 2016-10-10 $29.05 $27.50 26.3% 7.2% 22.1% 39.9% 25.1% 2.3% -1.0% 734.1M -13.43B -83.9M 0.48 1.89 N/A N/A 1,483,284 706,152 13,637,376 8,496,448 2016-10-11 $29.11 $27.50 27.2% 7.4% 21.1% 43.5% 25.8% 1.9% -1.0% 702.9M -13.68B -84.1M 0.43 2.90 N/A N/A 2,299,532 991,028 13,840,564 8,740,548 2016-10-12 $29.39 $27.50 26.2% 7.1% 18.1% 39.9% 25.5% 2.0% -1.7% 841.4M -15.63B -84.0M 0.48 1.67 N/A N/A 1,553,460 749,568 14,202,696 8,954,232 2016-10-13 $29.25 $27.50 26.9% 7.5% 13.9% 42.6% 25.9% 2.1% -0.8% 749.5M -14.25B -86.3M 0.58 1.52 N/A N/A 1,569,620 903,780 14,266,328 9,135,200 2016-10-14 $29.43 $27.50 25.1% 6.9% 13.9% 35.7% 25.1% 2.0% -1.6% 936.0M -15.94B -84.1M 0.42 1.75 N/A N/A 1,720,904 728,488 14,431,208 9,273,780 2016-10-17 $29.38 $27.50 25.3% 7.1% 12.9% 36.4% 25.2% 2.2% -0.7% 694.5M -14.70B -83.3M 0.61 1.72 N/A N/A 794,740 482,424 13,959,160 8,958,744 2016-10-18 $29.38 $27.50 25.3% 7.2% 12.9% 36.3% 25.8% 1.8% -1.0% 688.6M -14.63B -82.3M 0.53 1.66 N/A N/A 960,368 505,528 14,082,400 9,028,944 2016-10-19 $29.26 $27.50 25.3% 7.2% 13.0% 36.2% 25.5% 1.8% -2.0% 627.7M -13.67B -82.1M 0.61 1.70 N/A N/A 856,208 522,764 14,180,476 9,161,308 2016-10-20 $29.26 $27.50 24.9% 7.2% 12.6% 34.9% 25.2% 1.6% -1.8% 653.5M -13.81B -81.5M 0.58 2.01 N/A N/A 1,010,908 584,540 14,272,136 9,260,320 2016-10-21 $29.09 $27.50 24.9% 7.3% 10.9% 34.8% 25.8% 1.2% -1.8% 437.2M -12.91B -82.2M 0.57 1.77 N/A N/A 992,268 565,364 14,440,204 9,364,300 2016-10-24 $29.35 $27.50 25.3% 7.7% 11.2% 36.1% 26.9% 1.4% -1.2% 477.6M -10.86B -81.5M 0.55 2.10 N/A N/A 1,112,740 615,284 11,709,528 7,369,784 2016-10-25 $29.50 $27.50 25.3% 7.8% 11.3% 36.1% 27.3% 1.3% -1.3% 510.6M -11.68B -81.7M 0.59 4.09 N/A N/A 2,116,552 1,239,428 12,077,508 7,606,916 2016-10-26 $28.86 $27.50 17.7% 5.2% 13.9% 6.7% 18.9% 1.4% 0.3% 383.3M -8.18B -77.7M 0.64 2.23 N/A N/A 2,795,756 1,793,128 12,872,412 8,197,840 2016-10-27 $28.55 $27.50 18.0% 5.3% 13.5% 8.0% 19.2% 1.6% 0.4% 302.1M -6.54B -79.9M 0.70 2.50 N/A N/A 1,193,232 829,632 13,142,900 8,676,040 2016-10-28 $28.40 $28.00 17.8% 5.2% 13.5% 7.3% 18.9% 2.2% 0.5% 252.2M -5.49B -79.9M 0.79 2.19 N/A N/A 1,303,308 1,033,340 13,325,912 8,845,724 2016-10-31 $28.43 $28.00 17.7% 5.2% 13.5% 6.9% 18.7% 2.1% 0.3% 343.9M -6.04B -78.8M 0.65 2.13 N/A N/A 764,360 500,548 12,322,640 8,177,304
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