AAPL Options History — December 2016

In December 2016, AAPL traded between $27.25 and $29.34. ATM implied volatility averaged 17.6%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 0.5% (HV 20d: 17.0%). Max pain ranged from $27.50 to $28.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.77.

Notable Days

2016-12-09: Highest Volume — 3,255,888 contracts
2016-12-27: Largest IV spike — 20.7% change
2016-12-30: Highest IV Rank — 25.8%
2016-12-01: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.58	$27.25	$29.34	$27.34	$28.90
Max Pain	$27.62	$27.50	$28.75	$28.75	$27.50
ATM IV	17.6%	15.5%	22.3%	18.7%	22.3%
Expected Move	4.8%	4.3%	5.6%	5.6%	4.8%
HV 20d	17.0%	13.9%	22.1%	22.1%	13.9%
HV 60d	18.3%	17.3%	21.6%	21.6%	17.5%
IV Rank	7.6%	0.0%	25.8%	10.8%	25.8%
IV Percentile	11.5%	0.0%	48.8%	15.1%	48.8%
Term Structure	1.5%	-0.1%	4.6%	-0.1%	1.8%
VWIV	17.4%	15.7%	19.3%	19.3%	17.1%
Skew 25d	1.9%	1.3%	2.9%	2.9%	2.8%
Skew 10d	3.8%	2.4%	5.6%	5.6%	5.3%
Call IV 25d	16.9%	14.4%	20.7%	17.7%	20.7%
Put IV 25d	18.8%	16.2%	23.5%	20.5%	23.5%
Bid-Ask Spread %	2.04	1.38	3.33	2.22	3.33
Gamma HHI	0.14	0.08	0.25	0.09	0.15
Net GEX	511.2M	184.4M	846.0M	184.4M	353.6M
Net DEX	-8.36B	-12.86B	-933.5M	-1.48B	-8.90B
Net VEX	-72.9M	-76.2M	-69.7M	-73.0M	-70.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.42	1.24	1.00	0.94
Total Volume	1,694,664.381	1,129,552	3,255,888	1,550,880	1,729,280
Total OI	21,637,336.952	20,112,772	23,331,352	21,784,240	21,334,680

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
2016-12-01	$27.34	$28.75	18.7%	5.6%	22.1%	10.8%	19.3%	2.9%	-0.1%	184.4M	-1.48B	-73.0M	1.00	2.22	N/A	N/A	776,464	774,416	12,850,156	8,934,084
2016-12-02	$27.43	$28.75	17.2%	4.9%	21.2%	4.8%	17.5%	2.8%	0.3%	250.2M	-1.77B	-72.1M	0.84	1.93	N/A	N/A	821,416	688,752	12,998,968	9,031,024
2016-12-05	$27.25	$27.50	17.2%	5.0%	21.1%	4.7%	17.9%	2.4%	0.3%	204.1M	-933.5M	-69.7M	0.63	1.42	N/A	N/A	826,664	520,000	12,676,436	8,837,700
2016-12-06	$27.44	$27.50	15.8%	4.9%	20.8%	0.0%	18.1%	2.1%	0.6%	289.1M	-1.74B	-69.8M	0.81	1.67	N/A	N/A	660,436	537,920	12,901,636	8,950,668
2016-12-07	$27.77	$27.50	15.5%	4.9%	20.9%	0.0%	17.9%	1.8%	0.6%	438.9M	-3.70B	-71.9M	0.79	1.67	N/A	N/A	789,600	622,520	12,984,484	9,040,636
2016-12-08	$28.02	$27.50	15.8%	5.0%	21.0%	1.4%	17.3%	1.7%	0.5%	556.3M	-5.75B	-72.8M	0.66	1.59	N/A	N/A	999,836	659,844	13,138,464	9,115,416
2016-12-09	$28.54	$27.50	16.6%	5.0%	18.8%	4.2%	17.8%	1.3%	0.5%	625.8M	-9.48B	-75.9M	0.49	1.38	N/A	N/A	2,178,084	1,077,804	13,196,700	9,216,912
2016-12-12	$28.29	$27.50	17.1%	5.0%	19.2%	6.0%	18.4%	1.6%	0.1%	470.4M	-6.62B	-73.5M	0.48	1.52	N/A	N/A	927,860	446,004	13,031,228	9,054,512
2016-12-13	$28.94	$27.50	17.3%	5.1%	17.3%	6.9%	18.0%	1.3%	0.5%	687.0M	-12.10B	-75.3M	0.55	1.74	N/A	N/A	1,755,576	963,008	13,318,788	9,166,696
2016-12-14	$28.91	$27.50	17.7%	5.2%	16.7%	8.5%	18.3%	1.4%	0.4%	684.3M	-11.88B	-76.2M	0.42	1.51	N/A	N/A	1,330,820	555,312	13,559,940	9,416,032
2016-12-15	$29.00	$27.50	17.1%	5.0%	14.9%	6.1%	17.6%	1.4%	0.3%	785.1M	-12.86B	-74.9M	0.61	1.72	N/A	N/A	1,957,484	1,196,412	13,791,556	9,539,796
2016-12-16	$28.98	$27.50	16.4%	4.8%	14.9%	3.6%	16.9%	1.4%	0.4%	846.0M	-11.65B	-73.8M	0.59	1.39	N/A	N/A	1,231,648	727,044	13,380,728	9,130,040
2016-12-19	$29.11	$27.50	16.3%	4.7%	14.9%	3.0%	17.1%	1.5%	3.3%	557.9M	-10.90B	-73.9M	0.84	2.40	N/A	N/A	936,748	788,528	12,004,012	8,108,760
2016-12-20	$29.23	$27.50	15.8%	4.5%	14.1%	1.0%	16.8%	1.6%	3.6%	601.1M	-11.32B	-73.5M	0.81	2.16	N/A	N/A	692,680	561,144	12,160,732	8,385,828
2016-12-21	$29.28	$27.50	15.7%	4.5%	14.1%	0.7%	16.8%	1.5%	3.9%	608.5M	-11.93B	-72.8M	0.96	2.77	N/A	N/A	801,416	767,776	12,314,796	8,628,616
2016-12-22	$28.99	$27.50	17.0%	4.6%	14.3%	5.7%	16.9%	1.6%	4.2%	471.7M	-9.75B	-74.4M	0.93	2.69	N/A	N/A	673,096	629,000	12,315,948	8,666,264
2016-12-23	$29.09	$27.50	16.6%	4.3%	14.2%	4.4%	15.7%	1.9%	4.6%	580.7M	-10.24B	-73.1M	1.24	2.55	N/A	N/A	555,116	688,160	12,435,656	8,788,224
2016-12-27	$29.34	$27.50	20.1%	4.6%	14.3%	17.6%	16.1%	1.7%	2.2%	550.6M	-11.72B	-70.6M	0.55	2.29	N/A	N/A	821,852	451,444	11,938,120	8,459,632
2016-12-28	$29.16	$27.50	21.1%	4.7%	14.4%	21.5%	17.8%	2.3%	2.0%	486.1M	-10.45B	-72.3M	0.82	2.34	N/A	N/A	734,388	602,848	12,033,444	8,562,376
2016-12-29	$29.16	$27.50	21.5%	4.6%	14.3%	23.0%	16.5%	2.6%	1.9%	502.7M	-10.48B	-70.8M	1.21	2.51	N/A	N/A	511,580	617,972	12,156,592	8,827,796
2016-12-30	$28.90	$27.50	22.3%	4.8%	13.9%	25.8%	17.1%	2.8%	1.8%	353.6M	-8.90B	-70.6M	0.94	3.33	N/A	N/A	893,004	836,276	12,241,492	9,093,188