AAPL Options History — March 2017 In March 2017, AAPL traded between $34.67 and $36.05. ATM implied volatility averaged 15.4%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.6% (HV 20d: 11.9%). Max pain ranged from $32.50 to $33.75. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.65.
Notable Days 2017-03-01 : Highest Volume — 3,089,204 contracts2017-03-27 : Largest IV spike — 15.7% change2017-03-31 : Highest IV Rank — 30.5%2017-03-07 : Largest Expected Move — 4.5%Monthly Statistics Metric Avg Min Max Open Close Price $35.16 $34.67 $36.05 $35.00 $35.99 Max Pain $33.10 $32.50 $33.75 $32.50 $33.75 ATM IV 15.4% 12.7% 18.7% 15.5% 18.7% Expected Move 4.2% 3.6% 4.5% 4.4% 3.9% HV 20d 11.9% 10.0% 25.3% 25.3% 10.0% HV 60d 17.0% 16.6% 17.7% 17.5% 16.9% IV Rank 11.4% 0.0% 30.5% 9.8% 30.5% IV Percentile 10.6% 0.0% 37.7% 4.4% 37.7% Term Structure 1.7% -0.1% 4.7% 0.2% 3.9% VWIV 15.0% 13.1% 16.1% 15.6% 14.1% Skew 25d 1.1% 0.7% 1.9% 0.7% 0.9% Skew 10d 2.5% 1.2% 4.8% 1.5% 3.0% Call IV 25d 15.0% 12.7% 18.7% 15.5% 17.1% Put IV 25d 16.2% 13.4% 20.4% 16.2% 18.0% Bid-Ask Spread % 2.01 1.37 5.61 1.74 2.00 Gamma HHI 0.16 0.09 0.44 0.14 0.32 Net GEX 619.7M 431.0M 1.23B 554.6M 1.23B Net DEX -16.11B -18.51B -14.21B -17.20B -18.51B Net VEX -77.5M -79.5M -74.2M -74.2M -78.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.45 0.91 0.59 0.60 Total Volume 1,679,502.261 910,408 3,089,204 3,089,204 1,695,776 Total OI 16,160,850.261 14,612,688 17,502,616 15,185,296 17,502,616
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 2017-03-01 $35.00 $32.50 15.5% 4.4% 25.3% 9.8% 15.6% 0.7% 0.2% 554.6M -17.20B -74.2M 0.59 1.74 N/A N/A 1,937,624 1,151,580 8,301,488 6,883,808 2017-03-02 $34.71 $32.50 15.4% 4.3% 12.1% 9.7% 15.2% 1.1% 0.3% 431.0M -15.55B -78.3M 0.54 1.76 N/A N/A 1,280,008 694,260 8,589,848 7,213,420 2017-03-03 $34.90 $32.50 15.1% 4.2% 11.1% 7.6% 15.0% 1.0% 0.3% 543.7M -16.58B -78.0M 0.62 1.92 N/A N/A 969,740 600,624 8,854,064 7,393,952 2017-03-06 $34.87 $32.50 15.5% 4.5% 11.2% 9.8% 15.9% 0.9% 0.1% 497.8M -15.73B -77.7M 0.45 1.52 N/A N/A 1,176,144 524,388 8,569,904 7,044,616 2017-03-07 $34.83 $32.50 15.4% 4.5% 11.1% 9.5% 16.1% 0.9% 0.3% 543.3M -15.71B -79.5M 0.56 1.37 N/A N/A 738,968 413,480 8,906,268 7,217,560 2017-03-08 $34.75 $32.50 15.2% 4.4% 11.0% 8.1% 15.8% 1.1% 0.2% 525.2M -15.38B -79.5M 0.56 1.50 N/A N/A 647,440 365,136 9,005,452 7,266,576 2017-03-09 $34.67 $32.50 15.2% 4.4% 11.1% 8.1% 15.8% 1.1% 0.2% 479.8M -14.92B -79.1M 0.71 1.53 N/A N/A 841,472 597,752 9,121,160 7,360,280 2017-03-10 $34.80 $32.50 14.7% 4.2% 11.1% 5.5% 15.5% 1.5% 0.2% 526.7M -15.92B -77.8M 0.51 1.51 N/A N/A 1,059,484 540,108 9,240,824 7,432,920 2017-03-13 $34.81 $32.50 13.9% 4.0% 11.1% 1.5% 14.9% 1.2% 0.0% 575.4M -15.52B -76.8M 0.91 1.59 N/A N/A 523,804 478,408 8,917,580 7,137,260 2017-03-14 $34.74 $32.50 14.2% 4.1% 10.8% 2.9% 14.7% 1.3% -0.1% 572.7M -15.32B -76.5M 0.63 1.52 N/A N/A 557,780 352,628 9,064,928 7,278,608 2017-03-15 $35.17 $32.50 13.6% 4.0% 11.0% 0.0% 14.4% 0.9% 0.3% 772.5M -17.43B -76.8M 0.58 1.39 N/A N/A 1,062,748 619,492 9,191,816 7,372,880 2017-03-16 $35.14 $32.50 13.5% 3.9% 11.0% 0.0% 14.0% 0.8% 0.3% 754.8M -17.29B -76.6M 0.59 1.65 N/A N/A 916,868 539,076 9,330,308 7,544,384 2017-03-17 $34.99 $33.75 13.4% 3.9% 11.1% 0.0% 13.9% 0.8% 0.1% 1.09B -16.37B -77.4M 0.66 1.60 N/A N/A 936,020 619,856 9,484,300 7,709,400 2017-03-20 $35.31 $33.75 12.7% 3.6% 11.4% 0.0% 13.1% 0.7% 4.7% 573.0M -15.52B -75.9M 0.55 2.11 N/A N/A 881,992 488,872 8,450,084 6,162,604 2017-03-21 $35.07 $33.75 14.3% 4.1% 11.5% 8.1% 14.6% 1.5% 3.9% 493.4M -14.21B -77.6M 0.66 2.19 N/A N/A 1,720,096 1,136,688 8,611,192 6,321,684 2017-03-22 $35.30 $33.75 14.5% 4.2% 11.7% 9.2% 15.0% 1.6% 4.0% 582.7M -15.26B -78.5M 0.75 2.34 N/A N/A 860,340 647,112 9,053,844 6,640,176 2017-03-23 $35.20 $33.75 14.9% 4.0% 11.7% 11.0% 14.9% 1.5% 3.6% 480.6M -14.46B -78.8M 0.82 2.35 N/A N/A 706,772 578,048 9,087,212 6,822,860 2017-03-24 $35.22 $33.75 15.7% 4.0% 11.6% 15.3% 14.8% 1.4% 4.7% 499.3M -14.67B -77.6M 0.87 5.61 N/A N/A 946,292 822,268 9,178,564 7,004,088 2017-03-27 $35.27 $33.75 18.2% 4.1% 11.5% 27.9% 14.9% 1.7% 1.9% 493.9M -14.63B -76.8M 0.88 2.44 N/A N/A 776,728 684,104 8,873,924 6,812,776 2017-03-28 $35.99 $33.75 18.4% 4.2% 13.2% 29.1% 15.5% 1.0% 1.9% 656.1M -18.13B -75.5M 0.68 2.15 N/A N/A 1,645,044 1,115,084 9,042,760 6,977,144 2017-03-29 $36.05 $33.75 18.4% 4.4% 10.6% 29.1% 15.7% 0.9% 3.3% 664.4M -18.14B -77.8M 0.55 2.16 N/A N/A 1,522,208 830,688 9,229,688 7,352,836 2017-03-30 $35.96 $33.75 18.4% 4.2% 10.1% 29.0% 14.8% 1.9% 3.8% 719.4M -18.16B -78.5M 0.68 2.25 N/A N/A 849,252 576,300 9,575,824 7,566,076 2017-03-31 $35.99 $33.75 18.7% 3.9% 10.0% 30.5% 14.1% 0.9% 3.9% 1.23B -18.51B -78.3M 0.60 2.00 N/A N/A 1,060,156 635,620 9,736,416 7,766,200
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