AAPL Options History — September 2017

In September 2017, AAPL traded between $37.62 and $41.02. ATM implied volatility averaged 21.6%, placing in the 57.6% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 5.0% (HV 20d: 16.6%). Max pain ranged from $37.50 to $38.75. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.56.

Notable Days

2017-09-12: Highest Volume — 4,098,056 contracts
2017-09-25: Largest IV spike — 10.5% change
2017-09-08: Highest IV Rank — 76.6%
2017-09-05: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.39	$37.62	$41.02	$41.02	$38.52
Max Pain	$37.91	$37.50	$38.75	$38.75	$37.50
ATM IV	21.6%	18.6%	24.5%	23.2%	20.9%
Expected Move	6.0%	5.0%	7.0%	6.2%	5.0%
HV 20d	16.6%	14.5%	20.1%	20.1%	16.8%
HV 60d	20.2%	19.5%	23.0%	23.0%	20.3%
IV Rank	57.6%	38.5%	76.6%	67.8%	52.8%
IV Percentile	64.7%	39.7%	89.3%	81.0%	59.1%
Term Structure	1.1%	-0.9%	3.8%	0.1%	3.6%
VWIV	21.3%	18.0%	24.6%	22.6%	18.0%
Skew 25d	1.4%	0.7%	2.1%	1.6%	1.3%
Skew 10d	2.7%	1.0%	4.2%	3.1%	4.0%
Call IV 25d	21.3%	18.6%	24.3%	23.0%	19.2%
Put IV 25d	22.7%	19.7%	26.1%	24.5%	20.4%
Bid-Ask Spread %	1.76	1.20	3.22	1.65	1.88
Gamma HHI	0.16	0.09	0.69	0.15	0.11
Net GEX	584.0M	157.5M	2.64B	715.9M	366.7M
Net DEX	-12.65B	-19.85B	-5.70B	-19.85B	-10.72B
Net VEX	-77.6M	-84.5M	-74.6M	-74.8M	-84.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.41	0.70	0.43	0.66
Total Volume	2,311,227.8	1,102,348	4,098,056	1,709,280	2,173,716
Total OI	17,995,276	16,223,864	20,052,340	17,173,036	20,052,340

Daily Data (20 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
2017-09-01	$41.02	$38.75	23.2%	6.2%	20.1%	67.8%	22.6%	1.6%	0.1%	715.9M	-19.85B	-74.8M	0.43	1.65	N/A	N/A	1,195,780	513,500	9,841,128	7,331,908
2017-09-05	$40.51	$37.50	24.5%	7.0%	20.0%	76.3%	24.6%	1.8%	-0.6%	675.8M	-17.10B	-75.6M	0.62	1.26	N/A	N/A	1,188,220	736,908	9,582,028	7,027,564
2017-09-06	$40.48	$37.50	24.0%	6.8%	19.8%	73.1%	24.0%	2.1%	-0.6%	684.3M	-17.01B	-75.4M	0.59	1.31	N/A	N/A	855,500	500,628	9,786,380	7,200,628
2017-09-07	$40.32	$37.50	23.9%	6.7%	19.7%	72.2%	23.5%	2.0%	-0.6%	668.6M	-16.30B	-75.1M	0.54	1.69	N/A	N/A	979,812	531,316	9,931,980	7,300,860
2017-09-08	$39.65	$37.50	24.5%	6.7%	16.0%	76.6%	23.8%	1.8%	-0.9%	529.0M	-13.30B	-76.1M	0.46	2.56	N/A	N/A	1,766,436	818,124	10,059,072	7,399,208
2017-09-11	$40.34	$37.50	23.6%	6.6%	16.5%	70.4%	23.2%	1.6%	-0.3%	704.1M	-16.75B	-76.3M	0.51	1.37	N/A	N/A	1,296,408	665,880	10,107,644	7,309,880
2017-09-12	$40.16	$37.50	21.9%	6.2%	15.8%	59.7%	21.7%	1.4%	-0.5%	737.2M	-16.03B	-74.6M	0.58	3.22	N/A	N/A	2,588,008	1,510,048	10,311,032	7,475,872
2017-09-13	$39.88	$37.50	19.6%	5.7%	15.2%	44.9%	20.4%	0.8%	0.0%	592.1M	-14.34B	-74.7M	0.50	1.34	N/A	N/A	2,066,344	1,036,036	10,805,184	7,876,392
2017-09-14	$39.53	$38.75	19.4%	5.6%	15.3%	43.6%	20.7%	0.7%	-0.1%	416.1M	-12.61B	-74.8M	0.53	2.02	N/A	N/A	1,197,696	638,664	11,038,704	8,155,508
2017-09-15	$39.98	$37.50	19.2%	5.5%	14.8%	41.8%	19.8%	0.9%	0.1%	2.64B	-15.32B	-75.6M	0.67	2.12	N/A	N/A	1,581,596	1,064,780	11,164,800	8,314,880
2017-09-18	$39.68	$37.50	19.2%	5.5%	15.0%	42.2%	19.6%	1.3%	1.4%	454.2M	-12.55B	-75.3M	0.70	2.17	N/A	N/A	948,952	668,800	9,308,712	6,915,152
2017-09-19	$39.66	$38.75	18.6%	5.3%	14.8%	38.5%	18.9%	1.1%	1.1%	449.2M	-12.37B	-75.6M	0.62	1.81	N/A	N/A	679,100	423,248	9,514,120	7,186,396
2017-09-20	$39.02	$38.75	19.7%	5.6%	14.5%	45.0%	20.2%	1.4%	1.3%	224.4M	-9.67B	-76.1M	0.45	1.63	N/A	N/A	2,659,464	1,196,040	9,678,268	7,282,216
2017-09-21	$38.35	$38.75	19.9%	5.6%	15.6%	46.5%	20.0%	1.4%	2.0%	157.5M	-7.43B	-78.1M	0.59	1.73	N/A	N/A	1,512,980	886,380	10,429,452	7,550,276
2017-09-22	$37.95	$38.75	20.7%	5.8%	15.8%	51.8%	20.6%	1.3%	1.8%	169.8M	-5.70B	-77.9M	0.61	1.50	N/A	N/A	2,316,832	1,418,576	10,727,732	7,726,908
2017-09-25	$37.62	$38.13	22.9%	6.2%	15.8%	66.0%	22.1%	1.4%	3.0%	199.1M	-6.13B	-80.4M	0.41	1.64	N/A	N/A	2,239,432	922,324	10,446,208	7,558,180
2017-09-26	$38.29	$37.50	22.3%	5.9%	16.9%	61.8%	20.9%	1.7%	3.0%	394.3M	-9.41B	-83.0M	0.57	1.76	N/A	N/A	1,516,676	857,312	10,979,416	7,807,628
2017-09-27	$38.59	$37.50	21.7%	5.7%	16.7%	58.2%	20.0%	1.5%	3.8%	514.5M	-10.99B	-84.4M	0.66	1.25	N/A	N/A	926,724	614,340	11,281,352	7,967,764
2017-09-28	$38.28	$37.50	22.5%	5.7%	16.8%	63.3%	20.3%	1.7%	3.2%	388.5M	-9.40B	-83.9M	0.53	1.20	N/A	N/A	1,003,676	528,300	11,374,320	8,098,428
2017-09-29	$38.52	$37.50	20.9%	5.0%	16.8%	52.8%	18.0%	1.3%	3.6%	366.7M	-10.72B	-84.5M	0.66	1.88	N/A	N/A	1,310,916	862,800	11,798,016	8,254,324