AAPL Options History — February 2010 In February 2010, AAPL traded between $6.86 and $7.31. ATM implied volatility averaged 28.9%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 7.1% (HV 20d: 36.0%). Max pain ranged from $6.96 to $7.14. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.86.
Notable Days 2010-02-01 : Highest Volume — 6,759,172 contracts2010-02-04 : Largest IV spike — 18.0% change2010-02-04 : Highest IV Rank — 29.7%2010-02-08 : Largest Expected Move — 9.9%Monthly Statistics Metric Avg Min Max Open Close Price $7.10 $6.86 $7.31 $6.95 $7.31 Max Pain $7.02 $6.96 $7.14 $7.14 $7.14 ATM IV 28.9% 24.8% 33.8% 33.3% 24.8% Expected Move 8.5% 7.1% 9.9% 9.5% 7.1% HV 20d 36.0% 26.4% 40.1% 36.9% 26.4% HV 60d 29.7% 29.0% 30.5% 29.5% 29.3% IV Rank 17.9% 8.1% 29.7% 28.5% 8.1% IV Percentile 24.4% 2.8% 54.8% 52.0% 2.8% Term Structure 2.4% 1.3% 3.6% 1.6% 3.2% VWIV 30.2% 24.9% 34.8% 34.1% 24.9% Skew 25d 3.7% 2.2% 5.4% 3.4% 2.2% Skew 10d 7.3% 5.3% 10.3% 6.5% 5.3% Call IV 25d 28.3% 23.5% 32.4% 32.3% 23.5% Put IV 25d 31.9% 25.7% 37.8% 35.7% 25.7% Bid-Ask Spread % 3.40 2.28 4.77 2.91 3.29 Gamma HHI 0.12 0.10 0.17 0.10 0.14 Net GEX 30.5M -61.9M 152.2M -16.8M 93.3M Net DEX -1.90B -3.60B 231.6M -492.1M -3.36B Net VEX -34.9M -38.0M -32.6M -37.5M -33.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.86 0.61 1.54 0.70 0.88 Total Volume 5,211,651.789 3,326,232 6,759,172 6,759,172 5,000,184 Total OI 40,560,639.368 29,809,836 44,905,616 41,944,364 33,434,828
Daily Data (19 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 2010-02-01 $6.95 $7.14 33.3% 9.5% 36.9% 28.5% 34.1% 3.4% 1.6% -16.8M -492.1M -37.5M 0.70 2.91 N/A N/A 3,967,096 2,792,076 23,967,804 17,976,560 2010-02-02 $6.99 $7.14 30.3% 8.7% 36.4% 21.3% 31.0% 3.0% 2.7% -9.2M -843.2M -37.3M 0.66 2.75 N/A N/A 2,712,192 1,786,092 24,189,032 18,130,336 2010-02-03 $7.12 $7.14 28.6% 8.2% 37.2% 17.3% 29.7% 3.2% 3.6% 35.8M -1.83B -38.0M 0.61 2.28 N/A N/A 3,720,304 2,262,792 24,183,880 18,288,676 2010-02-04 $6.86 $7.14 33.8% 9.7% 38.8% 29.7% 33.4% 4.2% 2.0% -56.2M 231.6M -36.5M 0.78 3.01 N/A N/A 3,699,724 2,892,876 24,286,360 18,483,136 2010-02-05 $6.98 $6.96 30.6% 9.8% 39.6% 22.0% 34.8% 5.3% 1.4% -24.2M -690.1M -37.7M 1.03 4.77 N/A N/A 2,952,432 3,052,980 24,485,580 18,815,692 2010-02-08 $6.93 $6.96 31.2% 9.9% 39.4% 23.5% 34.6% 5.4% 1.3% -56.1M -297.5M -36.3M 0.64 4.36 N/A N/A 2,210,292 1,410,108 24,553,172 19,050,892 2010-02-09 $7.01 $6.96 28.4% 9.4% 39.7% 16.9% 33.0% 5.0% 1.5% -30.3M -934.3M -35.8M 0.77 3.60 N/A N/A 3,031,672 2,330,580 24,748,500 19,073,544 2010-02-10 $6.97 $6.96 26.9% 9.2% 39.6% 13.2% 32.3% 5.0% 1.8% -61.9M -587.4M -35.0M 1.07 3.91 N/A N/A 1,605,436 1,720,796 24,743,964 19,056,688 2010-02-11 $7.10 $6.96 30.2% 8.7% 39.9% 21.0% 31.5% 4.7% 2.2% 39.5M -2.05B -35.5M 0.82 3.69 N/A N/A 3,380,188 2,755,424 24,920,812 19,159,896 2010-02-12 $7.16 $6.96 29.8% 8.5% 40.0% 20.1% 30.2% 4.0% 2.6% 72.8M -2.58B -35.0M 0.81 4.24 N/A N/A 3,331,944 2,705,500 24,964,436 19,152,504 2010-02-16 $7.26 $6.96 29.4% 8.4% 40.1% 19.3% 31.0% 3.8% 2.5% 152.2M -3.60B -33.7M 1.54 3.50 N/A N/A 2,458,848 3,791,396 25,035,752 19,225,220 2010-02-17 $7.23 $6.96 28.6% 8.2% 36.6% 17.3% 29.6% 3.3% 2.5% 106.3M -3.26B -33.4M 1.13 3.55 N/A N/A 2,838,304 3,214,456 24,935,400 19,847,156 2010-02-18 $7.25 $6.96 28.2% 8.1% 36.3% 16.4% 28.5% 3.1% 2.6% 90.3M -3.51B -33.1M 0.91 3.36 N/A N/A 2,290,400 2,076,984 24,911,936 19,978,112 2010-02-19 $7.20 $6.96 28.0% 8.0% 35.9% 15.7% 28.3% 2.9% 2.6% 80.0M -3.25B -33.2M 0.85 3.71 N/A N/A 2,484,188 2,120,888 24,868,256 20,037,360 2010-02-22 $7.16 $6.96 27.5% 7.9% 30.9% 14.7% 28.0% 2.8% 3.2% 43.2M -2.34B -32.7M 0.77 2.35 N/A N/A 2,613,856 2,002,980 16,718,744 13,091,092 2010-02-23 $7.04 $6.96 27.5% 7.9% 29.9% 14.5% 27.6% 3.0% 3.2% 18.6M -1.68B -32.6M 0.91 3.18 N/A N/A 2,557,856 2,338,112 17,483,620 13,745,508 2010-02-24 $7.17 $6.96 25.6% 7.3% 30.2% 10.1% 26.0% 2.9% 3.2% 44.4M -2.41B -33.2M 0.70 3.22 N/A N/A 2,439,892 1,712,956 17,768,044 14,440,804 2010-02-25 $7.21 $7.14 25.7% 7.4% 30.1% 10.3% 26.1% 2.7% 2.9% 58.3M -2.69B -33.9M 0.74 2.86 N/A N/A 2,735,040 2,024,540 18,129,300 14,769,552 2010-02-26 $7.31 $7.14 24.8% 7.1% 26.4% 8.1% 24.9% 2.2% 3.2% 93.3M -3.36B -33.6M 0.88 3.29 N/A N/A 2,658,320 2,341,864 18,384,492 15,050,336
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