AAPL Options History — March 2010 In March 2010, AAPL traded between $7.46 and $8.42. ATM implied volatility averaged 25.4%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 5.4% (HV 20d: 20.0%). Max pain ranged from $6.96 to $7.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.67.
Notable Days 2010-03-05 : Highest Volume — 13,278,888 contracts2010-03-11 : Largest IV spike — 12.1% change2010-03-15 : Highest IV Rank — 21.8%2010-03-09 : Largest Expected Move — 8.2%Monthly Statistics Metric Avg Min Max Open Close Price $7.98 $7.46 $8.42 $7.46 $8.39 Max Pain $7.24 $6.96 $7.50 $7.14 $7.50 ATM IV 25.4% 22.1% 28.1% 24.0% 25.9% Expected Move 7.5% 6.3% 8.2% 6.9% 7.4% HV 20d 20.0% 17.8% 23.0% 23.0% 18.9% HV 60d 28.5% 27.5% 29.7% 29.4% 27.5% IV Rank 12.5% 1.7% 21.8% 6.3% 14.8% IV Percentile 9.0% 0.4% 25.4% 1.2% 11.5% Term Structure 3.8% 1.8% 5.6% 2.8% 5.2% VWIV 26.6% 23.0% 28.9% 25.1% 26.1% Skew 25d 1.8% 1.2% 2.6% 2.5% 1.7% Skew 10d 3.7% 2.6% 5.5% 4.4% 3.9% Call IV 25d 25.6% 21.5% 27.7% 23.4% 25.4% Put IV 25d 27.5% 24.1% 29.7% 25.9% 27.2% Bid-Ask Spread % 2.51 1.86 3.85 2.74 1.86 Gamma HHI 0.20 0.17 0.22 0.18 0.19 Net GEX 211.0M 135.2M 259.6M 152.6M 230.5M Net DEX -6.70B -8.22B -4.21B -4.45B -7.76B Net VEX -35.1M -37.1M -32.6M -33.1M -37.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.48 1.06 0.80 0.61 Total Volume 5,698,685.391 3,048,724 13,278,888 5,632,816 3,636,052 Total OI 35,862,486.435 30,188,564 40,194,784 34,035,708 35,660,492
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 2010-03-01 $7.46 $7.14 24.0% 6.9% 23.0% 6.3% 25.1% 2.5% 2.8% 152.6M -4.45B -33.1M 0.80 2.74 N/A N/A 3,122,420 2,510,396 18,611,992 15,423,716 2010-03-02 $7.46 $7.14 24.0% 6.9% 22.8% 6.2% 25.0% 2.4% 3.3% 135.2M -4.21B -33.5M 0.65 2.86 N/A N/A 2,594,228 1,673,476 18,828,600 15,849,120 2010-03-03 $7.48 $7.14 22.7% 6.5% 22.8% 3.1% 23.6% 2.3% 3.6% 155.7M -4.35B -33.1M 1.06 2.74 N/A N/A 1,477,112 1,571,612 19,016,536 16,041,256 2010-03-04 $7.53 $7.14 22.1% 6.3% 22.2% 1.7% 23.0% 2.6% 3.6% 170.7M -4.67B -32.6M 0.98 2.00 N/A N/A 1,638,392 1,603,280 19,087,684 16,228,940 2010-03-05 $7.82 $6.96 23.6% 7.7% 20.4% 5.3% 27.4% 1.8% 2.7% 239.5M -6.68B -33.2M 0.55 2.89 N/A N/A 8,574,916 4,703,972 19,073,376 16,301,572 2010-03-08 $7.82 $7.14 23.9% 7.8% 20.1% 5.9% 27.9% 2.1% 2.3% 233.0M -6.48B -33.7M 0.81 2.32 N/A N/A 3,169,320 2,568,048 19,669,888 16,934,764 2010-03-09 $7.96 $7.14 25.3% 8.2% 20.0% 9.2% 28.9% 1.9% 1.8% 243.2M -7.51B -34.4M 0.48 2.66 N/A N/A 7,545,888 3,656,016 20,108,760 17,186,652 2010-03-10 $8.03 $7.14 24.4% 8.1% 19.9% 8.8% 28.5% 1.8% 2.1% 253.2M -7.92B -35.8M 0.67 2.63 N/A N/A 3,728,956 2,502,248 20,609,988 17,432,324 2010-03-11 $8.05 $7.14 27.3% 7.8% 19.5% 19.5% 28.1% 1.6% 3.1% 236.4M -7.82B -36.3M 0.61 2.76 N/A N/A 3,030,076 1,856,568 20,563,620 17,654,672 2010-03-12 $8.09 $7.14 26.5% 7.6% 19.1% 16.6% 27.2% 1.5% 3.8% 259.6M -8.22B -35.4M 0.52 2.69 N/A N/A 3,623,256 1,901,508 20,819,960 17,781,848 2010-03-15 $7.99 $7.14 28.1% 8.0% 20.2% 21.8% 28.3% 1.4% 2.5% 223.8M -7.36B -35.4M 0.73 2.91 N/A N/A 3,836,476 2,789,220 20,878,172 17,946,320 2010-03-16 $8.02 $7.14 27.1% 7.8% 19.9% 18.6% 27.2% 1.7% 3.3% 243.4M -7.57B -35.5M 0.89 2.29 N/A N/A 2,580,032 2,291,912 21,264,488 18,174,352 2010-03-17 $8.00 $7.14 27.1% 7.8% 19.7% 18.7% 27.2% 1.6% 3.7% 218.1M -7.28B -34.2M 0.75 2.77 N/A N/A 2,625,924 1,959,636 20,874,644 18,544,456 2010-03-18 $8.02 $7.14 26.2% 7.5% 19.7% 15.7% 26.4% 1.7% 4.1% 208.0M -7.45B -35.2M 0.63 2.69 N/A N/A 2,264,192 1,426,292 21,131,236 18,737,376 2010-03-19 $7.94 $7.14 26.6% 7.6% 20.1% 17.0% 27.1% 1.6% 3.6% 190.1M -6.58B -35.6M 0.63 3.85 N/A N/A 3,048,724 1,929,564 21,323,680 18,871,104 2010-03-22 $8.03 $7.14 26.0% 7.5% 19.8% 15.2% 26.4% 1.8% 5.0% 182.7M -5.79B -35.1M 0.60 1.91 N/A N/A 3,312,932 2,003,176 17,651,340 12,537,224 2010-03-23 $8.16 $7.50 25.5% 7.3% 18.2% 13.5% 26.2% 1.3% 4.5% 195.9M -6.52B -35.9M 0.52 1.97 N/A N/A 3,330,600 1,735,860 18,249,588 12,984,608 2010-03-24 $8.19 $7.50 26.2% 7.5% 17.8% 15.7% 26.9% 1.5% 4.5% 196.0M -6.68B -36.4M 0.58 2.58 N/A N/A 3,269,896 1,907,696 18,496,996 13,353,592 2010-03-25 $8.09 $7.50 26.2% 7.5% 19.0% 15.6% 26.7% 1.2% 5.3% 191.2M -6.23B -36.6M 0.56 2.26 N/A N/A 3,556,336 1,983,884 18,865,420 13,667,360 2010-03-26 $8.25 $7.50 25.4% 7.3% 19.3% 13.2% 25.9% 1.3% 5.6% 223.9M -7.09B -36.9M 0.50 1.93 N/A N/A 3,905,552 1,958,572 19,383,840 13,832,504 2010-03-29 $8.30 $7.50 26.2% 7.5% 18.5% 15.8% 26.7% 1.7% 5.3% 228.9M -7.41B -36.6M 0.75 2.26 N/A N/A 2,820,076 2,126,068 19,504,716 14,503,160 2010-03-30 $8.42 $7.50 24.4% 7.0% 18.7% 10.0% 25.8% 2.6% 5.5% 240.4M -8.05B -36.9M 0.61 2.05 N/A N/A 4,805,976 2,913,428 19,862,388 15,312,864 2010-03-31 $8.39 $7.50 25.9% 7.4% 18.9% 14.8% 26.1% 1.7% 5.2% 230.5M -7.76B -37.1M 0.61 1.86 N/A N/A 2,263,072 1,372,980 20,079,500 15,580,992
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