AAPL Options History — April 2010 In April 2010, AAPL traded between $8.43 and $9.67. ATM implied volatility averaged 25.4%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 6.9% (HV 20d: 18.5%). Max pain ranged from $7.50 to $8.93. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.62.
Notable Days 2010-04-21 : Highest Volume — 13,907,264 contracts2010-04-15 : Largest IV spike — 57.9% change2010-04-30 : Highest IV Rank — 44.7%2010-04-20 : Largest Expected Move — 9.2%Monthly Statistics Metric Avg Min Max Open Close Price $8.97 $8.43 $9.67 $8.43 $9.32 Max Pain $8.35 $7.50 $8.93 $7.50 $8.93 ATM IV 25.4% 18.3% 31.9% 24.6% 31.8% Expected Move 8.2% 6.5% 9.2% 7.1% 9.1% HV 20d 18.5% 12.7% 30.3% 18.9% 30.3% HV 60d 25.4% 22.5% 27.5% 27.5% 24.0% IV Rank 19.8% 0.0% 44.7% 10.5% 44.7% IV Percentile 21.7% 0.0% 67.9% 5.2% 67.9% Term Structure 0.6% -2.7% 6.4% 6.4% 2.3% VWIV 29.2% 23.5% 32.4% 25.2% 32.4% Skew 25d 1.6% -0.3% 2.8% 0.6% 1.3% Skew 10d 3.0% -0.7% 5.2% 0.5% 3.1% Call IV 25d 28.3% 22.2% 31.9% 25.1% 31.9% Put IV 25d 29.9% 24.1% 33.2% 25.7% 33.2% Bid-Ask Spread % 2.71 1.81 4.33 1.98 3.82 Gamma HHI 0.22 0.13 0.53 0.20 0.13 Net GEX 258.1M 151.3M 418.4M 249.3M 189.0M Net DEX -9.57B -11.74B -6.50B -8.14B -8.98B Net VEX -40.2M -50.1M -36.5M -37.1M -50.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.62 0.28 0.90 0.74 0.70 Total Volume 7,463,946.667 2,967,860 13,907,264 8,568,056 7,276,836 Total OI 37,222,569.333 28,421,288 41,146,700 36,187,508 39,426,660
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 2010-04-01 $8.43 $7.50 24.6% 7.1% 18.9% 10.5% 25.2% 0.6% 6.4% 249.3M -8.14B -37.1M 0.74 1.98 N/A N/A 4,934,440 3,633,616 20,490,708 15,696,800 2010-04-05 $8.52 $7.86 24.9% 8.9% 14.7% 11.6% 31.6% 2.1% -0.5% 282.3M -8.72B -37.1M 0.60 1.90 N/A N/A 4,240,012 2,527,840 21,250,124 16,375,380 2010-04-06 $8.55 $7.86 22.6% 8.7% 14.6% 3.9% 30.8% 2.0% -0.4% 285.9M -8.95B -37.3M 0.63 2.57 N/A N/A 3,187,016 2,013,228 21,603,568 16,788,464 2010-04-07 $8.59 $8.21 23.6% 8.8% 13.7% 7.3% 31.1% 1.8% -0.6% 297.3M -9.28B -37.8M 0.68 1.95 N/A N/A 4,225,676 2,878,932 21,722,736 17,060,316 2010-04-08 $8.57 $8.21 22.5% 8.8% 13.8% 3.6% 30.8% 2.1% -0.3% 294.8M -9.12B -37.2M 0.51 2.49 N/A N/A 3,938,508 1,991,976 21,722,736 17,060,316 2010-04-09 $8.64 $8.21 19.5% 8.4% 13.9% 0.0% 29.9% 2.2% -0.2% 335.3M -9.73B -37.7M 0.90 2.71 N/A N/A 2,373,672 2,135,728 22,457,792 17,614,800 2010-04-12 $8.65 $8.21 21.3% 8.5% 13.9% 5.6% 30.0% 2.1% -0.9% 348.8M -9.91B -37.1M 0.62 2.07 N/A N/A 2,192,484 1,366,288 22,457,792 17,614,800 2010-04-13 $8.66 $8.21 19.3% 8.2% 12.7% 0.0% 29.1% 2.1% -0.4% 274.2M -9.61B -36.9M 0.80 2.68 N/A N/A 1,645,700 1,322,160 22,105,412 18,231,920 2010-04-14 $8.77 $8.21 18.3% 7.9% 13.1% 0.0% 28.5% 2.8% -0.1% 307.2M -10.46B -36.5M 0.53 2.08 N/A N/A 3,815,056 2,031,344 22,059,156 18,388,188 2010-04-15 $8.89 $8.21 28.8% 8.3% 13.2% 31.6% 29.6% 2.3% -0.2% 418.4M -11.10B -37.9M 0.45 2.41 N/A N/A 4,314,688 1,951,152 22,134,280 18,622,408 2010-04-16 $8.84 $8.21 30.3% 8.7% 13.8% 35.9% 30.9% 1.8% -0.7% 169.1M -10.38B -38.4M 0.28 2.79 N/A N/A 6,646,780 1,827,756 22,316,308 18,830,392 2010-04-19 $8.82 $8.21 30.3% 8.7% 12.7% 36.0% 31.0% 2.1% -1.6% 153.4M -6.84B -38.7M 0.54 3.72 N/A N/A 3,752,588 2,017,372 16,188,592 12,232,696 2010-04-20 $8.74 $8.21 31.9% 9.2% 13.7% 40.8% 31.7% 1.4% -2.7% 151.3M -6.50B -40.0M 0.77 4.33 N/A N/A 4,647,888 3,574,172 17,157,056 12,870,032 2010-04-21 $9.26 $8.57 22.7% 6.5% 23.3% 13.2% 23.5% 2.0% 1.6% 248.4M -9.76B -39.5M 0.81 1.81 N/A N/A 7,679,868 6,227,396 18,563,272 14,081,116 2010-04-22 $9.52 $8.57 24.9% 7.1% 24.4% 19.8% 25.7% 1.3% 1.1% 234.4M -10.65B -40.2M 0.49 2.85 N/A N/A 7,835,688 3,862,684 18,922,428 14,406,840 2010-04-23 $9.67 $8.57 24.8% 7.1% 23.5% 21.5% 25.6% -0.3% 2.3% 256.1M -11.74B -41.3M 0.45 2.57 N/A N/A 7,917,784 3,524,584 19,819,856 14,880,348 2010-04-26 $9.63 $8.57 27.2% 7.8% 23.7% 29.5% 28.4% 0.3% 1.9% 237.9M -11.15B -43.8M 0.69 2.94 N/A N/A 4,071,928 2,827,300 20,518,428 15,405,012 2010-04-27 $9.36 $8.93 29.1% 8.3% 26.9% 35.7% 30.0% 0.5% 1.5% 206.9M -9.50B -46.0M 0.79 4.33 N/A N/A 4,269,384 3,373,272 21,275,968 15,809,892 2010-04-28 $9.34 $8.93 28.3% 8.1% 26.8% 33.1% 28.7% 0.7% 1.6% 219.2M -9.40B -47.2M 0.54 2.28 N/A N/A 6,057,548 3,261,356 22,191,176 16,052,820 2010-04-29 $9.59 $8.93 27.6% 7.9% 27.6% 30.8% 28.4% 2.3% 2.2% 260.5M -11.09B -47.5M 0.58 2.53 N/A N/A 5,947,592 3,423,588 22,821,820 16,445,548 2010-04-30 $9.32 $8.93 31.8% 9.1% 30.3% 44.7% 32.4% 1.3% 2.3% 189.0M -8.98B -50.1M 0.70 3.82 N/A N/A 4,276,440 3,000,396 22,708,392 16,718,268
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