AAPL Options History — June 2010 In June 2010, AAPL traded between $8.69 and $9.79. ATM implied volatility averaged 37.9%, placing in the 57.6% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 4.3% (HV 20d: 33.7%). Max pain ranged from $8.21 to $8.93. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.64.
Notable Days 2010-06-18 : Highest Volume — 9,462,768 contracts2010-06-29 : Largest IV spike — 41.1% change2010-06-29 : Highest IV Rank — 94.5%2010-06-09 : Largest Expected Move — 12.3%Monthly Statistics Metric Avg Min Max Open Close Price $9.33 $8.69 $9.79 $9.32 $8.98 Max Pain $8.47 $8.21 $8.93 $8.93 $8.57 ATM IV 37.9% 32.9% 50.5% 39.1% 50.1% Expected Move 10.7% 9.4% 12.3% 11.2% 11.7% HV 20d 33.7% 26.8% 45.5% 45.5% 31.5% HV 60d 34.3% 32.5% 36.4% 32.6% 36.4% IV Rank 57.6% 42.8% 94.5% 60.9% 93.1% IV Percentile 87.6% 76.2% 99.6% 92.9% 99.2% Term Structure 3.3% 0.4% 6.4% 1.3% 5.1% VWIV 37.7% 34.3% 42.8% 39.4% 40.5% Skew 25d 4.8% 2.4% 7.2% 5.3% 5.6% Skew 10d 9.8% 5.9% 13.8% 10.7% 13.0% Call IV 25d 35.3% 31.6% 39.7% 36.8% 38.6% Put IV 25d 40.0% 35.3% 46.6% 42.1% 44.2% Bid-Ask Spread % 2.75 1.49 3.84 3.84 2.56 Gamma HHI 0.14 0.10 0.31 0.12 0.10 Net GEX 228.0M 82.6M 436.0M 218.1M 128.5M Net DEX -8.57B -12.63B -4.64B -8.89B -5.39B Net VEX -50.0M -52.9M -46.4M -52.9M -50.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.33 0.94 0.58 0.59 Total Volume 7,190,907.818 4,485,180 9,462,768 8,246,700 6,800,640 Total OI 42,815,888.182 35,815,472 46,416,776 41,653,276 42,251,300
Daily Data (22 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 2010-06-01 $9.32 $8.93 39.1% 11.2% 45.5% 60.9% 39.4% 5.3% 1.3% 218.1M -8.89B -52.9M 0.58 3.84 N/A N/A 5,212,984 3,033,716 24,159,660 17,493,616 2010-06-02 $9.43 $8.93 37.3% 10.7% 44.5% 55.8% 37.2% 4.8% 1.7% 249.2M -9.56B -52.5M 0.52 2.51 N/A N/A 3,677,016 1,905,456 24,462,480 17,878,616 2010-06-03 $9.40 $8.93 34.9% 10.0% 44.3% 48.8% 35.0% 4.9% 1.3% 246.8M -9.39B -51.8M 0.59 2.46 N/A N/A 3,689,868 2,189,544 24,974,740 18,109,448 2010-06-04 $9.14 $8.21 39.3% 11.4% 43.1% 61.4% 40.8% 6.2% 1.7% 193.8M -7.73B -52.4M 0.74 3.44 N/A N/A 3,907,932 2,910,852 25,205,488 18,267,200 2010-06-07 $8.96 $8.21 41.7% 12.2% 40.6% 68.5% 42.8% 7.2% 0.4% 151.0M -6.43B -51.4M 0.74 3.22 N/A N/A 5,160,652 3,832,332 25,841,088 18,581,220 2010-06-08 $8.90 $8.21 38.9% 12.0% 30.8% 60.3% 42.6% 6.1% 1.1% 134.5M -6.09B -51.1M 0.70 2.15 N/A N/A 5,121,424 3,571,624 26,097,204 18,692,044 2010-06-09 $8.69 $8.21 41.0% 12.3% 31.7% 66.7% 42.6% 6.5% 0.5% 82.6M -4.64B -50.1M 0.94 3.23 N/A N/A 3,782,996 3,549,140 26,340,300 18,880,540 2010-06-10 $8.95 $8.21 38.6% 11.1% 32.6% 59.5% 39.4% 6.2% 2.2% 168.7M -6.53B -50.1M 0.71 2.49 N/A N/A 4,302,564 3,056,928 26,540,780 18,983,860 2010-06-11 $9.05 $8.21 36.7% 10.5% 32.7% 53.9% 37.0% 5.9% 3.6% 197.7M -7.14B -49.7M 0.72 2.67 N/A N/A 3,192,980 2,285,752 26,385,996 19,180,644 2010-06-14 $9.08 $8.21 37.9% 10.9% 32.1% 57.3% 37.7% 4.9% 2.4% 219.5M -7.51B -48.6M 0.65 3.65 N/A N/A 4,477,256 2,926,168 26,555,396 19,277,916 2010-06-15 $9.27 $8.21 33.4% 9.6% 32.9% 44.3% 34.3% 4.9% 4.0% 308.4M -9.09B -47.2M 0.63 2.61 N/A N/A 3,385,200 2,127,076 26,786,480 19,265,904 2010-06-16 $9.54 $8.21 32.9% 9.4% 34.2% 42.8% 34.6% 3.2% 4.2% 401.5M -11.35B -47.9M 0.73 2.99 N/A N/A 5,182,968 3,776,108 26,692,624 19,279,568 2010-06-17 $9.71 $8.21 33.7% 9.7% 33.8% 45.2% 34.5% 2.9% 2.8% 436.0M -12.44B -46.4M 0.33 2.83 N/A N/A 7,076,664 2,346,764 26,307,624 19,576,228 2010-06-18 $9.79 $8.57 33.8% 9.7% 28.6% 45.5% 34.3% 3.5% 3.1% 376.2M -12.63B -47.6M 0.56 2.41 N/A N/A 6,082,664 3,380,104 26,585,720 19,831,056 2010-06-21 $9.65 $8.57 35.5% 10.2% 29.2% 50.6% 36.1% 4.0% 4.2% 224.4M -9.71B -47.3M 0.51 2.19 N/A N/A 5,089,196 2,617,608 21,361,424 14,454,048 2010-06-22 $9.78 $8.57 35.2% 10.1% 29.0% 49.6% 35.6% 3.9% 4.7% 240.0M -10.48B -48.2M 0.76 2.44 N/A N/A 3,967,432 3,001,460 22,065,344 15,062,880 2010-06-23 $9.68 $8.57 35.4% 10.2% 29.2% 50.3% 36.2% 3.6% 5.6% 222.1M -9.68B -50.1M 0.69 2.42 N/A N/A 4,131,988 2,837,268 22,271,228 15,862,252 2010-06-24 $9.61 $8.57 36.2% 10.4% 29.4% 52.6% 36.9% 3.7% 5.6% 215.3M -9.30B -51.1M 0.66 1.82 N/A N/A 3,321,360 2,186,744 22,893,724 16,605,008 2010-06-25 $9.53 $8.57 36.5% 10.0% 27.1% 53.4% 35.5% 2.4% 5.7% 211.2M -8.78B -51.6M 0.54 3.48 N/A N/A 3,742,648 2,013,900 23,353,456 16,992,864 2010-06-28 $9.58 $8.57 35.8% 9.9% 26.8% 51.4% 35.2% 4.1% 6.4% 240.1M -9.33B -50.3M 0.58 1.49 N/A N/A 2,840,740 1,644,440 23,867,620 17,172,064 2010-06-29 $9.15 $8.93 50.5% 11.6% 31.3% 94.5% 42.1% 4.8% 5.2% 150.0M -6.43B -51.2M 0.69 3.56 N/A N/A 5,242,552 3,617,264 24,124,184 17,378,704 2010-06-30 $8.98 $8.57 50.1% 11.7% 31.5% 93.1% 40.5% 5.6% 5.1% 128.5M -5.39B -50.4M 0.59 2.56 N/A N/A 4,272,296 2,528,344 24,604,412 17,646,888
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