AAPL Options History — July 2010 In July 2010, AAPL traded between $8.77 and $9.43. ATM implied volatility averaged 32.6%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 3.9% (HV 20d: 28.7%). Max pain ranged from $8.57 to $8.93. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.70.
Notable Days 2010-07-16 : Highest Volume — 14,547,988 contracts2010-07-15 : Largest IV spike — 53.6% change2010-07-15 : Highest IV Rank — 73.1%2010-07-06 : Largest Expected Move — 12.6%Monthly Statistics Metric Avg Min Max Open Close Price $9.11 $8.77 $9.43 $8.87 $9.19 Max Pain $8.89 $8.57 $8.93 $8.57 $8.93 ATM IV 32.6% 23.3% 43.2% 40.1% 23.3% Expected Move 10.3% 7.4% 12.6% 11.3% 7.5% HV 20d 28.7% 23.8% 32.9% 31.7% 23.8% HV 60d 36.0% 33.9% 37.6% 36.5% 33.9% IV Rank 42.0% 14.9% 73.1% 63.9% 14.9% IV Percentile 58.7% 4.8% 96.8% 92.9% 4.8% Term Structure 1.5% -2.2% 8.1% 6.3% 3.4% VWIV 36.3% 25.9% 45.8% 40.2% 27.3% Skew 25d 3.8% 2.1% 4.8% 4.3% 4.4% Skew 10d 7.3% 4.3% 9.3% 8.6% 9.2% Call IV 25d 34.3% 24.4% 42.6% 38.8% 25.2% Put IV 25d 38.1% 27.9% 47.0% 43.0% 29.6% Bid-Ask Spread % 2.94 2.12 4.04 3.43 3.37 Gamma HHI 0.15 0.08 0.76 0.10 0.13 Net GEX 256.6M 80.8M 1.83B 109.1M 163.0M Net DEX -6.30B -8.05B -4.11B -4.79B -5.65B Net VEX -50.4M -52.7M -48.2M -50.7M -49.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.55 1.44 0.56 0.71 Total Volume 8,561,653.333 4,209,044 14,547,988 12,250,616 6,201,972 Total OI 44,292,529.333 35,444,808 50,896,328 43,176,196 43,476,636
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 2010-07-01 $8.87 $8.57 40.1% 11.3% 31.7% 63.9% 40.2% 4.3% 6.3% 109.1M -4.79B -50.7M 0.56 3.43 N/A N/A 7,862,008 4,388,608 25,236,036 17,940,160 2010-07-02 $8.82 $8.57 32.6% 10.3% 30.4% 42.1% 36.6% 4.3% 8.1% 118.5M -4.58B -49.5M 0.73 4.04 N/A N/A 5,106,276 3,727,276 26,084,912 18,199,300 2010-07-06 $8.88 $8.93 39.0% 12.6% 29.8% 60.8% 45.8% 4.4% -2.1% 121.5M -4.97B -49.1M 0.65 3.59 N/A N/A 4,476,584 2,922,836 25,863,740 18,745,720 2010-07-07 $9.24 $8.93 32.3% 11.5% 32.9% 40.9% 42.0% 4.2% -0.7% 228.5M -7.78B -50.4M 0.84 3.70 N/A N/A 4,187,064 3,514,420 26,386,248 19,527,340 2010-07-08 $9.22 $8.93 31.3% 11.7% 31.4% 38.1% 41.0% 3.3% -0.7% 210.1M -7.50B -49.6M 0.59 3.47 N/A N/A 5,460,028 3,240,188 26,240,928 19,909,036 2010-07-09 $9.27 $8.93 28.3% 11.4% 29.8% 29.4% 40.6% 3.6% -0.1% 348.5M -8.05B -49.9M 0.55 2.30 N/A N/A 3,236,660 1,768,284 26,950,868 20,126,428 2010-07-12 $9.19 $8.93 31.7% 11.2% 29.8% 39.5% 39.7% 3.6% -0.0% 186.1M -7.22B -48.7M 0.55 2.58 N/A N/A 3,824,352 2,108,540 26,769,092 19,998,860 2010-07-13 $8.99 $8.93 33.7% 11.8% 30.8% 45.2% 41.2% 4.1% -0.8% 115.6M -5.64B -48.2M 0.69 2.85 N/A N/A 8,407,980 5,808,096 27,032,488 20,212,864 2010-07-14 $9.03 $8.93 28.1% 12.0% 29.8% 28.9% 41.5% 3.9% -0.9% 158.5M -6.35B -49.3M 0.69 2.39 N/A N/A 5,138,896 3,533,180 28,319,004 20,950,356 2010-07-15 $8.98 $8.93 43.2% 12.4% 27.6% 73.1% 43.0% 4.8% -1.5% 126.6M -5.92B -50.7M 1.44 2.62 N/A N/A 3,059,924 4,410,196 28,675,108 21,191,688 2010-07-16 $8.92 $8.93 41.9% 12.0% 26.5% 69.1% 42.0% 3.9% -0.5% 182.3M -5.69B -51.0M 0.73 2.80 N/A N/A 8,423,716 6,124,272 29,197,252 21,699,076 2010-07-19 $8.77 $8.93 42.3% 12.1% 26.5% 70.2% 42.6% 2.1% -2.2% 80.8M -4.11B -50.2M 0.77 2.22 N/A N/A 5,776,428 4,470,564 20,315,260 15,129,548 2010-07-20 $9.00 $8.93 39.4% 11.3% 28.4% 61.8% 39.4% 3.3% -1.1% 131.2M -5.60B -52.2M 0.67 3.65 N/A N/A 6,967,100 4,636,380 22,011,192 16,403,044 2010-07-21 $9.08 $8.93 33.8% 9.7% 28.1% 45.4% 33.1% 3.9% 1.8% 178.4M -6.15B -52.6M 0.65 3.67 N/A N/A 8,766,968 5,716,452 23,527,084 17,565,744 2010-07-22 $9.25 $8.93 29.8% 8.6% 29.1% 33.9% 30.2% 4.0% 3.2% 239.1M -7.16B -52.7M 0.62 2.12 N/A N/A 4,379,816 2,731,708 24,879,820 18,294,892 2010-07-23 $9.28 $8.93 28.0% 8.0% 29.1% 28.4% 28.3% 3.9% 4.2% 1.83B -7.11B -52.5M 0.55 3.36 N/A N/A 4,297,132 2,382,352 24,839,192 18,615,688 2010-07-26 $9.26 $8.93 26.8% 7.7% 29.0% 25.0% 27.4% 3.2% 4.3% 189.0M -6.65B -50.6M 0.62 2.29 N/A N/A 2,604,280 1,604,764 23,836,708 17,787,980 2010-07-27 $9.43 $8.93 26.9% 7.7% 29.7% 25.1% 27.1% 3.4% 4.0% 259.9M -8.04B -51.0M 0.63 2.33 N/A N/A 4,048,156 2,553,740 24,404,940 18,050,732 2010-07-28 $9.32 $8.93 25.9% 7.4% 24.9% 22.5% 25.9% 3.5% 3.9% 224.5M -7.07B -50.6M 0.83 2.49 N/A N/A 3,077,928 2,563,512 24,513,972 18,082,064 2010-07-29 $9.22 $8.93 26.2% 7.5% 24.2% 23.1% 26.6% 3.0% 3.2% 190.8M -6.19B -49.8M 0.62 2.46 N/A N/A 3,877,944 2,408,140 24,847,228 18,304,888 2010-07-30 $9.19 $8.93 23.3% 7.5% 23.8% 14.9% 27.3% 4.4% 3.4% 163.0M -5.65B -49.5M 0.71 3.37 N/A N/A 3,625,440 2,576,532 24,964,016 18,512,620
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