AAPL Options History — August 2010 In August 2010, AAPL traded between $8.57 and $9.39. ATM implied volatility averaged 27.9%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 6.8% (HV 20d: 21.1%). Max pain ranged from $8.93 to $9.29. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.77.
Notable Days 2010-08-11 : Highest Volume — 11,400,816 contracts2010-08-11 : Largest IV spike — 27.1% change2010-08-31 : Highest IV Rank — 49.7%2010-08-25 : Largest Expected Move — 9.0%Monthly Statistics Metric Avg Min Max Open Close Price $8.98 $8.57 $9.39 $9.35 $8.68 Max Pain $8.99 $8.93 $9.29 $8.93 $8.93 ATM IV 27.9% 21.4% 35.2% 26.5% 35.2% Expected Move 8.1% 7.1% 9.0% 7.3% 8.4% HV 20d 21.1% 18.4% 24.2% 24.2% 20.1% HV 60d 27.3% 24.9% 33.1% 33.1% 24.9% IV Rank 28.2% 9.2% 49.7% 24.1% 49.7% IV Percentile 35.8% 1.6% 81.7% 22.2% 81.7% Term Structure 3.2% 2.5% 4.5% 2.5% 2.8% VWIV 28.8% 25.5% 32.4% 26.2% 29.2% Skew 25d 3.5% 2.1% 5.0% 3.3% 2.1% Skew 10d 7.5% 4.7% 10.0% 7.7% 4.7% Call IV 25d 27.0% 23.8% 30.3% 24.2% 28.6% Put IV 25d 30.5% 27.0% 33.7% 27.5% 30.7% Bid-Ask Spread % 2.61 1.84 3.63 1.84 2.62 Gamma HHI 0.12 0.09 0.17 0.15 0.12 Net GEX 98.2M -514.7K 239.8M 225.1M 58.5M Net DEX -4.44B -7.32B -2.20B -7.00B -3.26B Net VEX -45.0M -48.5M -42.3M -48.5M -42.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.77 0.55 1.10 0.68 0.55 Total Volume 6,047,429.818 3,120,460 11,400,816 5,045,404 4,165,168 Total OI 42,965,655.091 35,246,484 47,750,528 42,821,464 39,286,296
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 2010-08-02 $9.35 $8.93 26.5% 7.3% 24.2% 24.1% 26.2% 3.3% 2.5% 225.1M -7.00B -48.5M 0.68 1.84 N/A N/A 3,002,748 2,042,656 24,561,376 18,260,088 2010-08-03 $9.35 $8.93 24.7% 7.2% 24.2% 18.7% 25.6% 3.3% 2.6% 216.5M -6.98B -47.9M 0.83 2.18 N/A N/A 2,799,748 2,316,692 24,602,060 18,456,984 2010-08-04 $9.39 $8.93 25.7% 7.1% 19.9% 21.7% 25.5% 2.9% 3.5% 239.8M -7.32B -47.5M 0.78 2.19 N/A N/A 3,025,792 2,370,004 24,855,432 18,736,564 2010-08-05 $9.35 $8.93 24.5% 7.2% 20.0% 18.3% 26.1% 3.2% 2.8% 218.5M -6.86B -47.5M 0.87 2.07 N/A N/A 2,183,328 1,897,252 25,051,796 18,858,028 2010-08-06 $9.29 $9.29 21.4% 7.9% 20.0% 9.2% 28.6% 3.6% 2.7% 174.8M -6.45B -46.9M 0.76 2.16 N/A N/A 3,968,076 3,004,568 25,122,468 19,286,540 2010-08-09 $9.35 $9.29 22.8% 7.9% 19.8% 13.3% 27.9% 3.6% 2.5% 224.9M -6.97B -45.9M 0.73 2.43 N/A N/A 1,807,260 1,313,200 24,843,056 18,990,888 2010-08-10 $9.26 $9.29 21.9% 7.8% 18.4% 10.6% 28.1% 4.5% 2.7% 169.8M -6.02B -45.3M 0.88 3.07 N/A N/A 2,716,924 2,396,828 24,989,048 19,106,864 2010-08-11 $8.94 $9.29 27.8% 8.7% 22.7% 28.0% 32.4% 4.4% 2.6% 41.1M -3.44B -45.2M 1.10 2.73 N/A N/A 5,425,644 5,975,172 25,272,716 19,364,100 2010-08-12 $8.99 $8.93 30.3% 8.7% 22.8% 35.3% 30.6% 3.8% 2.7% 91.8M -4.21B -46.9M 0.73 2.18 N/A N/A 3,710,448 2,724,736 26,112,072 20,762,504 2010-08-13 $8.90 $8.93 29.8% 8.5% 23.0% 33.8% 29.7% 4.5% 3.2% 26.1M -3.07B -45.6M 0.64 2.70 N/A N/A 3,058,384 1,962,156 26,048,344 21,159,880 2010-08-16 $8.84 $8.93 28.5% 8.2% 22.2% 29.9% 29.3% 5.0% 3.5% -514.7K -2.87B -44.2M 0.61 3.21 N/A N/A 3,605,280 2,190,272 25,740,456 20,686,036 2010-08-17 $9.00 $8.93 28.2% 8.1% 21.2% 29.1% 28.0% 4.5% 4.0% 106.6M -4.53B -44.5M 0.69 3.63 N/A N/A 3,720,444 2,557,688 26,043,920 20,979,252 2010-08-18 $9.04 $8.93 28.3% 8.1% 20.9% 29.4% 28.0% 3.8% 4.1% 114.0M -4.90B -43.9M 0.73 2.79 N/A N/A 3,121,048 2,268,000 25,994,556 21,104,720 2010-08-19 $8.92 $8.93 28.5% 8.2% 20.1% 30.1% 29.7% 3.0% 4.2% 18.0M -3.84B -44.2M 0.97 3.19 N/A N/A 3,900,596 3,774,624 26,125,540 21,187,684 2010-08-20 $8.92 $8.93 27.1% 7.8% 20.0% 25.9% 27.6% 3.0% 4.5% 82.9M -3.24B -43.7M 0.86 2.41 N/A N/A 3,710,224 3,205,804 26,417,468 21,333,060 2010-08-23 $8.78 $8.93 28.1% 8.1% 20.6% 28.9% 29.2% 3.4% 3.7% 32.5M -3.23B -42.9M 0.67 2.77 N/A N/A 3,021,396 2,017,428 19,325,236 15,921,248 2010-08-24 $8.57 $8.93 30.8% 8.8% 20.4% 36.7% 31.5% 3.8% 3.0% 1.5M -2.20B -42.8M 0.76 2.37 N/A N/A 4,293,940 3,279,276 20,129,116 16,455,656 2010-08-25 $8.67 $8.93 31.2% 9.0% 21.1% 38.0% 32.0% 3.1% 3.1% 35.8M -2.89B -43.8M 0.69 3.06 N/A N/A 4,343,780 3,007,536 20,705,300 16,904,552 2010-08-26 $8.58 $8.93 30.4% 8.7% 21.1% 35.6% 30.6% 3.2% 3.1% 18.1M -2.51B -43.5M 0.78 2.46 N/A N/A 3,976,140 3,111,584 21,157,388 17,231,564 2010-08-27 $8.63 $8.93 28.1% 8.3% 21.3% 28.8% 29.5% 2.3% 3.5% 25.6M -2.88B -43.6M 0.90 2.84 N/A N/A 4,014,976 3,625,636 21,630,364 17,746,176 2010-08-30 $8.66 $8.93 33.6% 8.4% 20.0% 44.9% 29.5% 2.6% 3.4% 38.8M -3.09B -42.6M 0.69 2.41 N/A N/A 2,624,692 1,806,308 21,238,980 17,459,036 2010-08-31 $8.68 $8.93 35.2% 8.4% 20.1% 49.7% 29.2% 2.1% 2.8% 58.5M -3.26B -42.3M 0.55 2.62 N/A N/A 2,692,284 1,472,884 21,662,256 17,624,040
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