AAPL Options History — September 2010 In September 2010, AAPL traded between $8.94 and $10.44. ATM implied volatility averaged 26.9%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 5.6% (HV 20d: 21.3%). Max pain ranged from $8.57 to $9.64. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.64.
Notable Days 2010-09-23 : Highest Volume — 13,014,988 contracts2010-09-07 : Largest IV spike — 35.5% change2010-09-28 : Highest IV Rank — 43.4%2010-09-30 : Largest Expected Move — 8.3%Monthly Statistics Metric Avg Min Max Open Close Price $9.78 $8.94 $10.44 $8.94 $10.13 Max Pain $9.06 $8.57 $9.64 $8.93 $9.64 ATM IV 26.9% 19.9% 33.1% 25.9% 30.3% Expected Move 7.6% 6.6% 8.3% 6.9% 8.3% HV 20d 21.3% 16.6% 26.0% 23.2% 18.9% HV 60d 23.9% 21.2% 25.6% 25.6% 21.2% IV Rank 25.3% 4.8% 43.4% 22.3% 35.3% IV Percentile 30.7% 1.2% 74.6% 17.5% 60.3% Term Structure 5.0% 3.9% 6.9% 4.4% 4.6% VWIV 27.8% 23.9% 32.4% 24.9% 29.1% Skew 25d 3.1% 1.2% 4.2% 2.8% 2.5% Skew 10d 7.3% 4.5% 10.7% 6.0% 6.4% Call IV 25d 25.8% 21.9% 28.7% 23.5% 28.1% Put IV 25d 28.9% 25.3% 31.3% 26.4% 30.6% Bid-Ask Spread % 2.62 1.95 3.76 2.51 2.23 Gamma HHI 0.20 0.15 0.35 0.17 0.19 Net GEX 270.6M 176.5M 388.2M 182.6M 176.5M Net DEX -9.06B -12.08B -5.05B -5.05B -8.95B Net VEX -42.3M -46.7M -39.6M -42.4M -46.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.38 0.89 0.69 0.63 Total Volume 7,894,558.667 4,531,044 13,014,988 10,069,640 9,750,916 Total OI 40,424,986.667 34,576,976 44,207,744 39,840,472 44,207,744
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 2010-09-01 $8.94 $8.93 25.9% 6.9% 23.2% 22.3% 24.9% 2.8% 4.4% 182.6M -5.05B -42.4M 0.69 2.51 N/A N/A 5,952,940 4,116,700 21,989,940 17,850,532 2010-09-02 $9.01 $8.93 23.0% 6.6% 23.4% 13.8% 23.9% 3.5% 4.3% 197.5M -5.36B -42.2M 0.81 1.97 N/A N/A 2,759,456 2,229,724 22,218,868 18,067,812 2010-09-03 $9.24 $8.57 19.9% 7.3% 25.3% 4.8% 26.5% 3.5% 6.9% 238.4M -7.18B -42.1M 0.63 2.44 N/A N/A 5,187,280 3,287,732 22,469,384 18,527,572 2010-09-07 $9.21 $8.57 27.0% 7.7% 25.2% 25.5% 27.6% 3.7% 6.0% 249.5M -6.44B -41.6M 0.72 2.57 N/A N/A 2,634,828 1,896,216 21,978,264 17,823,008 2010-09-08 $9.39 $8.57 23.6% 7.8% 26.0% 15.7% 27.8% 3.4% 5.4% 323.1M -7.97B -40.9M 0.71 2.27 N/A N/A 4,420,780 3,158,484 22,344,112 18,134,172 2010-09-09 $9.40 $8.93 26.7% 7.7% 22.1% 24.8% 27.2% 3.9% 5.6% 279.7M -7.78B -41.0M 0.65 2.76 N/A N/A 4,550,504 2,962,456 22,314,712 18,506,040 2010-09-10 $9.41 $8.93 26.3% 7.5% 22.0% 23.5% 26.5% 3.5% 5.4% 260.0M -7.72B -40.6M 0.76 2.30 N/A N/A 2,651,516 2,016,308 22,417,248 18,734,548 2010-09-13 $9.54 $8.93 25.4% 7.3% 21.8% 20.9% 26.7% 2.9% 5.3% 318.4M -8.62B -39.9M 0.60 2.06 N/A N/A 3,391,556 2,034,760 22,076,544 18,412,604 2010-09-14 $9.57 $8.93 25.0% 7.2% 21.5% 19.8% 26.1% 3.1% 5.4% 340.1M -8.76B -40.0M 0.58 2.09 N/A N/A 3,265,332 1,903,916 22,347,892 18,623,136 2010-09-15 $9.65 $8.93 25.6% 7.3% 21.0% 21.4% 26.2% 2.9% 5.3% 388.2M -9.53B -39.6M 0.69 1.95 N/A N/A 3,565,940 2,442,916 22,408,680 18,808,300 2010-09-16 $9.88 $8.93 27.0% 7.7% 22.1% 25.4% 28.1% 2.7% 3.9% 341.9M -11.23B -40.2M 0.61 2.30 N/A N/A 6,251,308 3,836,084 22,620,416 19,232,696 2010-09-17 $9.83 $8.93 26.4% 7.6% 21.5% 23.8% 27.4% 2.4% 4.5% 218.6M -10.80B -40.2M 0.57 3.25 N/A N/A 5,248,628 2,980,180 22,984,416 19,761,112 2010-09-20 $10.12 $8.93 26.6% 7.6% 22.9% 24.4% 27.4% 3.2% 4.2% 258.1M -9.92B -40.0M 0.43 2.79 N/A N/A 7,286,580 3,163,832 19,625,172 14,951,804 2010-09-21 $10.13 $9.29 26.9% 7.7% 21.5% 25.4% 32.4% 3.3% 4.4% 261.4M -10.08B -42.6M 0.62 3.76 N/A N/A 2,832,312 1,764,420 20,685,028 15,807,176 2010-09-22 $10.28 $9.29 26.3% 7.5% 18.1% 23.5% 27.4% 4.2% 5.3% 294.4M -10.75B -43.8M 0.38 3.29 N/A N/A 5,560,492 2,092,384 21,121,604 16,579,724 2010-09-23 $10.32 $9.29 27.6% 7.9% 18.1% 27.4% 29.9% 2.2% 5.1% 336.2M -10.98B -43.7M 0.53 3.20 N/A N/A 8,527,540 4,487,448 21,599,116 17,047,996 2010-09-24 $10.44 $9.29 29.5% 8.1% 16.6% 33.0% 29.2% 1.2% 4.9% 273.4M -12.08B -45.1M 0.63 2.66 N/A N/A 6,813,464 4,304,272 22,813,616 18,149,432 2010-09-27 $10.40 $9.29 32.0% 8.0% 17.3% 40.2% 28.5% 2.7% 4.5% 292.0M -11.30B -44.5M 0.58 3.09 N/A N/A 5,673,920 3,262,868 22,567,888 17,585,232 2010-09-28 $10.24 $9.64 33.1% 8.0% 19.2% 43.4% 30.0% 3.4% 4.6% 219.7M -9.73B -45.4M 0.84 3.12 N/A N/A 6,696,620 5,598,012 23,370,200 18,397,652 2010-09-29 $10.26 $9.64 30.5% 8.1% 19.2% 35.9% 30.9% 3.6% 4.4% 233.1M -10.03B -46.7M 0.89 2.33 N/A N/A 2,767,772 2,457,336 24,245,536 19,517,792 2010-09-30 $10.13 $9.64 30.3% 8.3% 18.9% 35.3% 29.1% 2.5% 4.6% 176.5M -8.95B -46.1M 0.63 2.23 N/A N/A 5,996,732 3,754,184 24,396,820 19,810,924
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