AAPL Options History — October 2010 In October 2010, AAPL traded between $9.95 and $11.36. ATM implied volatility averaged 28.0%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 5.1% (HV 20d: 22.9%). Max pain ranged from $9.64 to $10.71. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.63.
Notable Days 2010-10-18 : Highest Volume — 22,781,304 contracts2010-10-14 : Largest IV spike — 62.4% change2010-10-18 : Highest IV Rank — 69.1%2010-10-18 : Largest Expected Move — 12.0%Monthly Statistics Metric Avg Min Max Open Close Price $10.75 $9.95 $11.36 $10.09 $10.75 Max Pain $10.32 $9.64 $10.71 $9.64 $10.71 ATM IV 28.0% 20.3% 41.9% 27.7% 29.8% Expected Move 8.8% 7.1% 12.0% 7.9% 8.0% HV 20d 22.9% 18.9% 25.4% 19.3% 24.8% HV 60d 22.2% 21.2% 23.2% 21.2% 22.8% IV Rank 28.4% 6.1% 69.1% 27.8% 33.6% IV Percentile 36.2% 1.6% 94.0% 37.3% 55.2% Term Structure -0.1% -4.9% 5.8% 5.8% 1.9% VWIV 31.4% 25.3% 41.9% 27.8% 28.2% Skew 25d 2.0% -1.9% 3.5% 3.2% 3.4% Skew 10d 4.3% -4.0% 8.6% 7.9% 8.6% Call IV 25d 30.4% 24.3% 41.8% 26.6% 27.1% Put IV 25d 32.4% 26.8% 41.4% 29.8% 30.4% Bid-Ask Spread % 2.91 1.67 5.54 2.62 3.94 Gamma HHI 0.20 0.11 0.34 0.18 0.18 Net GEX 280.4M 43.1M 441.8M 204.5M 43.1M Net DEX -11.60B -18.14B -7.59B -8.57B -8.70B Net VEX -49.0M -53.6M -44.6M -47.1M -53.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.38 0.87 0.71 0.74 Total Volume 9,511,841.333 5,088,944 22,781,304 6,164,424 7,899,612 Total OI 45,106,945.333 37,242,072 48,608,364 45,097,248 46,377,296
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 2010-10-01 $10.09 $9.64 27.7% 7.9% 19.3% 27.8% 27.8% 3.2% 5.8% 204.5M -8.57B -47.1M 0.71 2.62 N/A N/A 3,615,108 2,549,316 24,820,096 20,277,152 2010-10-04 $9.95 $10.00 28.4% 9.7% 18.9% 29.8% 34.2% 2.5% -1.3% 153.5M -7.59B -44.6M 0.63 3.20 N/A N/A 4,294,668 2,719,164 23,995,468 19,494,692 2010-10-05 $10.32 $10.00 29.1% 9.6% 22.0% 31.8% 33.8% 2.9% -1.0% 327.4M -10.98B -44.8M 0.65 3.48 N/A N/A 5,021,268 3,283,392 24,486,616 19,697,356 2010-10-06 $10.33 $10.00 27.3% 9.7% 21.4% 26.5% 34.2% 2.0% -1.3% 307.9M -10.91B -47.0M 0.45 3.31 N/A N/A 6,870,276 3,112,144 24,833,312 20,274,744 2010-10-07 $10.33 $10.00 25.7% 9.6% 21.4% 21.9% 34.0% 2.6% -0.9% 340.2M -11.01B -46.7M 0.74 1.99 N/A N/A 3,748,808 2,759,792 25,414,760 20,676,684 2010-10-08 $10.50 $10.00 24.7% 9.6% 21.8% 18.7% 33.9% 2.0% -1.0% 351.6M -12.55B -45.8M 0.58 2.66 N/A N/A 6,494,684 3,784,116 25,439,540 20,829,200 2010-10-11 $10.55 $10.00 26.7% 9.5% 21.5% 24.7% 33.9% 1.6% -1.7% 376.2M -12.60B -44.9M 0.43 2.07 N/A N/A 5,210,828 2,260,748 25,006,128 20,340,432 2010-10-12 $10.66 $10.00 23.2% 9.3% 21.6% 14.4% 33.5% 1.5% -1.5% 426.5M -13.58B -45.4M 0.83 1.87 N/A N/A 3,780,028 3,147,144 25,449,480 20,751,640 2010-10-13 $10.72 $10.00 20.3% 9.3% 21.6% 6.1% 33.0% 1.4% -1.3% 441.8M -13.95B -45.4M 0.38 2.03 N/A N/A 6,272,588 2,411,276 25,654,300 21,145,180 2010-10-14 $10.80 $10.36 33.0% 9.5% 20.6% 43.2% 33.5% 1.3% -1.4% 421.7M -14.28B -46.7M 0.58 1.67 N/A N/A 4,141,704 2,397,220 25,865,476 21,889,812 2010-10-15 $11.24 $10.36 37.7% 10.8% 23.9% 56.9% 38.7% -1.9% -4.9% 241.7M -18.14B -47.0M 0.43 2.79 N/A N/A 14,791,504 6,336,820 26,164,236 22,444,128 2010-10-18 $11.36 $10.36 41.9% 12.0% 22.5% 69.1% 41.9% -0.4% -4.8% 229.5M -13.40B -49.6M 0.50 5.54 N/A N/A 15,201,144 7,580,160 21,101,444 16,140,628 2010-10-19 $11.05 $10.36 31.0% 8.9% 25.4% 37.4% 32.0% 1.3% 0.0% 268.9M -11.60B -53.3M 0.80 4.19 N/A N/A 9,560,012 7,692,216 25,385,024 18,361,000 2010-10-20 $11.09 $10.71 27.6% 7.9% 25.1% 27.2% 27.8% 2.1% 0.7% 292.2M -11.76B -53.1M 0.55 3.81 N/A N/A 7,415,184 4,069,940 26,065,088 19,213,516 2010-10-21 $11.05 $10.71 26.1% 7.5% 25.3% 22.9% 26.2% 2.5% 1.6% 284.6M -11.41B -53.1M 0.49 3.56 N/A N/A 6,050,408 2,991,268 26,192,292 19,543,580 2010-10-22 $10.98 $10.71 24.8% 7.1% 25.3% 19.2% 25.3% 2.5% 2.1% 241.4M -10.47B -52.3M 0.68 3.54 N/A N/A 4,233,796 2,879,436 26,314,624 20,053,796 2010-10-25 $11.03 $10.71 25.1% 7.2% 25.2% 20.1% 26.4% 2.5% 1.8% 250.6M -10.96B -51.7M 0.71 1.86 N/A N/A 2,994,376 2,133,936 24,541,188 18,787,664 2010-10-26 $11.00 $10.71 25.5% 7.3% 24.4% 21.2% 26.3% 3.0% 1.9% 241.6M -10.72B -52.6M 0.87 1.89 N/A N/A 2,715,188 2,373,756 25,042,920 19,374,488 2010-10-27 $10.99 $10.71 25.8% 7.4% 24.4% 22.2% 26.6% 3.0% 1.9% 245.8M -10.68B -52.4M 0.66 2.40 N/A N/A 3,410,148 2,241,344 25,098,556 19,549,684 2010-10-28 $10.90 $10.71 26.0% 7.5% 24.1% 22.7% 27.4% 3.5% 2.3% 196.6M -9.78B -52.5M 0.75 2.75 N/A N/A 5,313,196 3,990,952 25,336,752 19,815,880 2010-10-29 $10.75 $10.71 29.8% 8.0% 24.8% 33.6% 28.2% 3.4% 1.9% 43.1M -8.70B -53.6M 0.74 3.94 N/A N/A 4,534,656 3,364,956 25,926,124 20,451,172
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