AAPL Options History — November 2010 In November 2010, AAPL traded between $10.73 and $11.38. ATM implied volatility averaged 27.6%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 6.2% (HV 20d: 21.4%). Max pain ranged from $10.71 to $11.07. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.71.
Notable Days 2010-11-12 : Highest Volume — 16,194,500 contracts2010-11-04 : Largest IV drop — 22.6% change2010-11-30 : Highest IV Rank — 42.7%2010-11-30 : Largest Expected Move — 8.9%Monthly Statistics Metric Avg Min Max Open Close Price $11.13 $10.73 $11.38 $10.86 $11.11 Max Pain $10.75 $10.71 $11.07 $10.71 $10.71 ATM IV 27.6% 21.8% 32.9% 31.6% 32.9% Expected Move 7.9% 6.8% 8.9% 7.9% 8.9% HV 20d 21.4% 17.8% 24.1% 24.1% 23.3% HV 60d 22.0% 21.2% 23.0% 22.8% 21.9% IV Rank 27.4% 10.5% 42.7% 39.0% 42.7% IV Percentile 38.7% 3.2% 73.8% 68.7% 73.8% Term Structure 1.5% 0.3% 3.6% 1.7% 0.5% VWIV 28.2% 24.8% 31.8% 27.9% 31.2% Skew 25d 3.0% 1.3% 4.3% 3.8% 2.8% Skew 10d 6.6% 2.5% 9.7% 9.7% 6.7% Call IV 25d 26.6% 23.5% 30.1% 25.9% 30.1% Put IV 25d 29.6% 25.6% 32.9% 29.7% 32.9% Bid-Ask Spread % 3.67 2.79 5.01 2.79 3.66 Gamma HHI 0.17 0.12 0.28 0.17 0.16 Net GEX 273.7M -641.1K 430.7M 230.1M 228.2M Net DEX -11.57B -14.53B -7.43B -9.77B -11.01B Net VEX -53.8M -55.8M -51.2M -52.9M -54.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.71 0.53 0.99 0.69 0.57 Total Volume 7,929,640 4,360,860 16,194,500 5,782,700 6,922,748 Total OI 48,381,202.667 42,570,248 54,160,372 45,710,336 46,118,660
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 2010-11-01 $10.86 $10.71 31.6% 7.9% 24.1% 39.0% 27.9% 3.8% 1.7% 230.1M -9.77B -52.9M 0.69 2.79 N/A N/A 3,430,308 2,352,392 25,692,044 20,018,292 2010-11-02 $11.05 $10.71 30.6% 7.6% 21.5% 36.0% 27.4% 3.4% 2.4% 309.8M -11.51B -52.6M 0.54 3.96 N/A N/A 4,753,840 2,566,480 25,974,228 20,227,732 2010-11-03 $11.17 $10.71 31.5% 7.1% 21.6% 38.7% 25.4% 2.6% 2.8% 351.2M -12.60B -52.2M 0.72 3.21 N/A N/A 4,469,612 3,201,716 26,309,108 20,711,880 2010-11-04 $11.37 $10.71 24.4% 6.8% 22.1% 17.9% 24.8% 2.2% 3.6% 430.7M -14.53B -51.2M 0.82 5.01 N/A N/A 6,652,548 5,460,364 26,365,892 21,015,428 2010-11-05 $11.33 $10.71 25.7% 8.0% 21.8% 21.6% 29.0% 1.6% 1.1% 345.5M -13.87B -53.6M 0.87 3.28 N/A N/A 3,891,776 3,385,172 26,903,184 22,053,640 2010-11-08 $11.38 $10.71 24.5% 7.9% 21.8% 18.4% 28.3% 1.3% 1.1% 350.5M -13.98B -52.8M 0.59 3.12 N/A N/A 3,261,888 1,930,208 26,495,476 21,488,684 2010-11-09 $11.29 $10.71 23.6% 7.6% 22.0% 15.6% 27.4% 2.1% 1.4% 335.0M -13.19B -52.3M 0.63 3.42 N/A N/A 4,312,532 2,737,840 26,875,968 21,676,312 2010-11-10 $11.36 $10.71 21.8% 7.4% 22.1% 10.5% 26.6% 2.8% 1.5% 392.9M -13.90B -52.1M 0.89 4.16 N/A N/A 3,907,148 3,468,640 27,311,200 21,980,028 2010-11-11 $11.31 $11.07 26.5% 7.6% 22.1% 24.0% 27.8% 4.3% 1.1% 358.3M -13.31B -53.4M 0.99 2.79 N/A N/A 3,343,620 3,308,396 27,700,932 22,646,988 2010-11-12 $11.00 $11.07 30.2% 8.7% 19.7% 35.0% 31.8% 4.0% 0.3% 204.4M -9.75B -55.4M 0.86 3.27 N/A N/A 8,711,220 7,483,280 28,040,124 23,188,676 2010-11-15 $10.97 $10.71 29.8% 8.6% 19.2% 33.9% 30.4% 3.8% 0.9% 187.7M -10.03B -55.4M 0.74 2.82 N/A N/A 4,720,772 3,476,676 28,184,128 23,391,004 2010-11-16 $10.77 $10.71 29.9% 8.6% 17.8% 34.0% 30.4% 3.1% 1.4% 67.8M -7.85B -54.8M 0.91 3.91 N/A N/A 6,553,484 5,947,480 28,441,476 23,614,612 2010-11-17 $10.73 $10.71 28.9% 8.3% 17.8% 31.1% 29.3% 3.4% 2.1% -641.1K -7.43B -55.6M 0.76 3.60 N/A N/A 4,526,928 3,456,152 29,072,120 24,494,960 2010-11-18 $11.02 $10.71 26.0% 7.5% 20.3% 22.8% 26.8% 3.1% 2.3% 355.6M -11.19B -54.3M 0.69 3.94 N/A N/A 5,766,208 3,977,428 29,163,456 24,451,588 2010-11-19 $10.95 $10.71 26.1% 7.5% 20.2% 23.1% 27.1% 2.5% 2.4% 216.1M -10.10B -53.8M 0.69 4.49 N/A N/A 3,933,272 2,696,372 29,453,480 24,706,892 2010-11-22 $11.19 $10.71 26.4% 7.6% 21.6% 23.7% 26.8% 2.7% 1.9% 257.9M -11.33B -53.1M 0.53 4.54 N/A N/A 4,416,916 2,337,272 23,008,244 19,562,004 2010-11-23 $11.03 $10.71 28.3% 8.1% 22.3% 29.3% 29.4% 3.6% 1.0% 229.1M -10.30B -55.8M 0.67 3.96 N/A N/A 4,079,992 2,721,376 23,741,704 20,034,840 2010-11-24 $11.24 $10.71 26.5% 7.6% 23.3% 24.1% 26.8% 3.2% 1.6% 326.8M -12.28B -55.6M 0.60 3.62 N/A N/A 4,596,956 2,736,832 24,445,652 20,713,364 2010-11-26 $11.25 $10.71 27.2% 8.1% 23.0% 26.3% 27.9% 3.8% 0.7% 267.2M -12.33B -54.9M 0.56 3.48 N/A N/A 2,787,876 1,572,984 24,688,972 21,117,656 2010-11-29 $11.32 $10.71 27.6% 8.2% 22.3% 27.3% 29.3% 3.4% 0.5% 304.3M -12.79B -52.9M 0.62 4.09 N/A N/A 4,124,708 2,541,028 24,304,784 20,619,844 2010-11-30 $11.11 $10.71 32.9% 8.9% 23.3% 42.7% 31.2% 2.8% 0.5% 228.2M -11.01B -54.7M 0.57 3.66 N/A N/A 4,409,104 2,513,644 24,936,744 21,181,916
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