AAPL Options History — December 2010 In December 2010, AAPL traded between $11.30 and $11.62. ATM implied volatility averaged 24.0%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 7.1% (HV 20d: 16.9%). Max pain ranged from $9.29 to $10.71. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.68.
Notable Days 2010-12-07 : Highest Volume — 10,844,316 contracts2010-12-30 : Largest IV drop — 41.9% change2010-12-28 : Highest IV Rank — 36.5%2010-12-31 : Largest Expected Move — 9.4%Monthly Statistics Metric Avg Min Max Open Close Price $11.48 $11.30 $11.62 $11.30 $11.52 Max Pain $9.98 $9.29 $10.71 $10.71 $10.36 ATM IV 24.0% 17.3% 30.7% 26.8% 19.5% Expected Move 7.6% 6.6% 9.4% 7.6% 9.4% HV 20d 16.9% 7.2% 23.2% 23.2% 7.2% HV 60d 20.8% 18.5% 22.1% 22.1% 18.5% IV Rank 17.2% 0.0% 36.5% 24.9% 6.4% IV Percentile 17.9% 0.0% 67.5% 33.3% 1.6% Term Structure 4.1% -1.9% 8.0% 1.8% -1.9% VWIV 27.3% 23.5% 33.7% 27.4% 33.7% Skew 25d 2.2% 1.2% 3.3% 3.3% 2.6% Skew 10d 4.7% 2.6% 6.9% 6.3% 6.1% Call IV 25d 25.9% 22.5% 32.2% 25.8% 32.2% Put IV 25d 28.1% 24.0% 34.8% 29.1% 34.8% Bid-Ask Spread % 3.06 1.56 4.96 2.92 1.56 Gamma HHI 0.20 0.14 0.33 0.22 0.15 Net GEX 338.7M 220.0M 501.7M 363.9M 230.7M Net DEX -13.47B -14.21B -12.55B -13.09B -12.55B Net VEX -53.2M -55.3M -50.8M -53.1M -55.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.68 0.41 1.34 0.57 0.93 Total Volume 5,481,414.909 3,348,464 10,844,316 6,680,072 4,037,656 Total OI 48,981,171.273 44,463,216 53,008,200 47,123,916 50,044,232
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 2010-12-01 $11.30 $10.71 26.8% 7.6% 23.2% 24.9% 27.4% 3.3% 1.8% 363.9M -13.09B -53.1M 0.57 2.92 N/A N/A 4,243,596 2,436,476 25,544,484 21,579,432 2010-12-02 $11.36 $10.71 24.4% 7.3% 23.0% 18.0% 26.6% 3.3% 1.8% 434.2M -13.48B -52.4M 0.66 4.01 N/A N/A 4,001,872 2,643,844 25,636,268 21,810,852 2010-12-03 $11.34 $10.71 21.8% 6.9% 22.2% 10.4% 24.7% 2.4% 2.8% 340.9M -13.10B -53.1M 0.56 2.49 N/A N/A 3,654,756 2,049,740 26,063,800 22,292,844 2010-12-06 $11.43 $9.29 24.2% 7.8% 22.3% 17.3% 28.0% 1.6% 4.9% 401.1M -14.06B -52.3M 0.65 1.61 N/A N/A 4,627,280 3,023,468 25,735,304 21,887,012 2010-12-07 $11.36 $9.29 23.7% 7.6% 22.4% 16.0% 28.3% 2.1% 4.6% 391.8M -13.44B -53.1M 1.34 4.96 N/A N/A 4,634,504 6,209,812 26,302,164 22,456,140 2010-12-08 $11.46 $9.64 22.6% 7.5% 22.4% 12.6% 27.5% 2.4% 5.0% 390.2M -13.79B -54.8M 0.75 3.56 N/A N/A 3,224,144 2,426,676 26,486,404 24,106,068 2010-12-09 $11.42 $9.64 22.8% 7.5% 22.4% 13.3% 26.9% 2.1% 5.2% 381.6M -13.31B -55.0M 0.52 4.06 N/A N/A 2,828,364 1,477,868 26,679,604 24,312,568 2010-12-10 $11.45 $9.64 21.8% 7.5% 22.3% 10.2% 27.2% 2.7% 5.2% 501.7M -13.64B -54.8M 0.54 4.56 N/A N/A 3,596,712 1,955,436 26,864,320 24,548,692 2010-12-13 $11.49 $9.64 25.8% 7.8% 19.7% 22.2% 27.9% 2.4% 4.9% 403.6M -14.00B -52.4M 0.63 4.68 N/A N/A 4,754,764 2,987,208 26,308,912 24,049,984 2010-12-14 $11.44 $9.64 21.0% 7.3% 19.7% 8.0% 25.9% 2.5% 6.1% 330.6M -13.32B -52.0M 0.41 4.81 N/A N/A 3,494,792 1,420,048 26,612,348 24,461,220 2010-12-15 $11.44 $9.64 25.0% 7.2% 18.3% 19.7% 25.6% 2.3% 6.8% 335.5M -13.54B -52.5M 0.57 4.44 N/A N/A 2,387,392 1,366,680 26,923,876 24,863,692 2010-12-16 $11.47 $9.64 24.7% 7.1% 18.1% 19.0% 26.9% 2.9% 7.4% 308.7M -13.19B -50.8M 0.65 2.08 N/A N/A 2,116,632 1,384,432 25,807,796 24,588,004 2010-12-17 $11.45 $10.00 24.6% 7.0% 16.1% 18.5% 25.0% 1.9% 7.4% 466.8M -14.21B -52.7M 0.72 2.64 N/A N/A 3,512,152 2,527,952 27,405,000 25,603,200 2010-12-20 $11.51 $10.00 23.4% 6.7% 15.8% 15.0% 23.9% 1.7% 7.7% 226.6M -12.88B -51.7M 0.64 2.64 N/A N/A 3,875,704 2,476,040 23,451,176 21,012,040 2010-12-21 $11.58 $10.00 23.1% 6.6% 14.3% 14.1% 23.5% 1.4% 8.0% 274.1M -13.74B -51.8M 0.52 2.13 N/A N/A 2,854,096 1,492,064 24,183,824 21,616,252 2010-12-22 $11.61 $10.00 22.9% 6.6% 12.9% 13.6% 23.6% 1.2% 7.3% 299.6M -14.03B -51.8M 0.66 2.71 N/A N/A 2,384,900 1,573,012 24,499,804 21,995,680 2010-12-23 $11.56 $10.00 23.0% 6.6% 11.5% 14.0% 24.0% 1.5% 7.8% 272.3M -13.34B -52.5M 0.89 2.60 N/A N/A 1,947,932 1,734,432 24,890,516 22,369,732 2010-12-27 $11.60 $10.00 30.1% 8.6% 11.5% 34.8% 30.6% 1.6% -0.2% 273.6M -13.42B -53.9M 0.72 1.95 N/A N/A 4,972,408 3,589,264 24,839,892 22,319,472 2010-12-28 $11.62 $10.36 30.7% 8.8% 11.4% 36.5% 31.6% 1.4% -1.2% 287.4M -13.57B -55.0M 0.59 2.43 N/A N/A 2,458,960 1,457,820 25,582,060 23,242,744 2010-12-29 $11.62 $10.36 29.7% 8.5% 8.8% 33.5% 30.6% 2.1% -0.7% 317.5M -13.74B -54.4M 0.66 2.48 N/A N/A 2,055,368 1,346,408 26,008,080 23,297,764 2010-12-30 $11.56 $10.36 17.3% 8.8% 7.3% 0.0% 31.1% 2.6% -0.9% 220.0M -12.83B -54.4M 0.71 1.89 N/A N/A 1,961,736 1,386,728 25,853,436 23,449,076 2010-12-31 $11.52 $10.36 19.5% 9.4% 7.2% 6.4% 33.7% 2.6% -1.9% 230.7M -12.55B -55.3M 0.93 1.56 N/A N/A 2,096,416 1,941,240 26,201,924 23,842,308
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