AAPL Options History — January 2011

In January 2011, AAPL traded between $11.67 and $12.45. ATM implied volatility averaged 24.3%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 9.3% (HV 20d: 14.9%). Max pain ranged from $10.36 to $11.61. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.72.

Notable Days

2011-01-18: Highest Volume — 29,493,016 contracts
2011-01-12: Largest IV spike — 55.4% change
2011-01-12: Highest IV Rank — 43.1%
2011-01-18: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.08	$11.67	$12.45	$11.77	$12.12
Max Pain	$11.23	$10.36	$11.61	$10.36	$11.61
ATM IV	24.3%	19.5%	32.4%	21.1%	21.2%
Expected Move	7.9%	6.2%	9.3%	9.0%	6.5%
HV 20d	14.9%	9.5%	22.9%	10.2%	22.9%
HV 60d	18.1%	16.2%	19.0%	19.0%	18.9%
IV Rank	20.0%	6.3%	43.1%	10.8%	11.1%
IV Percentile	23.8%	1.6%	73.4%	3.2%	5.6%
Term Structure	0.2%	-3.1%	3.2%	-2.5%	2.5%
VWIV	28.1%	22.8%	32.1%	32.1%	23.5%
Skew 25d	2.1%	0.7%	3.9%	1.4%	2.7%
Skew 10d	5.1%	1.7%	9.6%	3.4%	6.5%
Call IV 25d	26.7%	20.9%	32.0%	31.2%	21.7%
Put IV 25d	28.8%	23.6%	33.3%	32.6%	24.5%
Bid-Ask Spread %	5.71	1.70	46.01	2.59	3.36
Gamma HHI	0.13	0.07	0.18	0.17	0.09
Net GEX	319.0M	-110.8M	480.6M	335.7M	228.9M
Net DEX	-14.36B	-20.49B	-7.59B	-15.12B	-8.78B
Net VEX	-56.5M	-66.1M	-50.7M	-52.2M	-66.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.48	1.00	0.70	0.71
Total Volume	10,254,757.8	4,687,872	29,493,016	7,492,128	7,363,916
Total OI	49,902,445.6	35,112,896	63,812,812	49,130,452	40,766,572

Daily Data (20 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
2011-01-03	$11.77	$10.36	21.1%	9.0%	10.2%	10.8%	32.1%	1.4%	-2.5%	335.7M	-15.12B	-52.2M	0.70	2.59	N/A	N/A	4,399,276	3,092,852	25,776,408	23,354,044
2011-01-04	$11.83	$10.36	20.4%	9.0%	10.0%	9.0%	32.1%	1.9%	-2.6%	341.3M	-15.38B	-53.0M	0.71	1.95	N/A	N/A	2,925,916	2,077,628	26,074,608	23,902,396
2011-01-05	$11.93	$10.36	20.3%	9.0%	9.8%	8.6%	31.6%	1.9%	-3.0%	365.9M	-16.41B	-52.4M	0.58	1.70	N/A	N/A	3,351,068	1,945,132	26,431,552	24,312,624
2011-01-06	$11.92	$10.36	20.5%	9.2%	9.6%	9.2%	32.1%	2.1%	-3.1%	353.5M	-16.23B	-52.2M	0.68	2.01	N/A	N/A	2,796,948	1,890,924	26,414,892	24,411,968
2011-01-07	$12.00	$11.07	19.5%	8.0%	9.5%	6.3%	28.8%	3.1%	0.2%	364.5M	-17.07B	-52.0M	0.60	2.88	N/A	N/A	3,937,192	2,348,892	26,764,556	24,703,756
2011-01-10	$12.23	$11.07	24.0%	8.5%	11.1%	19.2%	30.1%	1.3%	-0.3%	433.9M	-19.09B	-50.7M	0.48	3.99	N/A	N/A	7,191,408	3,488,156	26,754,756	24,405,528
2011-01-11	$12.20	$11.25	20.9%	8.3%	11.3%	10.2%	29.5%	0.7%	-0.3%	445.0M	-18.46B	-51.6M	0.55	5.99	N/A	N/A	5,892,208	3,234,532	27,517,896	25,148,060
2011-01-12	$12.30	$11.43	32.4%	7.8%	11.1%	43.1%	28.3%	0.7%	0.2%	480.6M	-19.24B	-51.1M	0.89	3.85	N/A	N/A	4,224,388	3,778,712	28,018,368	25,889,164
2011-01-13	$12.35	$11.43	27.4%	7.9%	11.0%	28.9%	28.4%	1.1%	0.0%	461.4M	-19.44B	-52.0M	0.89	3.79	N/A	N/A	4,066,216	3,635,296	28,329,644	27,100,948
2011-01-14	$12.45	$11.43	27.1%	7.8%	11.1%	27.8%	27.6%	1.5%	-0.3%	411.2M	-20.49B	-51.3M	0.55	3.95	N/A	N/A	6,297,956	3,467,044	28,624,820	27,775,580
2011-01-18	$12.17	$11.43	32.4%	9.3%	14.5%	42.9%	32.1%	1.3%	-1.8%	304.3M	-16.67B	-52.4M	0.63	46.01	N/A	N/A	18,092,872	11,400,144	28,218,232	27,666,240
2011-01-19	$12.10	$11.43	26.5%	7.6%	14.8%	26.1%	26.9%	3.1%	1.2%	381.8M	-16.50B	-57.6M	0.74	4.57	N/A	N/A	9,995,300	7,424,032	31,328,696	30,613,408
2011-01-20	$11.88	$11.43	26.1%	7.5%	16.4%	25.0%	26.4%	1.5%	1.5%	75.1M	-12.48B	-58.5M	0.66	3.91	N/A	N/A	8,634,640	5,703,936	31,589,824	31,425,072
2011-01-21	$11.67	$11.61	28.0%	8.0%	17.8%	30.4%	28.3%	2.5%	1.0%	-110.8M	-9.33B	-60.0M	0.74	4.67	N/A	N/A	9,942,268	7,354,004	32,067,644	31,745,168
2011-01-24	$12.05	$11.61	25.4%	7.3%	21.0%	23.1%	26.7%	3.7%	1.4%	216.4M	-8.01B	-61.5M	0.70	2.84	N/A	N/A	5,400,276	3,793,216	19,332,488	15,780,408
2011-01-25	$12.19	$11.61	24.0%	6.9%	21.3%	19.0%	25.2%	3.9%	2.0%	341.2M	-9.54B	-63.1M	0.71	3.23	N/A	N/A	5,155,920	3,658,284	20,476,148	16,813,328
2011-01-26	$12.28	$11.61	22.6%	6.5%	21.3%	15.1%	23.6%	2.7%	2.6%	404.7M	-10.89B	-62.6M	0.99	4.14	N/A	N/A	3,928,624	3,871,196	21,132,916	17,346,840
2011-01-27	$12.26	$11.61	21.7%	6.2%	21.4%	12.7%	22.8%	2.7%	3.2%	382.6M	-10.49B	-63.8M	0.81	3.93	N/A	N/A	3,215,100	2,595,152	21,585,032	17,901,296
2011-01-28	$12.00	$11.61	24.6%	7.0%	22.8%	20.7%	25.3%	2.8%	2.3%	162.8M	-7.59B	-66.1M	1.00	4.86	N/A	N/A	6,755,952	6,768,580	22,056,188	18,491,844
2011-01-31	$12.12	$11.61	21.2%	6.5%	22.9%	11.1%	23.5%	2.7%	2.5%	228.9M	-8.78B	-66.0M	0.71	3.36	N/A	N/A	4,295,928	3,067,988	21,875,504	18,891,068