AAPL Options History — February 2011

In February 2011, AAPL traded between $12.09 and $12.97. ATM implied volatility averaged 22.9%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 0.9% (HV 20d: 21.9%). Max pain ranged from $11.61 to $12.14. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.71.

Notable Days

  • 2011-02-18: Highest Volume — 24,187,604 contracts
  • 2011-02-10: Largest IV spike — 29.9% change
  • 2011-02-22: Highest IV Rank — 47.9%
  • 2011-02-22: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.54$12.09$12.97$12.32$12.61
Max Pain$11.97$11.61$12.14$11.61$12.14
ATM IV22.9%17.8%34.1%19.4%26.4%
Expected Move6.8%5.6%9.8%5.9%7.4%
HV 20d21.9%20.0%22.9%22.4%21.4%
HV 60d18.2%16.9%19.1%18.9%18.2%
IV Rank15.9%1.6%47.9%6.1%25.9%
IV Percentile21.7%0.4%83.3%1.2%44.0%
Term Structure2.2%-0.8%3.2%2.8%2.2%
VWIV24.6%20.8%33.9%21.3%26.4%
Skew 25d4.5%2.5%7.4%2.8%5.7%
Skew 10d9.2%4.8%15.1%5.8%11.0%
Call IV 25d22.0%18.5%31.1%19.4%23.2%
Put IV 25d26.4%22.1%38.2%22.2%28.9%
Bid-Ask Spread %5.802.7114.812.916.28
Gamma HHI0.120.060.200.110.08
Net GEX411.7M56.1M700.1M407.2M375.5M
Net DEX-11.94B-16.79B-4.67B-11.19B-11.41B
Net VEX-69.5M-82.3M-63.0M-64.6M-82.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.600.900.610.63
Total Volume11,243,211.3683,982,27224,187,6047,831,9929,042,012
Total OI45,630,954.52640,085,58451,728,32041,812,31646,443,768

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$12.32$11.6119.4%5.9%22.4%6.1%21.3%2.8%2.8%407.2M-11.19B-64.6M0.612.91N/AN/A4,871,0762,960,91622,389,86419,422,452
2011-02-02$12.30$11.7919.4%5.9%22.4%6.2%21.2%2.9%3.0%393.1M-10.80B-64.9M0.674.41N/AN/A2,390,8081,591,46422,780,01619,867,624
2011-02-03$12.27$11.7920.2%5.8%22.4%8.4%21.4%3.1%2.9%360.1M-10.42B-65.3M0.742.97N/AN/A4,752,8323,509,91223,147,51620,194,384
2011-02-04$12.38$11.7918.7%6.4%22.5%4.2%23.1%3.6%3.2%457.8M-12.33B-64.4M0.686.96N/AN/A4,996,7123,380,58023,702,36420,719,244
2011-02-07$12.57$11.7921.1%6.4%22.9%10.8%22.8%3.1%2.7%545.3M-13.77B-63.3M0.654.21N/AN/A6,755,4204,363,21223,193,01620,156,752
2011-02-08$12.69$11.7918.7%6.1%22.3%4.0%22.4%2.5%2.9%652.5M-15.14B-63.2M0.635.34N/AN/A6,046,7963,817,49223,901,47220,769,028
2011-02-09$12.79$11.7917.8%6.2%22.4%1.6%22.7%2.5%2.3%668.7M-15.97B-63.0M0.614.22N/AN/A6,563,0043,998,26023,920,37221,377,748
2011-02-10$12.66$11.9623.2%6.6%22.7%16.8%23.9%3.3%1.4%497.2M-13.71B-65.4M0.887.64N/AN/A8,350,0767,388,89224,411,60422,074,164
2011-02-11$12.74$11.9622.1%6.3%22.7%13.6%22.8%3.6%2.3%519.2M-14.90B-66.5M0.824.52N/AN/A5,242,2444,287,86425,180,45623,409,652
2011-02-14$12.83$11.9620.7%5.9%22.7%9.9%22.7%4.3%2.7%569.0M-15.03B-65.7M0.732.71N/AN/A3,500,6722,556,98824,086,10422,172,248
2011-02-15$12.85$12.1420.1%5.8%20.8%8.1%21.5%4.2%2.8%591.8M-15.21B-65.5M0.604.89N/AN/A3,554,4322,128,25224,255,61622,641,052
2011-02-16$12.97$12.1419.7%5.6%20.7%6.9%20.8%3.3%3.0%700.1M-16.79B-64.2M0.757.29N/AN/A8,988,4766,723,92024,736,57223,058,980
2011-02-17$12.80$12.1423.1%6.6%20.0%16.5%24.6%4.5%1.9%341.0M-13.39B-69.4M0.905.67N/AN/A8,575,1687,721,89625,114,60024,091,312
2011-02-18$12.52$12.1428.2%8.1%20.6%31.1%28.3%7.1%0.5%59.3M-9.13B-74.1M0.894.38N/AN/A12,767,86011,419,74425,992,12025,736,200
2011-02-22$12.09$12.1434.1%9.8%21.9%47.9%33.9%7.1%-0.8%56.1M-4.67B-75.4M0.6614.81N/AN/A9,861,4886,518,96022,217,13217,868,452
2011-02-23$12.24$12.1431.1%8.9%21.9%39.3%31.4%6.4%0.3%158.5M-6.67B-79.6M0.705.23N/AN/A7,816,1165,471,39624,535,50419,294,324
2011-02-24$12.25$12.1428.9%8.3%21.7%33.1%29.4%7.3%2.0%217.4M-6.86B-82.3M0.689.58N/AN/A6,801,7324,616,80826,146,51220,282,528
2011-02-25$12.43$12.1421.4%7.2%22.4%11.7%26.4%7.4%3.2%252.8M-9.51B-82.2M0.746.15N/AN/A5,918,8084,368,72826,912,67620,784,708
2011-02-28$12.61$12.1426.4%7.4%21.4%25.9%26.4%5.7%2.2%375.5M-11.41B-82.0M0.636.28N/AN/A5,540,0523,501,96026,160,62420,283,144