AAPL Options History — March 2011 In March 2011, AAPL traded between $11.79 and $12.86. ATM implied volatility averaged 27.0%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 1.8% (HV 20d: 25.3%). Max pain ranged from $11.79 to $12.14. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.71.
Notable Days 2011-03-16 : Highest Volume — 16,695,084 contracts2011-03-16 : Largest IV spike — 29.4% change2011-03-16 : Highest IV Rank — 62.0%2011-03-16 : Largest Expected Move — 11.2%Monthly Statistics Metric Avg Min Max Open Close Price $12.41 $11.79 $12.86 $12.48 $12.45 Max Pain $12.00 $11.79 $12.14 $12.14 $12.14 ATM IV 27.0% 20.4% 39.1% 33.1% 21.4% Expected Move 7.9% 6.3% 11.2% 8.1% 6.6% HV 20d 25.3% 21.1% 30.0% 21.7% 26.1% HV 60d 21.2% 18.4% 23.8% 18.4% 23.4% IV Rank 27.8% 9.0% 62.0% 44.9% 11.6% IV Percentile 43.9% 6.7% 91.3% 79.4% 10.7% Term Structure 3.7% 0.2% 6.6% 1.3% 6.6% VWIV 27.9% 22.5% 37.8% 28.6% 23.5% Skew 25d 5.6% 3.4% 9.6% 5.9% 3.4% Skew 10d 11.1% 6.6% 18.6% 11.7% 6.6% Call IV 25d 24.9% 20.3% 34.2% 25.7% 21.8% Put IV 25d 30.6% 23.8% 43.9% 31.6% 25.3% Bid-Ask Spread % 5.69 3.30 9.87 4.28 5.64 Gamma HHI 0.13 0.07 0.82 0.07 0.08 Net GEX 444.1M -337.6M 5.08B 298.5M 270.6M Net DEX -9.03B -14.99B -537.0M -9.68B -9.75B Net VEX -80.9M -83.5M -78.9M -83.5M -79.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.71 0.55 1.06 0.64 0.69 Total Volume 10,160,870.087 5,869,920 16,695,084 9,096,360 5,869,920 Total OI 50,188,593.913 44,660,476 56,892,276 48,125,560 50,047,396
Daily Data (23 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 2011-03-01 $12.48 $12.14 33.1% 8.1% 21.7% 44.9% 28.6% 5.9% 1.3% 298.5M -9.68B -83.5M 0.64 4.28 N/A N/A 5,537,840 3,558,520 27,117,804 21,007,756 2011-03-02 $12.58 $12.14 25.1% 7.2% 21.1% 22.3% 25.1% 4.1% 2.4% 401.0M -11.11B -82.3M 0.58 4.59 N/A N/A 7,306,236 4,231,192 27,542,396 21,528,724 2011-03-03 $12.84 $12.14 21.8% 6.3% 22.2% 12.9% 22.5% 3.5% 2.7% 718.2M -14.99B -80.1M 0.65 3.95 N/A N/A 7,446,516 4,809,980 27,987,344 22,121,764 2011-03-04 $12.86 $11.79 20.4% 7.2% 22.2% 9.0% 26.5% 4.8% 3.7% 5.08B -14.60B -80.5M 0.74 6.59 N/A N/A 6,198,220 4,559,772 27,891,472 22,715,924 2011-03-07 $12.69 $11.96 25.4% 7.8% 22.6% 23.3% 27.8% 5.4% 3.2% 333.5M -11.43B -80.6M 0.83 4.57 N/A N/A 5,309,892 4,402,160 26,923,988 21,759,220 2011-03-08 $12.71 $11.96 22.0% 7.5% 22.0% 13.3% 26.3% 5.4% 3.3% 398.6M -11.94B -80.1M 0.59 7.05 N/A N/A 4,346,944 2,560,964 27,969,788 22,602,412 2011-03-09 $12.59 $11.96 23.8% 7.7% 22.0% 18.5% 26.7% 5.0% 3.6% 237.1M -10.11B -80.1M 0.61 9.87 N/A N/A 4,909,576 2,982,784 28,207,900 22,818,880 2011-03-10 $12.38 $11.96 29.2% 8.4% 22.5% 34.0% 29.3% 5.3% 3.5% 55.9M -7.35B -80.7M 0.67 9.27 N/A N/A 6,072,024 4,087,412 28,586,264 22,938,636 2011-03-11 $12.57 $11.96 27.3% 7.8% 23.0% 28.5% 27.6% 6.5% 4.0% 328.2M -11.08B -80.3M 0.69 6.70 N/A N/A 5,792,528 3,988,544 29,473,948 23,260,356 2011-03-14 $12.63 $11.96 27.2% 7.8% 22.9% 28.1% 28.3% 6.5% 4.3% 379.2M -11.56B -78.9M 0.65 6.56 N/A N/A 5,785,164 3,753,092 28,511,504 22,431,304 2011-03-15 $12.34 $11.96 30.2% 8.7% 24.1% 36.8% 30.1% 6.3% 3.7% 94.0M -7.48B -79.3M 0.60 6.15 N/A N/A 8,216,880 4,951,212 29,022,868 22,936,284 2011-03-16 $11.79 $11.96 39.1% 11.2% 28.6% 62.0% 37.8% 9.6% 0.2% -171.8M -537.0M -80.5M 0.55 3.30 N/A N/A 10,758,384 5,936,700 29,936,704 23,589,496 2011-03-17 $11.95 $11.96 34.5% 9.9% 29.0% 48.9% 34.2% 7.4% 3.0% -131.5M -2.94B -82.4M 0.86 5.94 N/A N/A 8,539,300 7,381,556 31,613,120 24,126,732 2011-03-18 $11.81 $11.96 34.9% 10.0% 28.9% 50.1% 34.6% 7.5% 2.3% -337.6M -754.0M -81.2M 1.06 7.06 N/A N/A 7,971,880 8,446,396 32,197,732 24,694,544 2011-03-21 $12.12 $11.96 29.2% 8.4% 30.0% 33.9% 29.7% 6.5% 3.8% 127.8M -6.13B -81.2M 0.86 4.11 N/A N/A 4,602,948 3,961,328 25,214,868 19,445,608 2011-03-22 $12.19 $11.96 27.8% 8.0% 27.4% 29.9% 28.0% 6.1% 4.5% 187.0M -6.95B -81.7M 0.85 3.36 N/A N/A 3,380,608 2,862,720 26,138,448 20,187,552 2011-03-23 $12.11 $11.96 27.6% 7.9% 27.1% 29.2% 27.6% 5.2% 4.5% 78.7M -6.25B -81.5M 0.91 5.67 N/A N/A 4,391,772 4,014,472 26,725,580 20,840,092 2011-03-24 $12.32 $11.96 24.7% 7.1% 27.8% 21.0% 25.2% 5.2% 5.4% 379.8M -9.30B -81.4M 0.69 4.44 N/A N/A 6,353,368 4,380,012 27,323,576 21,425,208 2011-03-25 $12.55 $11.96 23.6% 7.0% 28.1% 18.1% 25.1% 4.9% 4.9% 541.5M -12.51B -82.4M 0.61 5.85 N/A N/A 8,875,524 5,396,664 27,489,140 21,739,620 2011-03-28 $12.52 $11.96 27.0% 7.3% 27.6% 27.7% 26.3% 5.3% 4.4% 337.3M -10.63B -82.1M 0.73 6.36 N/A N/A 4,072,880 2,972,984 27,092,296 20,650,924 2011-03-29 $12.53 $12.14 23.9% 7.2% 27.3% 18.8% 25.6% 5.2% 4.7% 341.8M -10.82B -80.7M 0.71 4.34 N/A N/A 3,678,220 2,628,752 27,579,552 21,313,544 2011-03-30 $12.45 $12.14 23.0% 6.8% 27.3% 16.3% 24.3% 4.2% 5.8% 269.0M -9.71B -80.3M 0.61 5.24 N/A N/A 3,988,740 2,427,432 27,852,216 21,757,176 2011-03-31 $12.45 $12.14 21.4% 6.6% 26.1% 11.6% 23.5% 3.4% 6.6% 270.6M -9.75B -79.5M 0.69 5.64 N/A N/A 3,483,060 2,386,860 28,076,888 21,970,508
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