AAPL Options History — April 2011

In April 2011, AAPL traded between $11.70 and $12.61. ATM implied volatility averaged 23.5%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 2.7% (HV 20d: 20.9%). Max pain ranged from $11.96 to $12.14. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.76.

Notable Days

2011-04-21: Highest Volume — 19,790,652 contracts
2011-04-14: Largest IV spike — 79.5% change
2011-04-18: Highest IV Rank — 41.7%
2011-04-18: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.16	$11.70	$12.61	$12.31	$12.50
Max Pain	$12.08	$11.96	$12.14	$12.14	$12.14
ATM IV	23.5%	17.0%	31.8%	22.4%	23.9%
Expected Move	7.7%	5.6%	9.1%	6.7%	6.3%
HV 20d	20.9%	16.0%	26.3%	26.3%	18.4%
HV 60d	22.9%	22.1%	23.6%	23.5%	22.2%
IV Rank	18.3%	0.0%	41.7%	14.7%	19.5%
IV Percentile	25.7%	0.0%	73.0%	15.1%	26.2%
Term Structure	0.5%	-1.9%	6.5%	6.5%	1.7%
VWIV	27.0%	20.2%	31.9%	24.2%	22.2%
Skew 25d	3.3%	1.8%	5.2%	3.9%	1.8%
Skew 10d	6.2%	3.9%	9.6%	9.6%	3.9%
Call IV 25d	25.3%	18.8%	29.4%	22.3%	21.3%
Put IV 25d	28.6%	20.8%	33.7%	26.2%	23.1%
Bid-Ask Spread %	8.12	4.60	22.87	6.26	11.14
Gamma HHI	0.12	0.06	0.50	0.08	0.16
Net GEX	113.7M	-1.10B	746.0M	86.1M	542.8M
Net DEX	-6.60B	-11.99B	-1.25B	-7.47B	-9.93B
Net VEX	-78.4M	-82.4M	-73.8M	-79.7M	-82.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.58	0.94	0.94	0.80
Total Volume	9,838,963.4	5,750,556	19,790,652	11,110,148	11,549,496
Total OI	49,075,598.6	39,341,400	55,635,272	50,928,920	47,390,224

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
2011-04-01	$12.31	$12.14	22.4%	6.7%	26.3%	14.7%	24.2%	3.9%	6.5%	86.1M	-7.47B	-79.7M	0.94	6.26	N/A	N/A	5,721,688	5,388,460	28,504,028	22,424,892
2011-04-04	$12.19	$12.14	25.9%	8.9%	26.1%	24.4%	30.3%	3.9%	-0.8%	112.7M	-6.39B	-78.2M	0.70	10.13	N/A	N/A	6,170,304	4,340,644	27,920,760	21,764,288
2011-04-05	$12.10	$12.14	23.9%	8.7%	26.2%	19.0%	30.1%	3.8%	-0.6%	100.5M	-5.84B	-77.7M	0.63	8.68	N/A	N/A	5,554,724	3,515,288	29,141,028	22,302,532
2011-04-06	$12.07	$12.14	23.4%	8.8%	26.0%	17.6%	30.7%	3.2%	-0.6%	89.5M	-5.68B	-77.7M	0.60	7.65	N/A	N/A	5,288,388	3,162,376	29,734,908	22,637,552
2011-04-07	$12.07	$12.14	22.2%	8.8%	25.5%	14.0%	30.8%	3.4%	-0.7%	86.6M	-5.71B	-77.7M	0.73	6.40	N/A	N/A	4,451,412	3,252,004	30,332,092	22,940,148
2011-04-08	$11.97	$12.14	20.6%	8.6%	24.8%	9.4%	29.7%	4.0%	-0.6%	-1.10B	-4.19B	-76.3M	0.88	6.84	N/A	N/A	5,140,660	4,538,016	30,791,768	23,163,896
2011-04-11	$11.81	$12.14	22.3%	8.6%	24.9%	14.2%	29.6%	3.8%	-1.0%	-168.8M	-2.09B	-73.8M	0.63	5.25	N/A	N/A	5,591,908	3,530,660	30,211,608	22,553,888
2011-04-12	$11.87	$12.14	20.8%	8.8%	23.9%	9.9%	30.6%	4.0%	-1.6%	-102.4M	-3.10B	-75.0M	0.58	6.66	N/A	N/A	5,442,472	3,163,636	30,744,392	22,888,544
2011-04-13	$12.00	$11.96	17.0%	8.7%	17.9%	0.0%	30.1%	5.2%	-0.8%	121.9M	-5.54B	-76.2M	0.75	5.66	N/A	N/A	5,228,832	3,933,580	31,246,180	23,192,736
2011-04-14	$11.87	$11.96	30.4%	8.7%	17.7%	38.0%	30.1%	4.0%	-0.7%	-118.7M	-3.66B	-76.5M	0.89	10.15	N/A	N/A	3,876,852	3,449,516	31,713,444	23,281,916
2011-04-15	$11.70	$11.96	30.9%	8.9%	18.0%	39.3%	30.5%	3.2%	-0.7%	-204.9M	-1.25B	-75.4M	0.93	4.60	N/A	N/A	6,601,280	6,171,816	32,121,796	23,513,476
2011-04-18	$11.85	$11.96	31.8%	9.1%	16.0%	41.7%	31.9%	4.3%	-1.9%	117.6M	-4.48B	-77.9M	0.75	5.97	N/A	N/A	6,136,676	4,592,868	22,540,448	16,800,952
2011-04-19	$12.07	$11.96	27.9%	8.0%	17.3%	30.9%	28.5%	4.4%	-0.5%	214.8M	-6.77B	-79.9M	0.72	6.59	N/A	N/A	5,511,324	3,949,596	23,935,968	18,129,076
2011-04-20	$12.23	$11.96	27.6%	7.9%	17.8%	29.9%	27.5%	2.1%	-0.8%	318.9M	-8.74B	-81.8M	0.71	16.57	N/A	N/A	10,134,684	7,244,076	25,052,076	18,623,640
2011-04-21	$12.52	$11.96	20.6%	5.9%	18.8%	10.2%	21.8%	2.3%	2.4%	746.0M	-11.99B	-81.9M	0.80	5.52	N/A	N/A	10,965,444	8,825,208	26,281,696	20,196,092
2011-04-25	$12.61	$12.14	19.8%	5.7%	17.7%	8.0%	20.7%	2.4%	2.4%	423.2M	-11.08B	-79.6M	0.67	4.87	N/A	N/A	3,517,528	2,351,972	24,894,968	18,650,324
2011-04-26	$12.51	$12.14	19.5%	5.6%	17.9%	7.1%	20.3%	2.0%	2.7%	379.0M	-9.91B	-80.4M	0.84	5.71	N/A	N/A	3,128,048	2,629,424	25,298,140	19,227,068
2011-04-27	$12.51	$12.14	19.8%	5.7%	17.9%	8.1%	20.2%	2.4%	2.4%	370.1M	-9.82B	-79.7M	0.69	4.82	N/A	N/A	3,398,584	2,351,972	25,714,220	19,526,976
2011-04-28	$12.38	$12.14	20.3%	5.8%	18.1%	9.4%	20.3%	2.2%	2.4%	255.6M	-8.30B	-79.4M	0.94	22.87	N/A	N/A	3,589,824	3,388,028	26,167,344	19,956,888
2011-04-29	$12.50	$12.14	23.9%	6.3%	18.4%	19.5%	22.2%	1.8%	1.7%	542.8M	-9.93B	-82.4M	0.80	11.14	N/A	N/A	6,405,308	5,144,188	26,757,920	20,632,304