AAPL Options History — May 2011

In May 2011, AAPL traded between $11.86 and $12.48. ATM implied volatility averaged 20.6%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.5% (HV 20d: 17.1%). Max pain ranged from $11.96 to $12.14. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.77.

Notable Days

2011-05-20: Highest Volume — 10,530,688 contracts
2011-05-31: Largest IV spike — 30.5% change
2011-05-16: Highest IV Rank — 21.6%
2011-05-16: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.21	$11.86	$12.48	$12.37	$12.42
Max Pain	$12.11	$11.96	$12.14	$12.14	$11.96
ATM IV	20.6%	14.7%	24.6%	23.0%	19.2%
Expected Move	6.2%	5.5%	7.1%	6.1%	5.5%
HV 20d	17.1%	14.7%	18.7%	18.4%	18.7%
HV 60d	21.5%	20.2%	22.3%	22.3%	21.2%
IV Rank	11.0%	0.0%	21.6%	17.0%	12.5%
IV Percentile	12.8%	0.0%	34.5%	20.2%	4.0%
Term Structure	2.0%	1.1%	3.3%	2.0%	1.1%
VWIV	22.1%	19.3%	25.6%	21.8%	20.4%
Skew 25d	3.2%	1.2%	4.2%	1.2%	2.4%
Skew 10d	6.7%	3.4%	8.7%	3.4%	4.8%
Call IV 25d	20.4%	17.8%	23.5%	21.3%	19.0%
Put IV 25d	23.6%	20.7%	27.2%	22.5%	21.4%
Bid-Ask Spread %	8.64	5.37	23.76	7.11	5.37
Gamma HHI	0.11	0.07	0.41	0.08	0.10
Net GEX	123.3M	-725.6M	475.8M	291.9M	401.3M
Net DEX	-6.42B	-10.28B	-1.75B	-8.27B	-9.95B
Net VEX	-78.8M	-83.3M	-76.3M	-81.4M	-76.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.56	1.05	0.63	0.70
Total Volume	7,559,442.667	4,959,276	10,530,688	8,243,704	10,384,500
Total OI	49,006,581.333	41,928,544	54,576,312	46,386,228	46,878,776

Daily Data (21 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
2011-05-02	$12.37	$12.14	23.0%	6.1%	18.4%	17.0%	21.8%	1.2%	2.0%	291.9M	-8.27B	-81.4M	0.63	7.11	N/A	N/A	5,046,300	3,197,404	26,311,096	20,075,132
2011-05-03	$12.44	$12.14	19.3%	5.9%	18.1%	6.7%	21.2%	2.7%	2.6%	396.6M	-9.35B	-82.1M	0.66	8.04	N/A	N/A	3,528,784	2,328,536	27,346,312	20,657,140
2011-05-04	$12.48	$12.14	19.4%	5.7%	17.9%	6.8%	20.4%	1.9%	3.3%	475.8M	-10.28B	-81.7M	0.69	6.95	N/A	N/A	4,596,032	3,186,792	27,704,404	20,961,668
2011-05-05	$12.38	$12.14	21.3%	6.0%	18.1%	12.3%	21.3%	2.1%	2.9%	316.6M	-8.46B	-83.3M	0.68	7.23	N/A	N/A	4,426,576	3,029,796	28,134,288	21,401,212
2011-05-06	$12.38	$12.14	17.3%	6.7%	18.1%	0.8%	24.7%	3.5%	2.0%	323.9M	-8.51B	-82.0M	0.81	12.68	N/A	N/A	4,182,864	3,373,048	28,444,220	21,786,716
2011-05-09	$12.41	$12.14	18.0%	6.3%	17.7%	3.0%	22.7%	4.2%	2.4%	367.9M	-8.60B	-80.4M	0.71	7.00	N/A	N/A	2,907,464	2,051,812	27,454,280	21,395,668
2011-05-10	$12.48	$12.14	18.6%	6.0%	16.9%	4.5%	21.9%	2.6%	2.3%	466.4M	-9.93B	-79.1M	0.61	9.45	N/A	N/A	3,817,436	2,317,980	27,807,164	21,872,424
2011-05-11	$12.40	$12.14	18.3%	6.3%	17.2%	3.8%	22.5%	3.5%	2.0%	356.1M	-8.55B	-78.7M	0.86	7.72	N/A	N/A	3,082,352	2,651,096	28,104,440	22,304,688
2011-05-12	$12.38	$12.14	21.3%	6.1%	16.9%	12.4%	21.8%	3.3%	2.1%	282.9M	-8.16B	-78.7M	0.79	6.43	N/A	N/A	4,318,804	3,431,316	28,546,924	22,653,848
2011-05-13	$12.16	$12.14	23.0%	6.6%	17.7%	17.0%	23.1%	4.1%	2.0%	-341.2M	-4.75B	-79.0M	0.81	7.31	N/A	N/A	4,599,112	3,736,824	28,645,540	23,043,776
2011-05-16	$11.90	$12.14	24.6%	7.1%	18.6%	21.6%	25.6%	3.8%	1.4%	-198.1M	-1.75B	-76.6M	1.05	6.61	N/A	N/A	4,914,644	5,156,676	27,909,280	22,415,204
2011-05-17	$12.00	$12.14	23.8%	6.8%	18.2%	19.3%	24.3%	2.7%	1.6%	-93.2M	-3.49B	-78.1M	0.84	6.66	N/A	N/A	5,665,212	4,744,740	28,618,772	23,237,340
2011-05-18	$12.14	$12.14	21.6%	6.2%	17.5%	13.2%	21.9%	3.3%	2.3%	165.0M	-5.55B	-77.9M	0.56	8.96	N/A	N/A	4,179,588	2,349,928	29,165,276	23,620,912
2011-05-19	$12.16	$12.14	21.0%	6.0%	16.8%	11.4%	21.4%	3.8%	2.5%	185.3M	-5.80B	-78.2M	0.82	6.70	N/A	N/A	3,805,004	3,115,084	30,145,528	23,827,160
2011-05-20	$11.97	$12.14	21.9%	6.3%	15.1%	14.7%	22.2%	3.6%	1.9%	-725.6M	-2.80B	-77.3M	1.02	6.49	N/A	N/A	5,211,080	5,319,608	30,270,716	24,305,596
2011-05-23	$11.94	$12.14	22.4%	6.4%	14.7%	16.1%	22.8%	4.0%	1.6%	-50.4M	-3.57B	-76.5M	0.95	15.31	N/A	N/A	3,986,388	3,777,032	23,085,216	18,843,328
2011-05-24	$11.86	$12.14	23.2%	6.6%	14.7%	18.5%	23.3%	3.9%	1.1%	-90.6M	-2.90B	-76.9M	0.67	7.17	N/A	N/A	3,945,956	2,652,356	23,906,036	19,823,636
2011-05-25	$12.03	$11.96	20.9%	6.0%	15.8%	11.8%	21.0%	3.6%	1.5%	67.4M	-4.96B	-76.9M	0.82	23.76	N/A	N/A	3,864,280	3,158,988	24,652,600	20,414,184
2011-05-26	$11.96	$11.96	19.8%	5.7%	15.6%	8.4%	19.9%	3.2%	1.7%	-74.5M	-3.95B	-76.8M	0.78	6.29	N/A	N/A	3,745,644	2,923,956	25,226,964	21,186,424
2011-05-27	$12.05	$11.96	14.7%	5.5%	15.3%	0.0%	19.3%	3.0%	1.5%	66.4M	-5.32B	-76.6M	0.81	8.24	N/A	N/A	3,342,808	2,694,496	25,603,872	21,350,448
2011-05-31	$12.42	$11.96	19.2%	5.5%	18.7%	12.5%	20.4%	2.4%	1.1%	401.3M	-9.95B	-76.3M	0.70	5.37	N/A	N/A	6,120,968	4,263,532	25,725,308	21,153,468