AAPL Options History — June 2011 In June 2011, AAPL traded between $11.26 and $12.36. ATM implied volatility averaged 23.5%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 1.9% (HV 20d: 21.6%). Max pain ranged from $11.79 to $12.14. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.80.
Notable Days 2011-06-10 : Highest Volume — 15,939,756 contracts2011-06-30 : Largest IV drop — 25.3% change2011-06-20 : Highest IV Rank — 39.5%2011-06-20 : Largest Expected Move — 8.3%Monthly Statistics Metric Avg Min Max Open Close Price $11.82 $11.26 $12.36 $12.34 $11.99 Max Pain $11.86 $11.79 $12.14 $11.96 $11.79 ATM IV 23.5% 16.8% 28.8% 23.3% 16.8% Expected Move 6.6% 5.5% 8.3% 6.4% 5.5% HV 20d 21.6% 18.7% 26.4% 18.8% 24.1% HV 60d 19.7% 18.1% 21.0% 21.0% 20.2% IV Rank 24.6% 7.6% 39.5% 24.0% 7.6% IV Percentile 34.0% 0.4% 74.2% 30.2% 0.4% Term Structure 3.7% 0.3% 6.2% 0.3% 6.2% VWIV 23.2% 19.9% 28.8% 22.8% 19.9% Skew 25d 3.7% 2.6% 6.5% 3.1% 3.5% Skew 10d 7.7% 5.1% 13.4% 8.3% 6.8% Call IV 25d 21.4% 17.8% 26.4% 21.3% 17.8% Put IV 25d 25.1% 21.3% 32.1% 24.5% 21.3% Bid-Ask Spread % 5.24 2.87 7.30 4.97 3.19 Gamma HHI 0.12 0.06 0.72 0.09 0.10 Net GEX -115.1M -2.42B 491.7M 291.3M 491.7M Net DEX -3.33B -8.80B 2.14B -8.66B -7.07B Net VEX -77.7M -82.1M -73.2M -78.1M -81.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.56 1.09 0.66 0.95 Total Volume 10,013,021.455 6,577,088 15,939,756 12,738,264 7,507,192 Total OI 50,849,767.818 44,491,076 56,902,888 47,033,784 51,840,348
Daily Data (22 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 2011-06-01 $12.34 $11.96 23.3% 6.4% 18.8% 24.0% 22.8% 3.1% 0.3% 291.3M -8.66B -78.1M 0.66 4.97 N/A N/A 7,670,880 5,067,384 25,807,964 21,225,820 2011-06-02 $12.36 $12.14 23.9% 6.1% 18.7% 25.8% 22.0% 2.6% 0.6% 302.8M -8.80B -78.0M 0.56 6.40 N/A N/A 4,878,916 2,741,172 26,509,392 21,652,316 2011-06-03 $12.27 $11.79 23.4% 6.4% 18.7% 24.3% 23.2% 2.8% 3.1% 202.2M -7.37B -77.5M 0.92 5.51 N/A N/A 4,569,740 4,201,456 27,111,280 21,962,444 2011-06-06 $12.07 $11.79 24.1% 6.3% 19.5% 26.2% 22.5% 3.1% 3.8% -7.5M -5.04B -75.5M 0.61 4.50 N/A N/A 6,385,484 3,869,068 26,574,436 21,540,316 2011-06-07 $11.86 $11.79 23.9% 6.5% 20.3% 25.7% 22.8% 2.6% 3.7% -289.8M -1.80B -73.7M 0.91 7.14 N/A N/A 5,794,908 5,248,236 27,149,612 22,149,540 2011-06-08 $11.87 $11.96 21.0% 6.3% 20.1% 17.6% 21.7% 2.9% 3.9% -269.9M -2.12B -74.6M 0.79 6.30 N/A N/A 4,270,672 3,375,820 28,448,588 23,140,348 2011-06-09 $11.84 $11.96 21.6% 6.2% 20.1% 19.4% 21.7% 2.9% 4.0% -302.1M -1.89B -73.7M 0.77 6.88 N/A N/A 4,664,968 3,574,396 28,885,276 23,503,368 2011-06-10 $11.64 $11.96 22.8% 6.5% 20.7% 22.6% 22.8% 3.0% 3.7% -480.7M 1.07B -73.2M 0.82 7.30 N/A N/A 8,759,436 7,180,320 29,521,240 23,772,700 2011-06-13 $11.66 $11.96 23.0% 6.6% 20.1% 23.1% 23.8% 3.3% 4.3% -305.3M -168.2M -76.3M 0.97 6.18 N/A N/A 4,642,064 4,499,656 29,895,544 23,971,584 2011-06-14 $11.87 $11.96 20.8% 6.0% 19.9% 17.1% 20.8% 3.0% 5.0% -5.0M -3.39B -77.0M 0.72 6.06 N/A N/A 3,833,452 2,743,636 30,403,716 24,900,680 2011-06-15 $11.67 $11.96 23.9% 6.8% 20.5% 25.6% 23.9% 4.1% 3.7% -330.9M 54.2M -76.6M 0.95 5.88 N/A N/A 4,588,472 4,338,908 30,548,532 24,708,740 2011-06-16 $11.61 $11.79 26.0% 7.5% 20.0% 31.6% 26.1% 6.5% 2.8% -359.5M 332.0M -77.4M 0.86 4.15 N/A N/A 5,772,732 4,956,280 30,847,992 24,853,640 2011-06-17 $11.44 $11.79 28.2% 8.1% 20.4% 37.7% 28.1% 6.3% 2.6% -2.42B 2.14B -77.5M 0.87 4.63 N/A N/A 7,985,208 6,963,656 31,452,204 25,450,684 2011-06-20 $11.26 $11.79 28.8% 8.3% 20.4% 39.5% 28.8% 5.6% 2.3% -166.9M 1.46B -74.4M 0.62 3.16 N/A N/A 8,249,808 5,129,488 24,483,648 20,007,428 2011-06-21 $11.62 $11.79 22.7% 6.5% 23.8% 22.3% 23.2% 4.3% 4.6% -13.3M -2.50B -78.3M 0.72 3.73 N/A N/A 7,586,376 5,431,944 25,324,432 21,095,760 2011-06-22 $11.52 $11.79 22.3% 6.4% 23.8% 21.3% 22.7% 3.6% 4.3% -85.3M -1.52B -78.7M 0.78 4.71 N/A N/A 4,619,440 3,583,468 26,732,188 21,866,488 2011-06-23 $11.83 $11.79 22.0% 6.3% 25.3% 20.3% 23.0% 3.9% 4.1% 292.2M -5.77B -80.7M 1.09 5.50 N/A N/A 5,243,336 5,694,584 27,390,888 22,040,592 2011-06-24 $11.66 $11.79 25.2% 6.9% 25.7% 29.2% 23.9% 3.8% 3.6% 16.1M -3.47B -81.5M 0.77 5.85 N/A N/A 6,801,984 5,208,252 28,386,400 22,882,272 2011-06-27 $11.86 $11.79 26.5% 6.6% 26.4% 33.0% 23.1% 3.8% 4.2% 212.6M -5.47B -81.3M 0.69 5.01 N/A N/A 4,739,084 3,268,272 27,430,284 21,709,716 2011-06-28 $11.97 $11.79 23.2% 6.1% 24.1% 23.8% 21.9% 3.1% 4.6% 361.2M -6.90B -82.0M 0.77 5.42 N/A N/A 4,193,588 3,248,336 28,179,844 22,100,904 2011-06-29 $11.93 $11.79 22.5% 6.0% 24.0% 22.2% 21.5% 2.9% 4.9% 332.2M -6.42B -82.1M 0.88 2.87 N/A N/A 3,823,232 3,381,168 28,602,336 22,633,408 2011-06-30 $11.99 $11.79 16.8% 5.5% 24.1% 7.6% 19.9% 3.5% 6.2% 491.7M -7.07B -81.4M 0.95 3.19 N/A N/A 3,856,104 3,651,088 28,941,192 22,899,156
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