AAPL Options History — July 2011

In July 2011, AAPL traded between $12.26 and $14.41. ATM implied volatility averaged 23.5%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 1.3% (HV 20d: 22.2%). Max pain ranged from $11.79 to $12.86. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.60.

Notable Days

2011-07-20: Highest Volume — 25,839,352 contracts
2011-07-14: Largest IV spike — 56.2% change
2011-07-18: Highest IV Rank — 64.1%
2011-07-18: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.29	$12.26	$14.41	$12.26	$13.95
Max Pain	$12.37	$11.79	$12.86	$11.79	$12.86
ATM IV	23.5%	15.7%	32.4%	15.7%	30.6%
Expected Move	7.3%	4.6%	9.3%	4.6%	8.0%
HV 20d	22.2%	16.6%	25.4%	25.4%	21.4%
HV 60d	21.2%	20.7%	22.1%	20.7%	22.1%
IV Rank	32.0%	3.5%	64.1%	3.5%	58.4%
IV Percentile	39.9%	0.4%	93.3%	0.4%	89.3%
Term Structure	0.6%	-2.7%	7.6%	7.6%	0.4%
VWIV	26.0%	17.5%	32.8%	17.5%	28.1%
Skew 25d	1.6%	0.5%	3.0%	2.0%	3.0%
Skew 10d	3.3%	1.1%	6.2%	3.7%	5.6%
Call IV 25d	25.0%	15.9%	32.1%	15.9%	26.7%
Put IV 25d	26.6%	17.8%	33.2%	17.8%	29.7%
Bid-Ask Spread %	8.83	3.94	21.65	10.66	7.21
Gamma HHI	0.15	0.06	0.44	0.11	0.09
Net GEX	812.6M	203.8M	2.09B	549.7M	203.8M
Net DEX	-18.01B	-25.26B	-11.68B	-11.68B	-16.61B
Net VEX	-88.6M	-105.7M	-79.8M	-79.8M	-105.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.41	0.87	0.76	0.70
Total Volume	15,559,044.2	10,492,720	25,839,352	14,916,188	15,278,704
Total OI	54,091,909.2	43,994,748	58,722,272	52,557,904	58,722,272

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
2011-07-01	$12.26	$11.79	15.7%	4.6%	25.4%	3.5%	17.5%	2.0%	7.6%	549.7M	-11.68B	-79.8M	0.76	10.66	N/A	N/A	8,492,204	6,423,984	29,216,824	23,341,080
2011-07-05	$12.48	$11.96	20.8%	7.0%	25.4%	21.4%	25.1%	2.8%	0.1%	850.3M	-13.67B	-81.1M	0.62	8.61	N/A	N/A	7,508,620	4,632,936	29,169,336	22,018,948
2011-07-06	$12.56	$11.96	19.1%	7.0%	24.4%	15.4%	24.6%	2.1%	0.4%	888.4M	-14.70B	-82.2M	0.41	7.58	N/A	N/A	10,579,940	4,378,388	29,434,580	22,641,052
2011-07-07	$12.76	$11.96	19.6%	7.1%	24.8%	17.1%	25.6%	1.1%	0.4%	1.10B	-17.91B	-83.4M	0.61	5.47	N/A	N/A	9,341,528	5,726,308	30,547,440	23,150,876
2011-07-08	$12.85	$12.14	19.1%	7.5%	24.7%	15.4%	26.8%	1.4%	-0.8%	2.09B	-18.55B	-84.7M	0.76	21.65	N/A	N/A	10,359,748	7,823,592	31,326,988	23,981,804
2011-07-11	$12.64	$12.14	23.0%	7.9%	24.6%	29.3%	28.0%	1.8%	-0.4%	843.1M	-14.14B	-86.9M	0.45	10.61	N/A	N/A	9,270,100	4,209,688	31,143,364	24,081,960
2011-07-12	$12.63	$12.14	21.2%	7.6%	24.6%	22.9%	27.1%	1.7%	-0.0%	770.1M	-13.82B	-87.0M	0.54	8.61	N/A	N/A	7,862,932	4,207,280	31,193,484	24,563,896
2011-07-13	$12.79	$12.14	17.4%	7.5%	24.3%	9.5%	26.7%	1.6%	-0.1%	1.22B	-16.62B	-85.1M	0.60	11.92	N/A	N/A	6,562,444	3,930,276	32,043,256	24,923,248
2011-07-14	$12.78	$12.14	27.2%	7.8%	23.1%	43.7%	27.8%	2.6%	-0.1%	1.20B	-15.91B	-87.1M	0.87	9.66	N/A	N/A	8,045,632	6,961,360	32,281,284	25,222,260
2011-07-15	$13.03	$12.14	28.1%	8.1%	23.4%	48.9%	28.5%	0.7%	-0.8%	1.36B	-20.42B	-86.1M	0.59	11.34	N/A	N/A	11,589,564	6,846,308	31,763,928	26,276,096
2011-07-18	$13.35	$12.14	32.4%	9.3%	22.9%	64.1%	32.8%	1.1%	-2.7%	340.8M	-16.08B	-87.7M	0.56	6.15	N/A	N/A	10,657,052	5,974,892	24,878,084	19,116,664
2011-07-19	$13.46	$12.50	30.9%	8.9%	21.2%	59.8%	30.7%	0.5%	-2.6%	438.0M	-17.79B	-88.9M	0.58	19.63	N/A	N/A	13,098,876	7,536,256	27,268,304	20,962,648
2011-07-20	$13.82	$12.50	23.1%	6.6%	20.6%	30.8%	24.0%	1.0%	1.9%	899.5M	-22.56B	-87.8M	0.76	6.90	N/A	N/A	14,692,916	11,146,436	29,990,016	23,318,232
2011-07-21	$13.83	$12.68	22.1%	6.3%	19.8%	27.5%	22.7%	0.9%	1.9%	803.0M	-20.93B	-87.3M	0.62	6.45	N/A	N/A	9,017,176	5,610,332	30,521,624	24,510,696
2011-07-22	$14.05	$12.68	21.5%	6.2%	18.9%	25.2%	22.3%	0.6%	2.1%	525.9M	-24.33B	-89.0M	0.50	3.94	N/A	N/A	10,705,100	5,382,916	31,674,468	25,404,288
2011-07-25	$14.23	$12.86	23.2%	6.7%	16.8%	31.4%	24.1%	1.5%	1.7%	681.8M	-23.78B	-88.8M	0.53	5.49	N/A	N/A	9,794,512	5,204,220	29,274,840	21,508,704
2011-07-26	$14.41	$12.86	23.3%	6.7%	16.6%	31.8%	24.2%	1.1%	1.8%	754.9M	-25.26B	-89.1M	0.56	4.22	N/A	N/A	9,452,744	5,256,552	30,089,640	22,695,316
2011-07-27	$14.02	$12.86	26.7%	7.7%	21.1%	44.3%	27.3%	2.1%	0.5%	380.0M	-18.30B	-99.7M	0.59	5.99	N/A	N/A	10,753,736	6,314,812	31,178,140	23,992,780
2011-07-28	$13.99	$12.86	25.8%	7.4%	21.0%	40.7%	25.8%	2.9%	1.0%	355.4M	-17.11B	-105.2M	0.44	4.45	N/A	N/A	7,308,336	3,242,484	32,983,496	25,426,268
2011-07-29	$13.95	$12.86	30.6%	8.0%	21.4%	58.4%	28.1%	3.0%	0.4%	203.8M	-16.61B	-105.7M	0.70	7.21	N/A	N/A	9,009,784	6,268,920	33,133,380	25,588,892