AAPL Options History — August 2011 In August 2011, AAPL traded between $12.61 and $14.17. ATM implied volatility averaged 35.3%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 3.3% (HV 20d: 38.6%). Max pain ranged from $12.86 to $14.11. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.70.
Notable Days 2011-08-05 : Highest Volume — 18,824,400 contracts2011-08-08 : Largest IV spike — 57.2% change2011-08-04 : Highest IV Rank — 100.0%2011-08-19 : Largest Expected Move — 12.3%Monthly Statistics Metric Avg Min Max Open Close Price $13.46 $12.61 $14.17 $14.17 $13.74 Max Pain $13.77 $12.86 $14.11 $12.86 $13.93 ATM IV 35.3% 27.2% 60.4% 29.5% 31.8% Expected Move 9.5% 7.5% 12.3% 7.9% 8.2% HV 20d 38.6% 20.9% 46.1% 20.9% 45.6% HV 60d 29.2% 22.2% 32.7% 22.2% 32.3% IV Rank 51.2% 29.9% 100.0% 54.6% 37.4% IV Percentile 90.2% 70.2% 100.0% 83.3% 89.3% Term Structure 2.3% -2.1% 4.8% 0.3% 4.0% VWIV 33.4% 27.0% 42.2% 27.6% 28.7% Skew 25d 7.3% 2.9% 13.0% 3.0% 6.2% Skew 10d 15.1% 5.7% 27.4% 5.7% 13.1% Call IV 25d 29.8% 24.3% 37.8% 26.1% 25.9% Put IV 25d 37.2% 28.2% 49.9% 29.2% 32.0% Bid-Ask Spread % 13.32 3.91 53.37 3.91 9.32 Gamma HHI 0.06 0.04 0.15 0.06 0.06 Net GEX 270.6M -60.1M 469.8M 469.8M 241.1M Net DEX -10.76B -19.89B -1.13B -19.89B -12.28B Net VEX -105.7M -110.6M -99.3M -103.4M -106.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.51 0.95 0.55 0.61 Total Volume 11,844,394.435 8,225,728 18,824,400 10,429,300 10,692,836 Total OI 59,453,306.957 50,769,656 65,372,496 56,808,500 58,225,020
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 2011-08-01 $14.17 $12.86 29.5% 7.9% 20.9% 54.6% 27.6% 3.0% 0.3% 469.8M -19.89B -103.4M 0.55 3.91 N/A N/A 6,736,688 3,692,612 32,120,256 24,688,244 2011-08-02 $13.89 $13.04 32.6% 8.1% 22.6% 66.0% 28.8% 3.0% 0.2% 360.0M -16.08B -105.6M 0.58 4.14 N/A N/A 5,816,832 3,355,380 33,115,628 25,436,180 2011-08-03 $14.02 $13.04 27.2% 7.5% 22.6% 46.2% 27.0% 2.9% 1.0% 451.1M -18.04B -104.0M 0.51 7.08 N/A N/A 6,554,408 3,321,920 33,797,540 25,994,332 2011-08-04 $13.48 $13.04 42.0% 10.3% 27.4% 100.0% 36.5% 5.3% -2.1% 138.8M -10.02B -110.1M 0.95 10.98 N/A N/A 6,768,720 6,451,592 34,169,156 26,577,824 2011-08-05 $13.34 $14.11 38.4% 9.9% 27.7% 86.7% 34.6% 7.6% 2.3% 218.5M -8.25B -110.2M 0.84 20.98 N/A N/A 10,204,460 8,619,940 35,104,244 27,106,184 2011-08-08 $12.61 $14.11 60.4% 12.2% 34.1% 100.0% 40.8% 11.5% -0.3% 100.9M -2.57B -106.8M 0.53 20.34 N/A N/A 9,398,592 4,989,768 33,990,180 25,841,928 2011-08-09 $13.36 $14.11 40.3% 9.9% 39.7% 56.1% 36.6% 8.7% 2.6% 298.9M -10.12B -110.6M 0.70 28.18 N/A N/A 7,354,984 5,167,372 35,114,744 26,451,404 2011-08-10 $12.99 $13.93 44.5% 12.1% 41.0% 65.1% 41.9% 11.0% 0.5% 187.4M -5.81B -110.5M 0.82 33.92 N/A N/A 7,623,364 6,252,120 35,538,664 26,736,444 2011-08-11 $13.35 $13.93 35.8% 10.3% 42.0% 46.1% 36.6% 9.9% 2.4% 392.1M -10.26B -110.1M 0.68 53.37 N/A N/A 6,547,240 4,423,524 36,466,136 27,329,904 2011-08-12 $13.46 $13.93 34.0% 9.8% 41.6% 42.3% 33.6% 8.7% 2.7% 356.5M -12.10B -108.6M 0.81 12.07 N/A N/A 6,586,300 5,319,888 36,471,652 27,735,232 2011-08-15 $13.69 $13.93 29.8% 8.5% 41.1% 33.0% 30.5% 6.1% 3.6% 444.5M -15.21B -104.8M 0.64 10.63 N/A N/A 5,428,668 3,459,428 35,531,944 26,759,040 2011-08-16 $13.59 $13.93 30.3% 8.7% 41.2% 34.1% 30.6% 5.9% 3.2% 353.6M -13.46B -104.2M 0.52 7.40 N/A N/A 5,444,712 2,820,720 35,788,816 27,057,184 2011-08-17 $13.59 $13.93 28.3% 8.1% 40.0% 29.9% 28.4% 5.1% 4.2% 346.6M -13.35B -101.5M 0.59 13.83 N/A N/A 5,162,248 3,063,480 35,940,016 27,288,436 2011-08-18 $13.07 $13.93 37.9% 10.9% 42.2% 50.8% 38.1% 11.5% 1.8% 98.4M -5.72B -102.6M 0.77 12.46 N/A N/A 9,090,928 6,998,852 36,102,304 27,428,576 2011-08-19 $12.72 $13.93 42.9% 12.3% 42.5% 61.8% 42.2% 13.0% -0.2% -60.1M -1.13B -100.6M 0.87 6.74 N/A N/A 9,545,928 8,348,648 37,156,952 28,215,544 2011-08-22 $12.73 $13.93 39.8% 11.4% 42.0% 54.9% 38.9% 10.6% 1.1% 61.1M -2.85B -99.3M 0.62 5.36 N/A N/A 5,325,992 3,284,680 29,361,108 21,408,548 2011-08-23 $13.34 $13.75 31.9% 9.2% 45.6% 37.8% 33.5% 7.0% 3.6% 252.2M -8.62B -103.2M 0.74 9.65 N/A N/A 5,993,764 4,460,036 30,283,568 22,082,116 2011-08-24 $13.43 $13.75 31.6% 9.1% 44.9% 37.0% 32.2% 7.2% 3.8% 305.8M -9.59B -104.9M 0.73 6.52 N/A N/A 5,722,724 4,160,016 31,210,284 22,902,292 2011-08-25 $13.35 $13.75 33.1% 9.5% 44.9% 40.2% 33.9% 7.9% 3.2% 260.1M -8.56B -104.8M 0.89 6.25 N/A N/A 7,640,388 6,832,868 31,725,932 23,379,664 2011-08-26 $13.70 $13.93 29.8% 8.3% 46.1% 33.0% 31.1% 6.4% 4.8% 230.8M -13.32B -107.1M 0.77 8.60 N/A N/A 9,097,144 7,049,700 32,561,872 24,519,600 2011-08-29 $13.93 $13.93 30.7% 7.8% 46.1% 35.0% 28.2% 4.9% 4.5% 365.4M -15.20B -106.3M 0.72 6.92 N/A N/A 4,932,508 3,535,952 32,196,276 23,547,384 2011-08-30 $13.93 $13.93 28.7% 7.6% 45.5% 30.6% 27.3% 5.1% 4.7% 350.2M -15.00B -104.6M 0.66 7.79 N/A N/A 5,509,224 3,633,924 32,745,104 24,222,604 2011-08-31 $13.74 $13.93 31.8% 8.2% 45.6% 37.4% 28.7% 6.2% 4.0% 241.1M -12.28B -106.7M 0.61 9.32 N/A N/A 6,648,516 4,044,320 33,498,304 24,726,716
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