AAPL Options History — September 2011 In September 2011, AAPL traded between $13.36 and $14.77. ATM implied volatility averaged 33.5%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 4.8% (HV 20d: 28.8%). Max pain ranged from $12.86 to $13.93. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.68.
Notable Days 2011-09-09 : Highest Volume — 18,609,332 contracts2011-09-15 : Largest IV spike — 41.5% change2011-09-30 : Highest IV Rank — 72.0%2011-09-30 : Largest Expected Move — 14.1%Monthly Statistics Metric Avg Min Max Open Close Price $14.02 $13.36 $14.77 $13.61 $13.62 Max Pain $13.61 $12.86 $13.93 $13.93 $13.75 ATM IV 33.5% 21.3% 47.6% 27.4% 47.6% Expected Move 10.3% 8.1% 14.1% 8.1% 14.1% HV 20d 28.8% 21.2% 43.9% 43.5% 23.7% HV 60d 32.0% 31.4% 32.7% 32.4% 32.2% IV Rank 41.3% 14.5% 72.0% 27.8% 72.0% IV Percentile 80.9% 20.2% 99.6% 69.0% 99.6% Term Structure 0.0% -3.3% 5.4% 4.3% -3.3% VWIV 36.4% 27.9% 48.7% 27.9% 48.7% Skew 25d 6.0% 3.2% 8.5% 6.9% 5.7% Skew 10d 11.0% 6.7% 15.5% 13.9% 10.2% Call IV 25d 33.5% 25.0% 46.2% 25.0% 46.2% Put IV 25d 39.4% 31.9% 51.8% 31.9% 51.8% Bid-Ask Spread % 12.14 5.60 34.86 5.60 6.66 Gamma HHI 0.08 0.05 0.21 0.06 0.06 Net GEX 379.1M -71.7M 833.4M 121.8M 262.3M Net DEX -15.35B -24.07B -7.05B -10.45B -10.49B Net VEX -109.7M -117.6M -102.7M -104.5M -117.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.68 0.52 0.99 0.73 0.66 Total Volume 11,705,776 5,669,888 18,609,332 8,515,472 10,940,832 Total OI 59,358,929.333 51,636,648 65,547,132 59,471,412 61,383,448
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 2011-09-01 $13.61 $13.93 27.4% 8.1% 43.5% 27.8% 27.9% 6.9% 4.3% 121.8M -10.45B -104.5M 0.73 5.60 N/A N/A 4,928,000 3,587,472 34,243,552 25,227,860 2011-09-02 $13.36 $13.93 26.8% 8.5% 43.9% 26.5% 30.1% 6.3% 5.4% -71.7M -7.05B -104.6M 0.72 9.89 N/A N/A 6,611,108 4,737,460 34,765,696 25,703,720 2011-09-06 $13.56 $12.86 34.6% 10.3% 38.7% 43.5% 36.0% 6.1% -0.2% 190.2M -10.44B -104.9M 0.65 15.53 N/A N/A 5,269,628 3,441,228 34,022,968 24,565,492 2011-09-07 $13.71 $13.04 27.2% 9.5% 33.3% 27.5% 33.4% 6.1% 0.3% 280.4M -12.44B -103.8M 0.73 11.83 N/A N/A 4,042,612 2,937,984 34,586,608 25,088,112 2011-09-08 $13.72 $13.04 27.0% 9.5% 31.5% 26.8% 33.2% 6.3% 0.1% 284.8M -12.52B -102.7M 0.64 15.01 N/A N/A 4,993,072 3,218,768 34,974,660 25,336,948 2011-09-09 $13.48 $13.04 32.6% 10.7% 30.9% 39.2% 35.6% 7.7% -0.4% 133.2M -8.63B -104.0M 0.99 11.24 N/A N/A 9,338,588 9,270,744 35,334,320 25,598,300 2011-09-12 $13.57 $13.57 28.4% 10.7% 30.8% 30.1% 37.8% 8.5% -0.3% 177.0M -10.11B -107.9M 0.63 5.83 N/A N/A 7,100,240 4,475,100 36,502,228 26,053,944 2011-09-13 $13.74 $13.57 23.3% 9.6% 30.5% 18.9% 34.2% 7.6% 0.8% 313.9M -12.73B -107.1M 0.84 8.71 N/A N/A 4,862,032 4,086,432 36,530,172 26,198,732 2011-09-14 $13.90 $13.75 21.3% 9.1% 30.7% 14.5% 32.2% 6.6% 1.1% 383.6M -15.08B -107.2M 0.79 17.38 N/A N/A 5,083,512 4,015,172 36,778,028 26,967,696 2011-09-15 $14.03 $13.75 30.1% 8.6% 30.8% 33.8% 30.6% 5.9% 1.2% 448.8M -17.21B -106.0M 0.62 8.87 N/A N/A 5,986,316 3,695,328 36,952,972 27,187,916 2011-09-16 $14.30 $13.75 29.2% 8.4% 27.4% 31.8% 29.9% 5.5% 1.1% 833.4M -23.03B -106.8M 0.52 8.51 N/A N/A 9,976,400 5,144,160 37,818,592 27,728,540 2011-09-19 $14.70 $13.75 30.7% 8.8% 25.8% 35.1% 32.3% 4.0% 0.7% 654.7M -23.08B -107.1M 0.53 9.66 N/A N/A 10,514,112 5,592,608 31,034,668 20,601,980 2011-09-20 $14.77 $13.75 32.4% 9.3% 25.7% 38.7% 33.1% 3.2% -0.1% 708.8M -24.07B -108.6M 0.52 12.03 N/A N/A 11,250,372 5,798,576 32,368,952 21,597,128 2011-09-21 $14.72 $13.75 35.9% 10.3% 21.2% 46.4% 36.4% 3.8% -0.5% 580.1M -22.42B -112.0M 0.65 11.89 N/A N/A 7,600,068 4,905,796 32,787,104 22,498,392 2011-09-22 $14.35 $13.75 41.1% 11.8% 23.8% 57.9% 41.8% 5.4% -1.2% 353.7M -17.48B -116.4M 0.68 13.93 N/A N/A 10,670,156 7,301,392 33,466,244 23,152,220 2011-09-23 $14.44 $13.75 38.7% 11.1% 23.5% 52.5% 39.4% 5.6% -0.5% 680.7M -18.78B -116.9M 0.68 13.63 N/A N/A 7,047,320 4,799,816 34,697,572 23,704,912 2011-09-26 $14.40 $13.75 40.4% 11.6% 22.1% 56.2% 41.3% 5.6% -1.1% 457.7M -18.51B -115.0M 0.57 11.86 N/A N/A 7,795,060 4,423,944 33,102,916 22,298,864 2011-09-27 $14.26 $13.75 40.6% 11.6% 21.8% 56.8% 40.8% 6.1% -1.0% 473.8M -17.50B -116.0M 0.56 12.27 N/A N/A 6,542,312 3,684,100 34,317,388 23,147,236 2011-09-28 $14.18 $13.75 42.8% 12.3% 22.0% 61.6% 43.3% 6.7% -2.3% 423.6M -16.50B -117.2M 0.93 9.76 N/A N/A 2,931,880 2,738,008 35,130,116 23,634,044 2011-09-29 $13.95 $13.75 46.3% 13.3% 22.3% 69.2% 46.1% 5.8% -3.3% 269.6M -13.82B -117.4M 0.63 34.86 N/A N/A 8,876,112 5,607,476 35,523,936 23,923,340 2011-09-30 $13.62 $13.75 47.6% 14.1% 23.7% 72.0% 48.7% 5.7% -3.3% 262.3M -10.49B -117.6M 0.66 6.66 N/A N/A 6,580,308 4,360,524 36,831,172 24,552,276
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