AAPL Options History — October 2011 In October 2011, AAPL traded between $13.21 and $15.08. ATM implied volatility averaged 35.6%, placing in the 45.8% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 3.5% (HV 20d: 32.1%). Max pain ranged from $13.57 to $14.29. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.63.
Notable Days 2011-10-04 : Highest Volume — 26,193,328 contracts2011-10-12 : Largest IV spike — 29.9% change2011-10-03 : Highest IV Rank — 98.2%2011-10-04 : Largest Expected Move — 15.9%Monthly Statistics Metric Avg Min Max Open Close Price $14.19 $13.21 $15.08 $13.38 $14.46 Max Pain $13.97 $13.57 $14.29 $13.75 $14.29 ATM IV 35.6% 22.4% 59.6% 59.6% 25.9% Expected Move 10.6% 7.0% 15.9% 15.8% 7.5% HV 20d 32.1% 23.0% 39.0% 23.6% 36.7% HV 60d 34.5% 32.2% 36.5% 32.4% 35.2% IV Rank 45.8% 16.9% 98.2% 98.2% 24.5% IV Percentile 80.5% 28.6% 99.6% 99.6% 52.8% Term Structure -1.0% -5.8% 2.2% -5.6% 1.8% VWIV 37.1% 24.8% 54.7% 54.7% 26.6% Skew 25d 4.9% 1.5% 7.9% 5.4% 4.8% Skew 10d 8.6% 2.3% 13.1% 10.1% 8.7% Call IV 25d 34.7% 22.5% 52.5% 52.0% 24.1% Put IV 25d 39.5% 26.9% 57.7% 57.4% 28.9% Bid-Ask Spread % 10.71 3.79 34.56 10.90 7.22 Gamma HHI 0.08 0.05 0.29 0.06 0.06 Net GEX 521.1M -200.8M 1.10B 277.5M 406.1M Net DEX -17.47B -34.33B -7.45B -9.31B -15.40B Net VEX -110.3M -117.5M -102.8M -116.6M -102.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.45 0.89 0.50 0.61 Total Volume 12,140,129.333 6,423,116 26,193,328 7,144,256 6,737,248 Total OI 63,241,702.667 51,098,684 71,170,568 60,353,524 53,172,196
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 2011-10-03 $13.38 $13.75 59.6% 15.8% 23.6% 98.2% 54.7% 5.4% -5.6% 277.5M -9.31B -116.6M 0.50 10.90 N/A N/A 4,762,884 2,381,372 36,356,712 23,996,812 2011-10-04 $13.30 $13.75 51.1% 15.9% 23.0% 79.7% 54.4% 5.3% -5.8% 252.0M -8.60B -115.3M 0.45 34.56 N/A N/A 18,048,268 8,145,060 37,059,988 24,415,580 2011-10-05 $13.51 $13.75 38.0% 13.7% 23.3% 50.9% 48.8% 7.9% -3.6% 456.3M -11.66B -117.5M 0.62 7.73 N/A N/A 7,549,584 4,693,500 40,136,852 24,957,352 2011-10-06 $13.48 $13.57 40.2% 13.7% 23.3% 55.9% 46.8% 6.6% -4.5% 425.9M -11.14B -116.4M 0.69 7.33 N/A N/A 4,207,140 2,913,400 40,541,928 25,195,408 2011-10-07 $13.21 $13.57 36.0% 12.6% 23.6% 46.7% 43.3% 6.4% -1.7% 109.5M -7.45B -113.6M 0.79 7.42 N/A N/A 7,131,208 5,619,908 41,714,652 25,929,288 2011-10-10 $13.89 $13.57 35.1% 11.8% 29.7% 44.8% 41.0% 5.9% -1.4% 551.6M -16.40B -115.9M 0.54 8.21 N/A N/A 5,299,756 2,851,604 39,881,744 25,102,756 2011-10-11 $14.30 $13.57 35.8% 11.3% 31.1% 46.3% 39.5% 5.2% -1.1% 764.8M -22.74B -117.3M 0.54 8.54 N/A N/A 8,718,640 4,669,588 40,762,204 25,699,716 2011-10-12 $14.36 $13.57 46.6% 11.0% 30.9% 69.7% 38.3% 4.1% -1.3% 808.1M -23.52B -115.3M 0.63 9.76 N/A N/A 6,983,788 4,422,012 41,183,688 26,067,048 2011-10-13 $14.59 $13.75 37.5% 10.8% 31.2% 50.0% 38.1% 3.9% -1.3% 910.4M -25.99B -113.5M 0.62 8.66 N/A N/A 5,378,856 3,308,564 41,068,860 26,673,024 2011-10-14 $15.07 $13.75 37.1% 10.6% 32.5% 49.0% 37.5% 2.1% -1.3% 993.1M -34.33B -109.6M 0.48 11.40 N/A N/A 13,299,412 6,360,676 41,402,088 27,061,748 2011-10-17 $15.00 $13.93 41.1% 11.8% 31.3% 57.9% 41.3% 1.5% -2.8% 895.1M -31.21B -112.8M 0.61 8.35 N/A N/A 12,823,636 7,772,576 41,270,712 26,375,972 2011-10-18 $15.08 $14.29 38.2% 10.9% 31.3% 51.4% 37.7% 2.6% -3.0% 963.7M -31.40B -109.9M 0.47 17.17 N/A N/A 8,684,704 4,054,064 41,714,428 27,160,084 2011-10-19 $14.24 $14.29 32.4% 9.3% 37.6% 38.7% 32.5% 3.8% 0.8% 416.8M -16.79B -106.6M 0.59 9.86 N/A N/A 13,068,804 7,754,964 42,608,384 28,330,708 2011-10-20 $14.12 $14.29 31.8% 9.1% 36.6% 37.4% 32.0% 5.5% 1.2% 94.2M -13.95B -106.6M 0.53 12.25 N/A N/A 7,849,688 4,190,816 42,302,960 28,843,836 2011-10-21 $14.03 $14.29 28.2% 8.1% 36.6% 29.5% 28.6% 5.2% 1.8% -200.8M -12.26B -103.3M 0.85 9.48 N/A N/A 6,953,044 5,881,008 42,023,240 29,147,328 2011-10-24 $14.49 $14.29 27.8% 8.0% 38.5% 28.6% 28.0% 4.4% 0.7% 413.8M -15.87B -103.8M 0.61 3.79 N/A N/A 6,126,512 3,719,744 30,441,348 20,657,336 2011-10-25 $14.21 $14.29 28.9% 8.3% 39.0% 31.0% 29.1% 5.2% 1.3% 313.1M -12.93B -105.2M 0.88 5.85 N/A N/A 3,829,728 3,383,632 31,616,536 21,308,448 2011-10-26 $14.31 $14.29 28.4% 8.1% 39.0% 30.1% 28.9% 6.1% 1.3% 398.8M -13.94B -105.3M 0.75 14.99 N/A N/A 5,061,140 3,800,776 32,263,000 21,842,828 2011-10-27 $14.45 $14.29 25.7% 7.4% 38.7% 24.1% 26.4% 5.8% 2.1% 596.3M -15.84B -105.0M 0.62 11.48 N/A N/A 6,207,236 3,875,060 32,855,732 22,441,664 2011-10-28 $14.46 $14.29 22.4% 7.0% 37.4% 16.9% 24.8% 4.4% 2.2% 1.10B -16.06B -103.2M 0.89 9.92 N/A N/A 3,399,340 3,023,776 33,488,952 23,002,616 2011-10-31 $14.46 $14.29 25.9% 7.5% 36.7% 24.5% 26.6% 4.8% 1.8% 406.1M -15.40B -102.8M 0.61 7.22 N/A N/A 4,191,348 2,545,900 31,983,784 21,188,412
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