AAPL Options History — November 2011

In November 2011, AAPL traded between $12.98 and $14.51. ATM implied volatility averaged 29.5%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 0.6% (HV 20d: 30.1%). Max pain ranged from $13.75 to $14.29. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.75.

Notable Days

2011-11-10: Highest Volume — 16,983,932 contracts
2011-11-09: Largest IV spike — 35.5% change
2011-11-17: Highest IV Rank — 42.8%
2011-11-25: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.74	$12.98	$14.51	$14.16	$13.65
Max Pain	$14.06	$13.75	$14.29	$14.29	$13.75
ATM IV	29.5%	21.8%	34.3%	34.1%	24.3%
Expected Move	8.7%	6.9%	9.8%	9.0%	7.2%
HV 20d	30.1%	23.2%	37.6%	37.6%	29.1%
HV 60d	30.2%	28.8%	33.4%	33.4%	30.2%
IV Rank	32.3%	15.5%	42.8%	42.5%	21.0%
IV Percentile	67.7%	23.4%	86.9%	86.9%	46.4%
Term Structure	5.1%	0.8%	7.4%	0.8%	7.4%
VWIV	30.4%	25.0%	34.0%	31.2%	25.0%
Skew 25d	6.0%	4.4%	8.1%	6.6%	4.6%
Skew 10d	11.6%	8.0%	15.6%	14.0%	8.0%
Call IV 25d	27.5%	22.6%	31.6%	28.1%	22.7%
Put IV 25d	33.5%	27.0%	38.0%	34.7%	27.3%
Bid-Ask Spread %	6.70	3.96	11.73	7.67	11.73
Gamma HHI	0.08	0.05	0.31	0.06	0.08
Net GEX	225.7M	-390.7M	567.0M	255.2M	516.3M
Net DEX	-9.91B	-17.30B	-4.80B	-12.02B	-12.40B
Net VEX	-110.5M	-115.7M	-101.6M	-106.2M	-113.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.51	1.08	0.56	0.64
Total Volume	10,186,197.333	5,573,260	16,983,932	10,660,048	9,079,084
Total OI	61,162,412	55,317,136	68,345,816	55,317,136	62,402,424

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
2011-11-01	$14.16	$14.29	34.1%	9.0%	37.6%	42.5%	31.2%	6.6%	0.8%	255.2M	-12.02B	-106.2M	0.56	7.67	N/A	N/A	6,815,620	3,844,428	33,189,968	22,127,168
2011-11-02	$14.19	$14.29	29.0%	8.2%	37.3%	31.3%	28.9%	6.2%	2.2%	287.5M	-12.51B	-106.4M	0.68	4.11	N/A	N/A	3,325,336	2,247,924	34,244,672	22,893,528
2011-11-03	$14.40	$14.29	23.1%	6.9%	37.5%	18.4%	25.4%	4.4%	3.7%	512.7M	-15.38B	-105.5M	0.70	6.65	N/A	N/A	5,391,260	3,747,660	34,686,428	23,277,436
2011-11-04	$14.29	$14.11	22.5%	8.0%	36.6%	17.0%	28.2%	5.1%	4.5%	567.0M	-14.25B	-104.7M	0.79	5.00	N/A	N/A	4,537,288	3,599,624	35,225,652	23,586,948
2011-11-07	$14.28	$14.11	24.2%	8.0%	32.3%	20.8%	27.7%	5.5%	4.8%	312.4M	-13.94B	-101.6M	0.73	6.39	N/A	N/A	4,392,220	3,186,932	34,273,260	22,633,296
2011-11-08	$14.51	$14.29	21.8%	7.7%	31.2%	15.5%	27.1%	5.2%	5.0%	542.9M	-17.30B	-105.0M	0.63	7.70	N/A	N/A	6,079,248	3,801,420	35,352,576	23,535,932
2011-11-09	$14.12	$14.29	29.5%	8.9%	32.7%	32.3%	31.5%	6.7%	4.6%	164.8M	-11.55B	-107.8M	0.81	7.76	N/A	N/A	7,232,428	5,856,144	35,723,548	23,947,196
2011-11-10	$13.76	$14.29	33.9%	9.7%	33.2%	42.0%	33.6%	8.1%	3.8%	-42.7M	-7.04B	-109.2M	0.63	5.99	N/A	N/A	10,440,920	6,543,012	37,007,264	24,867,864
2011-11-11	$13.74	$14.11	31.3%	9.0%	30.5%	36.4%	32.0%	6.0%	4.8%	-34.8M	-7.52B	-112.2M	0.88	7.25	N/A	N/A	8,277,164	7,275,744	39,330,788	25,604,152
2011-11-14	$13.54	$14.11	32.2%	9.2%	30.6%	38.4%	32.0%	6.0%	4.6%	95.2M	-6.69B	-110.6M	1.07	5.96	N/A	N/A	5,877,984	6,267,352	39,015,172	24,995,712
2011-11-15	$13.89	$13.93	29.9%	8.6%	32.3%	33.2%	30.3%	6.3%	5.5%	284.3M	-11.30B	-114.8M	0.66	5.60	N/A	N/A	6,112,960	4,042,752	39,820,564	25,694,844
2011-11-16	$13.74	$13.93	31.1%	8.9%	25.6%	35.8%	31.5%	6.9%	5.7%	211.7M	-9.52B	-115.6M	0.77	5.90	N/A	N/A	3,765,944	2,909,508	40,514,880	25,962,608
2011-11-17	$13.48	$13.93	34.3%	9.8%	26.2%	42.8%	33.4%	7.3%	5.0%	-36.7M	-6.13B	-114.1M	0.88	6.17	N/A	N/A	5,247,480	4,637,220	40,922,224	26,351,024
2011-11-18	$13.39	$13.93	32.1%	9.2%	26.2%	38.0%	31.5%	6.8%	6.2%	-390.7M	-5.40B	-112.5M	1.08	7.58	N/A	N/A	5,080,096	5,470,864	41,651,512	26,694,304
2011-11-21	$13.18	$13.93	33.8%	9.7%	23.2%	41.8%	33.7%	4.5%	6.1%	155.5M	-6.28B	-111.2M	0.51	6.17	N/A	N/A	8,849,708	4,519,620	33,971,420	21,677,180
2011-11-22	$13.45	$13.93	30.7%	8.8%	24.1%	35.1%	30.0%	6.0%	6.7%	344.2M	-9.79B	-115.7M	0.78	6.26	N/A	N/A	6,593,020	5,125,148	36,104,936	22,448,720
2011-11-23	$13.11	$13.93	33.9%	9.7%	25.1%	42.0%	33.4%	6.1%	5.8%	152.0M	-5.95B	-114.7M	0.63	8.84	N/A	N/A	6,447,392	4,030,572	37,243,612	23,371,068
2011-11-25	$12.98	$13.93	30.7%	9.8%	24.5%	35.1%	34.0%	6.7%	5.9%	199.2M	-4.80B	-112.5M	0.85	7.70	N/A	N/A	3,304,504	2,808,092	38,375,372	23,816,240
2011-11-28	$13.43	$13.93	29.1%	8.5%	28.2%	31.5%	29.4%	5.8%	6.9%	329.4M	-9.77B	-114.5M	0.63	3.96	N/A	N/A	4,665,164	2,938,908	37,328,648	22,996,680
2011-11-29	$13.33	$13.93	27.2%	8.4%	28.2%	27.4%	29.4%	5.6%	6.8%	313.9M	-8.49B	-112.2M	0.85	6.24	N/A	N/A	5,168,352	4,374,048	38,065,104	23,478,728
2011-11-30	$13.65	$13.75	24.3%	7.2%	29.1%	21.0%	25.0%	4.6%	7.4%	516.3M	-12.40B	-113.3M	0.64	11.73	N/A	N/A	5,526,612	3,552,472	38,360,700	24,041,724