AAPL Options History — December 2011

In December 2011, AAPL traded between $13.53 and $14.52. ATM implied volatility averaged 25.6%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 0.9% (HV 20d: 24.7%). Max pain ranged from $12.50 to $13.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.72.

Notable Days

2011-12-14: Highest Volume — 13,892,228 contracts
2011-12-30: Largest IV drop — 36.2% change
2011-12-15: Highest IV Rank — 37.9%
2011-12-14: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.03	$13.53	$14.52	$13.85	$14.46
Max Pain	$12.92	$12.50	$13.75	$13.75	$13.21
ATM IV	25.6%	17.9%	32.0%	23.9%	17.9%
Expected Move	8.4%	6.8%	9.5%	6.8%	8.1%
HV 20d	24.7%	17.7%	29.7%	29.7%	17.7%
HV 60d	29.6%	29.0%	30.2%	30.2%	29.0%
IV Rank	23.9%	7.1%	37.9%	20.3%	7.1%
IV Percentile	48.6%	2.8%	79.8%	44.0%	2.8%
Term Structure	2.8%	1.2%	8.1%	8.1%	3.8%
VWIV	29.7%	24.8%	32.9%	24.8%	29.3%
Skew 25d	3.4%	1.3%	4.7%	4.1%	2.0%
Skew 10d	6.2%	2.5%	8.5%	7.3%	5.3%
Call IV 25d	27.9%	22.6%	30.8%	22.6%	27.6%
Put IV 25d	31.3%	26.6%	35.3%	26.6%	29.7%
Bid-Ask Spread %	5.45	3.70	7.74	5.67	3.84
Gamma HHI	0.11	0.08	0.31	0.08	0.31
Net GEX	652.1M	32.2M	1.67B	610.2M	1.67B
Net DEX	-16.40B	-22.50B	-8.46B	-15.58B	-21.32B
Net VEX	-106.9M	-114.9M	-101.6M	-114.9M	-104.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.48	0.93	0.69	0.78
Total Volume	9,049,944	6,076,168	13,892,228	10,795,344	8,018,444
Total OI	61,831,105.333	54,791,408	67,680,956	63,139,160	61,207,076

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
2011-12-01	$13.85	$13.75	23.9%	6.8%	29.7%	20.3%	24.8%	4.1%	8.1%	610.2M	-15.58B	-114.9M	0.69	5.67	N/A	N/A	6,390,048	4,405,296	38,647,140	24,492,020
2011-12-02	$13.92	$13.75	24.4%	6.9%	29.2%	21.3%	25.1%	3.5%	7.1%	1.24B	-16.59B	-114.4M	0.58	5.27	N/A	N/A	6,249,264	3,634,512	38,869,852	24,938,032
2011-12-05	$14.04	$12.50	25.4%	8.9%	29.4%	23.4%	31.5%	3.8%	1.6%	560.4M	-17.15B	-112.9M	0.61	5.66	N/A	N/A	6,167,756	3,743,404	38,122,952	24,001,992
2011-12-06	$13.96	$12.50	24.1%	8.9%	29.4%	20.6%	31.5%	3.4%	1.4%	479.3M	-15.78B	-111.2M	0.76	5.97	N/A	N/A	3,695,944	2,806,188	38,421,656	24,448,172
2011-12-07	$13.90	$12.50	23.7%	9.1%	28.7%	19.7%	32.1%	4.1%	1.5%	423.5M	-14.69B	-110.1M	0.76	6.47	N/A	N/A	3,461,584	2,614,584	38,651,508	24,623,984
2011-12-08	$13.95	$12.50	25.2%	9.3%	27.2%	23.0%	32.5%	4.5%	1.7%	501.5M	-15.68B	-111.6M	0.86	6.41	N/A	N/A	4,996,432	4,273,808	39,039,476	24,798,452
2011-12-09	$14.06	$12.50	20.3%	8.9%	25.6%	12.3%	31.5%	4.2%	1.5%	548.1M	-17.09B	-109.9M	0.88	6.91	N/A	N/A	4,776,044	4,216,688	39,833,556	25,047,904
2011-12-12	$13.99	$12.50	21.8%	9.1%	25.7%	15.6%	31.8%	4.0%	1.2%	448.1M	-16.16B	-106.2M	0.85	5.50	N/A	N/A	3,907,120	3,334,604	38,975,664	24,281,796
2011-12-13	$13.89	$12.50	22.2%	9.2%	25.3%	16.4%	32.0%	4.7%	1.2%	286.2M	-14.03B	-105.5M	0.87	6.67	N/A	N/A	5,364,632	4,670,484	39,483,612	24,716,608
2011-12-14	$13.58	$12.50	23.7%	9.5%	25.0%	19.7%	32.9%	4.5%	1.2%	32.2M	-8.96B	-102.6M	0.93	5.43	N/A	N/A	7,212,660	6,679,568	40,009,508	25,089,848
2011-12-15	$13.53	$12.86	32.0%	9.2%	24.8%	37.9%	31.6%	3.9%	1.5%	85.4M	-8.46B	-102.6M	0.80	6.36	N/A	N/A	5,874,904	4,696,832	40,488,840	25,365,228
2011-12-16	$13.61	$12.86	30.8%	8.8%	23.8%	35.2%	30.6%	3.5%	1.8%	276.5M	-9.67B	-104.0M	0.88	4.64	N/A	N/A	6,458,592	5,687,444	41,577,704	26,103,252
2011-12-19	$13.65	$13.04	29.9%	8.6%	23.7%	33.2%	30.0%	2.8%	2.5%	431.7M	-11.64B	-101.6M	0.92	7.74	N/A	N/A	3,618,944	3,324,468	34,330,968	20,460,440
2011-12-20	$14.14	$13.04	27.9%	8.0%	25.7%	29.0%	28.5%	4.0%	3.4%	701.5M	-17.78B	-105.3M	0.55	5.92	N/A	N/A	6,939,660	3,817,576	35,098,700	21,335,160
2011-12-21	$14.16	$13.04	27.8%	8.0%	25.0%	28.8%	28.0%	3.3%	3.6%	885.8M	-18.36B	-105.0M	0.71	4.01	N/A	N/A	4,494,728	3,194,548	36,556,968	21,964,600
2011-12-22	$14.23	$13.04	26.6%	7.6%	22.7%	26.0%	27.3%	3.2%	3.6%	1.08B	-19.60B	-104.8M	0.60	4.18	N/A	N/A	4,410,280	2,641,968	36,988,140	22,159,396
2011-12-23	$14.40	$13.04	25.7%	7.4%	22.2%	24.1%	26.3%	1.7%	3.4%	750.5M	-22.43B	-104.8M	0.48	3.70	N/A	N/A	8,238,580	3,933,860	37,496,676	22,785,840
2011-12-27	$14.52	$13.21	27.7%	7.9%	19.5%	28.4%	28.3%	1.3%	2.7%	926.4M	-22.50B	-103.2M	0.52	4.33	N/A	N/A	5,479,152	2,857,204	36,534,316	21,929,236
2011-12-28	$14.38	$13.21	28.4%	8.2%	19.7%	30.1%	29.3%	2.0%	2.5%	811.5M	-19.91B	-104.2M	0.55	4.47	N/A	N/A	4,030,320	2,232,608	36,946,056	22,461,796
2011-12-29	$14.47	$13.21	28.1%	8.0%	18.3%	29.3%	28.7%	3.3%	3.4%	946.3M	-21.03B	-104.7M	0.61	5.33	N/A	N/A	4,661,384	2,836,708	37,371,852	22,797,236
2011-12-30	$14.46	$13.21	17.9%	8.1%	17.7%	7.1%	29.3%	2.0%	3.8%	1.67B	-21.32B	-104.8M	0.78	3.84	N/A	N/A	4,499,264	3,519,180	37,897,412	23,309,664