AAPL Options History — January 2012

In January 2012, AAPL traded between $14.69 and $16.30. ATM implied volatility averaged 24.5%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 5.7% (HV 20d: 18.8%). Max pain ranged from $13.21 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.60.

Notable Days

2012-01-25: Highest Volume — 19,961,060 contracts
2012-01-12: Largest IV spike — 48.7% change
2012-01-24: Highest IV Rank — 41.3%
2012-01-24: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.31	$14.69	$16.30	$14.69	$16.30
Max Pain	$14.13	$13.21	$15.00	$13.21	$15.00
ATM IV	24.5%	18.0%	33.6%	21.3%	18.0%
Expected Move	7.6%	5.1%	9.6%	8.1%	5.1%
HV 20d	18.8%	13.0%	25.9%	18.3%	25.4%
HV 60d	24.9%	21.7%	29.1%	29.1%	24.8%
IV Rank	21.5%	7.3%	41.3%	14.6%	7.3%
IV Percentile	38.2%	3.2%	84.1%	20.2%	3.2%
Term Structure	0.3%	-4.2%	10.8%	3.7%	2.7%
VWIV	27.2%	18.0%	33.5%	29.0%	18.0%
Skew 25d	3.0%	0.4%	4.7%	2.7%	0.4%
Skew 10d	5.6%	0.9%	8.4%	5.8%	0.9%
Call IV 25d	25.1%	17.6%	30.3%	27.2%	17.6%
Put IV 25d	28.1%	18.0%	34.7%	30.0%	18.0%
Bid-Ask Spread %	5.68	2.78	9.51	4.76	6.55
Gamma HHI	0.12	0.06	0.64	0.07	0.09
Net GEX	1.14B	530.4M	2.85B	893.7M	1.11B
Net DEX	-26.39B	-33.05B	-13.76B	-24.16B	-24.83B
Net VEX	-105.4M	-111.3M	-100.3M	-101.2M	-111.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.43	0.77	0.54	0.55
Total Volume	11,182,304	6,436,164	19,961,060	8,479,884	12,680,696
Total OI	61,596,274.6	45,504,536	71,286,628	60,692,548	52,297,672

Daily Data (20 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
2012-01-03	$14.69	$13.21	21.3%	8.1%	18.3%	14.6%	29.0%	2.7%	3.7%	893.7M	-24.16B	-101.2M	0.54	4.76	N/A	N/A	5,490,408	2,989,476	37,691,892	23,000,656
2012-01-04	$14.77	$13.21	19.1%	6.3%	18.2%	9.8%	23.4%	3.1%	9.0%	1.10B	-25.48B	-101.4M	0.59	4.09	N/A	N/A	7,033,432	4,152,064	38,628,744	23,613,856
2012-01-05	$14.93	$13.21	18.4%	5.5%	18.2%	8.1%	21.9%	2.5%	10.8%	1.28B	-28.11B	-100.3M	0.63	4.72	N/A	N/A	8,163,792	5,166,980	38,974,292	24,057,152
2012-01-06	$15.09	$13.75	18.5%	8.4%	18.1%	8.4%	29.4%	3.9%	-0.9%	1.13B	-30.59B	-103.0M	0.43	8.94	N/A	N/A	11,190,284	4,828,152	39,997,496	25,073,160
2012-01-09	$15.06	$13.93	25.0%	8.8%	18.2%	22.5%	31.1%	3.6%	-1.8%	1.19B	-29.52B	-104.6M	0.48	9.51	N/A	N/A	8,333,416	4,037,572	40,759,180	24,705,380
2012-01-10	$15.12	$13.93	22.1%	8.4%	18.2%	16.1%	30.0%	2.9%	-1.4%	1.23B	-29.88B	-105.2M	0.71	7.82	N/A	N/A	4,498,284	3,186,232	41,557,460	25,541,348
2012-01-11	$15.09	$13.93	20.3%	8.4%	18.0%	12.4%	30.1%	2.5%	-1.5%	1.21B	-29.55B	-104.3M	0.63	4.70	N/A	N/A	3,951,276	2,484,888	41,820,268	26,182,856
2012-01-12	$15.05	$13.93	30.2%	8.7%	17.7%	34.0%	30.6%	3.6%	-1.7%	1.18B	-28.77B	-104.3M	0.77	5.62	N/A	N/A	3,710,056	2,871,904	42,237,888	26,432,980
2012-01-13	$14.99	$13.93	30.0%	8.6%	15.0%	33.6%	30.6%	3.3%	-1.8%	562.6M	-28.11B	-104.8M	0.65	6.24	N/A	N/A	5,471,592	3,549,784	43,107,624	26,934,544
2012-01-17	$15.17	$14.11	30.6%	8.8%	14.9%	34.9%	31.4%	3.9%	-2.0%	1.24B	-30.63B	-102.6M	0.66	5.80	N/A	N/A	5,056,100	3,320,268	42,151,200	26,296,536
2012-01-18	$15.33	$14.11	29.9%	8.6%	15.0%	33.3%	31.1%	4.1%	-2.1%	1.31B	-33.05B	-102.1M	0.60	5.50	N/A	N/A	5,169,360	3,117,884	42,388,584	26,933,396
2012-01-19	$15.28	$14.29	29.8%	8.5%	15.3%	33.0%	31.0%	3.9%	-2.2%	1.21B	-31.30B	-104.4M	0.61	5.57	N/A	N/A	6,511,260	3,967,600	42,148,932	27,540,324
2012-01-20	$15.01	$14.29	32.7%	9.4%	13.0%	39.3%	32.7%	4.7%	-3.4%	2.85B	-26.49B	-106.6M	0.58	5.03	N/A	N/A	10,049,116	5,794,404	42,704,592	28,582,036
2012-01-23	$15.26	$14.29	33.3%	9.5%	13.9%	40.6%	33.5%	4.5%	-4.2%	573.8M	-16.22B	-108.8M	0.69	4.47	N/A	N/A	4,470,704	3,076,920	28,135,800	17,368,736
2012-01-24	$15.01	$14.29	33.6%	9.6%	15.6%	41.3%	32.7%	4.3%	-4.0%	530.4M	-13.76B	-109.8M	0.51	8.87	N/A	N/A	8,263,388	4,220,972	29,792,756	18,509,960
2012-01-25	$15.95	$14.29	19.6%	5.6%	25.7%	10.8%	20.6%	2.0%	1.2%	1.29B	-26.82B	-105.5M	0.71	6.18	N/A	N/A	11,651,304	8,309,756	32,461,884	21,245,784
2012-01-26	$15.88	$14.82	18.5%	5.3%	25.9%	8.4%	19.2%	1.3%	1.7%	1.04B	-22.80B	-108.9M	0.59	2.78	N/A	N/A	7,923,076	4,688,432	32,612,860	22,722,252
2012-01-27	$15.97	$15.00	19.4%	5.3%	25.4%	10.2%	18.7%	1.4%	2.1%	836.4M	-23.86B	-109.8M	0.53	2.83	N/A	N/A	7,558,908	4,027,184	33,216,680	23,614,724
2012-01-30	$16.18	$15.00	19.6%	5.3%	25.5%	10.7%	18.9%	1.2%	1.9%	990.3M	-23.91B	-110.0M	0.53	3.67	N/A	N/A	8,264,396	4,414,760	30,424,632	20,459,376
2012-01-31	$16.30	$15.00	18.0%	5.1%	25.4%	7.3%	18.0%	0.4%	2.7%	1.11B	-24.83B	-111.3M	0.55	6.55	N/A	N/A	8,170,848	4,509,848	30,947,056	21,350,616