AAPL Options History — February 2012

In February 2012, AAPL traded between $16.25 and $19.37. ATM implied volatility averaged 24.8%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 0.1% (HV 20d: 24.9%). Max pain ranged from $15.18 to $17.32. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.68.

Notable Days

2012-02-09: Highest Volume — 36,565,788 contracts
2012-02-09: Largest IV spike — 32.2% change
2012-02-29: Highest IV Rank — 41.7%
2012-02-29: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.77	$16.25	$19.37	$16.29	$19.37
Max Pain	$16.38	$15.18	$17.32	$15.18	$17.32
ATM IV	24.8%	14.2%	33.5%	16.7%	33.5%
Expected Move	7.3%	4.5%	9.0%	4.9%	9.0%
HV 20d	24.9%	18.8%	29.4%	25.3%	19.1%
HV 60d	23.2%	21.1%	24.7%	24.7%	21.1%
IV Rank	22.8%	0.0%	41.7%	4.4%	41.7%
IV Percentile	42.7%	0.0%	84.1%	0.8%	84.1%
Term Structure	1.5%	-0.1%	3.3%	2.6%	0.7%
VWIV	26.0%	15.9%	32.0%	17.7%	32.0%
Skew 25d	1.1%	-0.3%	2.9%	1.1%	0.2%
Skew 10d	2.4%	-0.0%	5.8%	2.6%	0.9%
Call IV 25d	25.2%	15.4%	32.0%	16.8%	32.0%
Put IV 25d	26.3%	16.0%	32.2%	17.9%	32.2%
Bid-Ask Spread %	9.36	2.76	22.19	2.76	16.56
Gamma HHI	0.09	0.05	0.33	0.09	0.06
Net GEX	917.4M	529.2M	1.85B	1.05B	997.3M
Net DEX	-32.96B	-41.76B	-23.09B	-23.82B	-41.76B
Net VEX	-132.1M	-152.2M	-107.4M	-111.1M	-152.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.57	0.95	0.67	0.60
Total Volume	17,734,827.6	6,842,864	36,565,788	7,404,908	28,008,372
Total OI	61,405,786.4	53,330,676	74,732,476	53,330,676	65,920,652

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
2012-02-01	$16.29	$15.18	16.7%	4.9%	25.3%	4.4%	17.7%	1.1%	2.6%	1.05B	-23.82B	-111.1M	0.67	2.76	N/A	N/A	4,436,880	2,968,028	31,163,188	22,167,488
2012-02-02	$16.25	$15.18	14.7%	4.5%	25.4%	0.1%	15.9%	0.6%	3.3%	922.6M	-23.09B	-109.1M	0.71	4.99	N/A	N/A	4,012,120	2,830,744	31,293,052	22,688,120
2012-02-03	$16.42	$15.36	14.2%	5.4%	25.4%	0.0%	19.1%	1.5%	3.0%	1.85B	-25.57B	-110.8M	0.80	3.88	N/A	N/A	5,755,372	4,620,644	31,903,004	23,298,436
2012-02-06	$16.57	$15.54	16.2%	5.3%	25.4%	4.5%	19.0%	0.9%	3.2%	1.02B	-26.63B	-107.4M	0.73	6.11	N/A	N/A	6,343,652	4,607,372	31,233,832	23,047,556
2012-02-07	$16.74	$15.71	18.1%	6.0%	25.3%	8.5%	21.5%	1.4%	2.1%	1.06B	-28.66B	-112.6M	0.65	6.36	N/A	N/A	9,017,120	5,871,880	31,846,724	24,024,980
2012-02-08	$17.02	$15.89	19.5%	6.5%	25.6%	11.5%	23.3%	1.3%	1.2%	1.09B	-31.71B	-115.5M	0.70	22.19	N/A	N/A	9,605,652	6,717,592	32,453,736	25,123,084
2012-02-09	$17.61	$16.07	25.8%	7.4%	27.3%	25.1%	26.0%	0.0%	-0.1%	880.0M	-37.77B	-116.7M	0.61	6.23	N/A	N/A	22,727,768	13,838,020	32,902,072	26,334,840
2012-02-10	$17.62	$16.25	27.0%	7.7%	27.2%	27.8%	27.4%	0.3%	0.5%	858.0M	-35.63B	-125.9M	0.63	19.70	N/A	N/A	11,930,660	7,541,268	34,756,876	28,710,192
2012-02-13	$17.95	$16.43	28.7%	8.2%	27.0%	31.4%	29.1%	-0.3%	0.4%	707.0M	-37.54B	-127.5M	0.74	5.29	N/A	N/A	8,109,612	6,039,096	33,912,956	28,162,820
2012-02-14	$18.20	$16.43	29.3%	8.4%	27.1%	32.7%	29.8%	1.2%	0.7%	801.3M	-40.21B	-130.4M	0.61	19.93	N/A	N/A	8,888,852	5,421,500	35,606,032	29,612,800
2012-02-15	$17.77	$16.61	30.2%	8.7%	29.4%	34.7%	30.7%	0.0%	0.4%	540.2M	-34.07B	-137.8M	0.95	12.73	N/A	N/A	16,636,004	15,858,668	36,513,204	30,565,724
2012-02-16	$17.94	$16.79	29.7%	8.5%	29.2%	33.6%	30.2%	0.5%	0.5%	529.2M	-34.93B	-146.6M	0.78	5.13	N/A	N/A	13,259,288	10,312,792	39,573,156	32,747,848
2012-02-17	$17.93	$16.79	30.4%	8.7%	27.7%	35.1%	30.8%	0.3%	0.2%	614.0M	-35.56B	-148.8M	0.59	9.51	N/A	N/A	10,771,152	6,315,344	41,019,300	33,713,176
2012-02-21	$18.39	$16.79	29.7%	8.5%	28.2%	33.6%	30.3%	1.3%	0.2%	677.3M	-30.84B	-146.0M	0.57	14.45	N/A	N/A	9,413,040	5,338,116	32,943,568	23,360,092
2012-02-22	$18.32	$16.96	29.7%	8.5%	27.0%	33.6%	30.4%	2.0%	0.3%	738.8M	-30.08B	-149.4M	0.61	5.41	N/A	N/A	9,177,392	5,563,096	34,520,360	24,653,216
2012-02-23	$18.44	$16.96	27.2%	7.8%	19.2%	28.2%	27.6%	2.2%	1.9%	978.4M	-32.10B	-148.3M	0.58	5.90	N/A	N/A	11,682,972	6,742,708	35,945,756	26,056,156
2012-02-24	$18.66	$16.96	22.2%	7.0%	18.8%	17.3%	25.2%	2.4%	3.3%	1.16B	-35.33B	-148.4M	0.84	5.27	N/A	N/A	8,468,656	7,108,220	37,056,516	27,390,748
2012-02-27	$18.78	$17.14	26.5%	7.2%	18.8%	26.6%	26.1%	2.9%	2.8%	855.2M	-34.88B	-147.6M	0.62	9.24	N/A	N/A	11,485,880	7,158,536	35,628,152	26,151,832
2012-02-28	$19.12	$17.14	26.0%	7.5%	19.1%	25.6%	27.4%	1.8%	2.7%	1.02B	-39.09B	-149.7M	0.62	5.65	N/A	N/A	12,397,168	7,715,316	36,701,392	27,413,092
2012-02-29	$19.37	$17.32	33.5%	9.0%	19.1%	41.7%	32.0%	0.2%	0.7%	997.3M	-41.76B	-152.2M	0.60	16.56	N/A	N/A	17,482,192	10,526,180	37,309,496	28,611,156