AAPL Options History — March 2012 In March 2012, AAPL traded between $18.94 and $22.06. ATM implied volatility averaged 30.7%, placing in the 35.8% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 8.7% (HV 20d: 22.0%). Max pain ranged from $16.61 to $19.46. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.72.
Notable Days 2012-03-14 : Highest Volume — 49,249,788 contracts2012-03-14 : Largest IV spike — 55.3% change2012-03-06 : Highest IV Rank — 56.5%2012-03-15 : Largest Expected Move — 11.5%Monthly Statistics Metric Avg Min Max Open Close Price $20.63 $18.94 $22.06 $19.45 $21.41 Max Pain $18.34 $16.61 $19.46 $17.50 $19.29 ATM IV 30.7% 21.5% 40.3% 32.6% 27.9% Expected Move 8.8% 7.7% 11.5% 8.8% 8.3% HV 20d 22.0% 18.7% 25.1% 18.9% 25.1% HV 60d 22.1% 21.1% 23.1% 21.1% 23.1% IV Rank 35.8% 15.8% 56.5% 39.8% 29.6% IV Percentile 64.8% 20.2% 94.0% 81.7% 54.4% Term Structure 2.2% -1.4% 5.5% 0.7% 5.5% VWIV 31.3% 27.8% 40.1% 31.2% 30.0% Skew 25d 0.5% -3.8% 2.5% 2.3% 2.1% Skew 10d 1.7% -6.3% 7.3% 4.8% 6.1% Call IV 25d 30.8% 26.5% 41.5% 30.0% 28.5% Put IV 25d 31.3% 27.6% 38.2% 32.4% 30.6% Bid-Ask Spread % 7.58 3.77 16.66 5.90 5.80 Gamma HHI 0.10 0.04 0.45 0.08 0.28 Net GEX 905.5M -295.6M 2.75B 1.08B -295.6M Net DEX -47.08B -61.63B -32.33B -42.25B -43.53B Net VEX -180.2M -207.8M -155.5M -157.7M -207.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.53 0.91 0.89 0.77 Total Volume 22,207,762.182 13,701,688 49,249,788 17,628,100 17,783,416 Total OI 78,530,636.545 69,072,500 93,855,020 69,559,784 86,193,828
Daily Data (22 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 2012-03-01 $19.45 $17.50 32.6% 8.8% 18.9% 39.8% 31.2% 2.3% 0.7% 1.08B -42.25B -157.7M 0.89 5.90 N/A N/A 9,345,448 8,282,652 39,065,740 30,494,044 2012-03-02 $19.47 $17.68 30.4% 8.3% 18.7% 35.0% 29.3% -0.1% 1.1% 1.51B -42.64B -160.6M 0.78 13.94 N/A N/A 9,635,528 7,471,912 40,341,056 31,497,816 2012-03-05 $19.04 $16.61 39.8% 8.8% 21.7% 55.4% 31.1% 1.1% 0.9% 651.4M -34.54B -162.7M 0.68 10.17 N/A N/A 12,500,628 8,446,816 38,998,624 30,073,876 2012-03-06 $18.94 $16.79 40.3% 9.0% 22.2% 56.5% 31.7% 1.2% 0.8% 541.5M -32.33B -167.3M 0.72 7.30 N/A N/A 12,350,688 8,939,784 40,480,412 31,924,984 2012-03-07 $18.95 $16.79 27.2% 8.6% 22.2% 28.1% 30.4% 1.5% 1.0% 590.5M -33.09B -163.5M 0.53 4.66 N/A N/A 14,028,112 7,388,360 41,310,892 32,542,048 2012-03-08 $19.36 $16.79 22.8% 8.1% 22.5% 18.6% 28.7% 1.4% 1.7% 1.18B -40.54B -161.3M 0.70 16.66 N/A N/A 14,202,160 9,969,764 42,414,792 33,364,828 2012-03-09 $19.47 $16.96 21.5% 7.8% 20.1% 15.8% 27.8% 1.7% 2.0% 2.75B -42.40B -161.4M 0.77 7.17 N/A N/A 7,916,804 6,115,984 43,023,792 34,169,380 2012-03-12 $19.71 $17.14 22.2% 7.9% 20.1% 17.3% 28.0% 1.2% 2.0% 1.14B -44.74B -159.3M 0.63 3.89 N/A N/A 8,387,540 5,314,148 41,239,380 31,998,484 2012-03-13 $20.29 $17.14 23.7% 7.9% 21.3% 20.6% 27.8% 0.1% 2.1% 1.31B -53.63B -155.5M 0.74 5.79 N/A N/A 18,237,100 13,503,588 42,077,224 32,746,168 2012-03-14 $21.06 $18.21 36.8% 10.2% 23.9% 49.0% 35.2% -3.8% 0.3% 1.01B -61.63B -162.4M 0.65 10.12 N/A N/A 29,844,192 19,405,596 43,388,240 36,406,972 2012-03-15 $20.91 $19.29 40.0% 11.5% 21.7% 55.9% 40.1% -3.3% -1.4% 816.5M -55.29B -189.1M 0.57 6.47 N/A N/A 19,688,116 11,269,972 46,208,932 41,522,964 2012-03-16 $20.91 $19.29 38.4% 11.0% 21.9% 52.4% 38.7% -2.6% -0.2% 701.8M -54.46B -198.7M 0.66 7.18 N/A N/A 18,502,204 12,245,520 49,723,492 44,131,528 2012-03-19 $21.47 $19.29 36.4% 10.5% 22.6% 48.2% 36.6% 0.3% 0.8% 628.1M -48.72B -187.8M 0.70 6.56 N/A N/A 13,831,468 9,740,808 40,707,548 32,902,324 2012-03-20 $21.64 $19.29 34.7% 9.9% 21.8% 44.4% 34.9% -0.1% 1.4% 804.7M -51.09B -196.5M 0.84 9.25 N/A N/A 8,748,068 7,335,216 42,718,116 35,346,528 2012-03-21 $21.52 $19.29 30.9% 8.9% 22.0% 36.3% 31.5% 0.9% 2.9% 831.7M -49.37B -197.8M 0.84 8.04 N/A N/A 9,442,608 7,975,744 43,655,696 36,774,920 2012-03-22 $21.40 $19.46 30.6% 8.8% 22.5% 35.5% 30.9% 0.7% 3.2% 582.5M -46.58B -199.5M 0.84 7.91 N/A N/A 11,727,044 9,871,148 44,204,692 37,706,004 2012-03-23 $21.29 $19.46 29.2% 8.4% 22.9% 32.6% 29.5% 1.4% 4.2% 68.3M -44.36B -199.9M 0.62 10.06 N/A N/A 11,244,268 6,931,904 45,134,404 38,981,236 2012-03-26 $21.68 $19.46 27.0% 7.8% 23.2% 27.8% 28.2% 0.6% 4.8% 695.0M -50.22B -193.3M 0.91 5.80 N/A N/A 10,443,496 9,468,536 42,568,064 36,435,420 2012-03-27 $21.95 $19.29 27.0% 7.7% 22.9% 27.7% 27.9% 0.8% 4.7% 1.17B -55.86B -190.3M 0.67 3.77 N/A N/A 13,058,500 8,712,732 44,128,672 35,499,044 2012-03-28 $22.06 $19.29 28.1% 8.1% 22.8% 30.2% 29.3% 0.9% 4.4% 1.27B -57.26B -193.1M 0.78 4.24 N/A N/A 10,739,960 8,355,732 45,354,876 36,312,472 2012-03-29 $21.78 $19.29 28.4% 8.1% 23.8% 30.8% 29.1% 2.5% 4.7% 885.6M -51.16B -199.9M 0.64 5.96 N/A N/A 12,311,264 7,856,240 46,589,032 37,315,460 2012-03-30 $21.41 $19.29 27.9% 8.3% 25.1% 29.6% 30.0% 2.1% 5.5% -295.6M -43.53B -207.8M 0.77 5.80 N/A N/A 10,025,736 7,757,680 47,874,484 38,319,344
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