AAPL Options History — May 2012 In May 2012, AAPL traded between $18.93 and $20.93. ATM implied volatility averaged 29.1%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 11.1% (HV 20d: 40.1%). Max pain ranged from $20.36 to $20.89. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.78.
Notable Days 2012-05-17 : Highest Volume — 31,241,980 contracts2012-05-29 : Largest IV spike — 16.0% change2012-05-17 : Highest IV Rank — 43.5%2012-05-17 : Largest Expected Move — 9.8%Monthly Statistics Metric Avg Min Max Open Close Price $20.17 $18.93 $20.93 $20.79 $20.63 Max Pain $20.56 $20.36 $20.89 $20.36 $20.36 ATM IV 29.1% 26.0% 34.3% 30.6% 27.2% Expected Move 8.4% 7.5% 9.8% 8.1% 8.0% HV 20d 40.1% 29.7% 46.5% 46.5% 30.0% HV 60d 33.8% 32.6% 35.4% 33.3% 35.1% IV Rank 32.2% 25.7% 43.5% 35.5% 28.3% IV Percentile 54.7% 33.7% 81.3% 66.3% 40.5% Term Structure 1.8% 0.5% 3.1% 1.3% 3.1% VWIV 29.5% 26.3% 34.2% 28.5% 28.5% Skew 25d 2.5% 1.5% 4.5% 2.2% 1.7% Skew 10d 5.2% 2.8% 10.3% 4.6% 3.9% Call IV 25d 28.1% 25.5% 32.7% 27.4% 27.1% Put IV 25d 30.6% 27.2% 36.1% 29.6% 28.8% Bid-Ask Spread % 6.29 3.11 25.05 4.02 4.05 Gamma HHI 0.08 0.03 0.53 0.04 0.05 Net GEX 233.5M -1.94B 931.7M 525.0M 931.7M Net DEX -22.14B -32.63B -2.34B -28.93B -31.98B Net VEX -253.4M -269.9M -241.1M -251.0M -264.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.78 0.62 1.17 0.82 0.73 Total Volume 17,441,483.818 10,990,784 31,241,980 16,513,420 16,481,920 Total OI 89,065,239.455 77,281,792 99,805,972 88,796,988 84,931,784
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 2012-05-01 $20.79 $20.36 30.6% 8.1% 46.5% 35.5% 28.5% 2.2% 1.3% 525.0M -28.93B -251.0M 0.82 4.02 N/A N/A 9,082,444 7,430,976 52,401,048 36,395,940 2012-05-02 $20.93 $20.36 29.3% 7.6% 46.0% 32.8% 26.6% 2.1% 2.1% 580.1M -30.96B -249.4M 0.68 3.11 N/A N/A 7,986,692 5,464,732 53,102,476 37,177,756 2012-05-03 $20.78 $20.36 26.0% 7.5% 46.0% 25.7% 26.3% 1.7% 2.0% 391.9M -28.10B -249.7M 0.67 4.23 N/A N/A 7,852,180 5,285,868 53,552,772 37,802,716 2012-05-04 $20.19 $20.89 27.1% 8.4% 46.3% 28.1% 29.4% 1.5% 1.0% -1.94B -17.38B -244.5M 1.17 5.74 N/A N/A 9,733,640 11,352,488 54,244,652 38,215,716 2012-05-07 $20.34 $20.89 29.3% 8.5% 46.4% 32.7% 29.8% 2.4% 1.4% 359.1M -22.49B -248.2M 0.74 6.89 N/A N/A 9,067,464 6,673,296 52,284,988 37,012,864 2012-05-08 $20.29 $20.89 28.1% 8.7% 46.4% 30.2% 30.9% 2.4% 1.1% 368.2M -22.03B -248.8M 0.77 4.78 N/A N/A 8,435,056 6,472,256 53,548,656 37,996,644 2012-05-09 $20.33 $20.89 27.1% 8.6% 46.4% 28.0% 30.4% 2.4% 1.5% 505.4M -23.58B -251.7M 0.85 4.72 N/A N/A 8,531,488 7,221,200 54,490,296 38,614,072 2012-05-10 $20.38 $20.89 28.4% 8.1% 46.5% 30.8% 28.8% 2.4% 2.2% 564.9M -24.09B -250.9M 0.72 7.95 N/A N/A 6,680,884 4,784,248 55,089,776 39,225,256 2012-05-11 $20.24 $20.71 27.2% 7.8% 45.6% 28.2% 28.0% 2.3% 2.6% 265.3M -21.52B -242.8M 0.64 8.36 N/A N/A 9,050,608 5,823,020 55,316,856 39,644,052 2012-05-14 $19.94 $20.71 28.9% 8.3% 43.5% 31.9% 29.1% 3.1% 2.3% 64.0M -16.37B -243.1M 0.84 8.26 N/A N/A 5,964,420 5,026,364 53,332,832 38,378,060 2012-05-15 $19.76 $20.71 28.3% 8.1% 39.0% 30.7% 28.4% 3.1% 2.1% -59.2M -13.56B -241.1M 0.80 6.28 N/A N/A 8,872,136 7,120,120 54,425,392 39,075,456 2012-05-16 $19.50 $20.71 30.5% 8.7% 39.1% 35.4% 30.7% 4.5% 1.7% -283.6M -9.25B -241.7M 0.64 25.05 N/A N/A 11,158,280 7,108,920 54,810,532 39,445,504 2012-05-17 $18.93 $20.54 34.3% 9.8% 38.6% 43.5% 34.2% 3.3% 0.5% -426.4M -2.34B -244.0M 0.80 10.34 N/A N/A 17,398,108 13,843,872 56,204,568 40,074,524 2012-05-18 $18.94 $20.54 32.2% 9.2% 37.9% 39.1% 32.1% 3.9% 1.3% -1.54B -4.74B -248.4M 1.10 4.76 N/A N/A 13,450,192 14,754,236 59,305,932 40,500,040 2012-05-21 $20.05 $20.36 28.6% 8.2% 43.6% 31.3% 29.2% 2.5% 1.8% 554.8M -24.29B -262.1M 0.62 4.66 N/A N/A 13,191,304 8,195,152 46,024,020 31,257,772 2012-05-22 $19.89 $20.36 29.2% 8.4% 43.1% 32.5% 29.2% 2.5% 1.3% 599.6M -22.83B -263.6M 0.71 5.28 N/A N/A 13,580,364 9,681,028 47,745,292 32,325,160 2012-05-23 $20.38 $20.36 30.3% 8.7% 30.8% 34.8% 30.7% 2.4% 1.2% 815.8M -29.37B -269.9M 0.80 4.58 N/A N/A 11,060,700 8,863,120 48,355,608 33,310,452 2012-05-24 $20.19 $20.36 30.0% 8.6% 30.8% 34.3% 30.2% 2.1% 1.6% 714.1M -26.66B -265.3M 0.88 5.24 N/A N/A 9,617,636 8,480,388 49,252,252 34,110,804 2012-05-25 $20.08 $20.36 26.2% 8.4% 30.8% 26.1% 29.7% 2.2% 2.5% 485.1M -24.78B -268.7M 0.74 3.25 N/A N/A 8,693,020 6,406,988 50,419,964 34,990,788 2012-05-29 $20.44 $20.36 30.4% 8.2% 29.7% 35.2% 28.8% 2.1% 2.0% 733.8M -29.27B -259.5M 0.66 3.43 N/A N/A 8,218,084 5,396,048 48,549,732 33,265,372 2012-05-30 $20.68 $20.36 29.5% 8.0% 30.1% 33.2% 28.6% 2.2% 3.0% 921.4M -32.63B -265.3M 0.80 3.46 N/A N/A 7,919,184 6,302,520 49,158,592 34,068,300 2012-05-31 $20.63 $20.36 27.2% 8.0% 30.0% 28.3% 28.5% 1.7% 3.1% 931.7M -31.98B -264.2M 0.73 4.05 N/A N/A 9,553,684 6,928,236 49,905,184 35,026,600
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