AAPL Options History — June 2012

In June 2012, AAPL traded between $20.04 and $20.98. ATM implied volatility averaged 24.7%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 1.1% (HV 20d: 25.8%). Max pain ranged from $19.11 to $20.36. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.82.

Notable Days

2012-06-01: Highest Volume — 22,746,640 contracts
2012-06-14: Largest IV spike — 33.1% change
2012-06-04: Highest IV Rank — 39.9%
2012-06-04: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.52	$20.04	$20.98	$20.04	$20.86
Max Pain	$19.44	$19.11	$20.36	$20.36	$19.64
ATM IV	24.7%	16.6%	32.6%	30.7%	16.6%
Expected Move	7.6%	6.1%	9.9%	9.3%	6.1%
HV 20d	25.8%	18.8%	31.6%	31.6%	18.8%
HV 60d	34.3%	33.2%	35.7%	35.7%	33.6%
IV Rank	22.8%	5.2%	39.9%	35.8%	5.2%
IV Percentile	28.2%	1.6%	75.4%	66.7%	1.6%
Term Structure	5.3%	2.0%	7.3%	2.0%	7.3%
VWIV	26.9%	22.1%	34.8%	32.6%	22.1%
Skew 25d	2.9%	1.7%	5.9%	3.6%	2.1%
Skew 10d	5.7%	2.8%	11.9%	7.7%	3.4%
Call IV 25d	25.2%	20.8%	31.7%	30.8%	20.8%
Put IV 25d	28.2%	22.9%	37.6%	34.5%	22.9%
Bid-Ask Spread %	10.39	3.66	22.61	3.66	4.83
Gamma HHI	0.07	0.03	0.42	0.11	0.19
Net GEX	758.7M	-65.9M	2.81B	-65.9M	1.67B
Net DEX	-28.70B	-35.58B	-21.61B	-21.61B	-34.18B
Net VEX	-244.2M	-261.5M	-231.8M	-261.5M	-233.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.66	1.03	0.88	0.68
Total Volume	13,739,158.667	8,399,944	22,746,640	22,746,640	17,973,284
Total OI	82,900,257.333	72,598,512	89,183,780	86,923,508	82,024,264

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
2012-06-01	$20.04	$20.36	30.7%	9.3%	31.6%	35.8%	32.6%	3.6%	2.0%	-65.9M	-21.61B	-261.5M	0.88	3.66	N/A	N/A	12,073,012	10,673,628	50,834,980	36,088,528
2012-06-04	$20.15	$19.11	32.6%	9.9%	30.0%	39.9%	34.8%	5.9%	3.2%	427.9M	-23.41B	-261.4M	0.76	16.51	N/A	N/A	10,267,936	7,847,252	49,267,932	35,040,404
2012-06-05	$20.10	$19.11	30.1%	9.4%	29.9%	34.6%	33.1%	4.8%	3.6%	512.2M	-23.58B	-259.7M	0.92	16.17	N/A	N/A	5,527,004	5,109,216	50,744,764	36,064,168
2012-06-06	$20.41	$19.11	26.2%	8.6%	30.4%	26.0%	30.0%	3.6%	3.8%	898.2M	-29.40B	-252.9M	0.83	14.01	N/A	N/A	7,918,540	6,542,760	51,173,360	36,117,844
2012-06-07	$20.42	$19.29	24.6%	8.2%	30.4%	22.5%	28.8%	2.7%	4.3%	873.2M	-28.83B	-253.9M	0.91	7.35	N/A	N/A	8,028,020	7,303,996	51,663,332	36,730,848
2012-06-08	$20.73	$19.29	23.1%	7.8%	30.8%	19.2%	27.6%	1.7%	5.2%	2.81B	-35.58B	-251.9M	0.73	22.61	N/A	N/A	10,013,472	7,347,872	52,046,484	37,137,296
2012-06-11	$20.40	$19.29	24.9%	8.1%	31.3%	23.3%	28.3%	1.9%	4.9%	698.7M	-27.88B	-244.7M	0.72	20.81	N/A	N/A	11,114,936	7,978,432	50,663,984	34,778,660
2012-06-12	$20.58	$19.29	20.2%	7.7%	30.9%	13.1%	27.1%	2.4%	5.4%	768.1M	-29.95B	-245.0M	0.87	13.94	N/A	N/A	7,373,184	6,439,524	51,360,960	35,560,700
2012-06-13	$20.43	$19.29	20.1%	7.8%	30.8%	12.8%	27.1%	2.8%	5.5%	502.2M	-27.17B	-247.1M	0.88	9.62	N/A	N/A	6,085,996	5,372,388	51,428,832	36,058,932
2012-06-14	$20.41	$19.29	26.7%	7.7%	30.3%	27.2%	26.8%	3.4%	5.4%	405.3M	-26.33B	-244.7M	1.03	14.49	N/A	N/A	6,255,088	6,413,260	51,545,032	36,460,200
2012-06-15	$20.50	$19.29	26.1%	7.5%	27.9%	25.8%	26.6%	3.2%	5.6%	654.7M	-28.40B	-239.0M	0.84	14.41	N/A	N/A	7,072,352	5,921,440	52,037,860	37,067,576
2012-06-18	$20.92	$19.29	24.6%	7.0%	28.4%	22.5%	25.1%	3.2%	6.1%	799.0M	-33.65B	-237.8M	0.78	8.21	N/A	N/A	8,331,904	6,480,376	43,773,464	28,825,048
2012-06-19	$20.98	$19.46	24.8%	7.1%	20.9%	23.0%	25.2%	2.5%	5.6%	916.9M	-34.40B	-245.6M	0.77	8.46	N/A	N/A	6,138,356	4,721,556	45,235,624	30,366,056
2012-06-20	$20.92	$19.46	23.7%	6.8%	20.6%	20.6%	24.3%	2.4%	6.0%	858.6M	-33.42B	-237.8M	0.75	7.52	N/A	N/A	5,818,568	4,377,296	45,843,000	31,064,264
2012-06-21	$20.63	$19.46	24.0%	6.9%	19.7%	21.2%	24.6%	2.6%	6.1%	463.7M	-28.64B	-236.7M	0.93	5.10	N/A	N/A	6,763,484	6,314,252	46,445,532	31,717,448
2012-06-22	$20.79	$19.64	22.9%	6.6%	19.5%	18.9%	23.1%	2.4%	6.3%	690.2M	-31.53B	-234.6M	0.87	6.73	N/A	N/A	7,064,652	6,113,940	47,128,200	32,506,208
2012-06-25	$20.38	$19.64	25.4%	7.3%	20.8%	24.4%	25.5%	2.4%	6.1%	496.7M	-25.68B	-236.2M	0.83	4.12	N/A	N/A	5,827,668	4,829,384	45,438,764	30,907,044
2012-06-26	$20.43	$19.64	24.6%	7.0%	19.8%	22.4%	24.6%	2.7%	6.4%	538.6M	-26.46B	-237.0M	0.74	5.42	N/A	N/A	5,066,208	3,726,464	46,637,976	32,035,920
2012-06-27	$20.52	$19.64	23.5%	6.7%	19.4%	20.2%	23.7%	2.5%	6.7%	674.5M	-28.18B	-231.8M	0.84	4.16	N/A	N/A	4,573,268	3,826,676	47,332,572	32,789,904
2012-06-28	$20.32	$19.64	23.4%	6.7%	19.7%	19.9%	23.4%	2.4%	6.6%	338.8M	-24.38B	-235.2M	0.66	10.07	N/A	N/A	7,176,064	4,719,624	47,837,076	33,124,364
2012-06-29	$20.86	$19.64	16.6%	6.1%	18.8%	5.2%	22.1%	2.1%	7.3%	1.67B	-34.18B	-233.7M	0.68	4.83	N/A	N/A	10,694,068	7,279,216	48,386,436	33,637,828