AAPL Options History — July 2012 In July 2012, AAPL traded between $20.53 and $21.94. ATM implied volatility averaged 26.4%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 6.1% (HV 20d: 20.3%). Max pain ranged from $19.64 to $21.07. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.67.
Notable Days 2012-07-25 : Highest Volume — 36,776,964 contracts2012-07-12 : Largest IV spike — 38.5% change2012-07-24 : Highest IV Rank — 45.5%2012-07-24 : Largest Expected Move — 10.1%Monthly Statistics Metric Avg Min Max Open Close Price $21.47 $20.53 $21.94 $21.16 $21.81 Max Pain $20.65 $19.64 $21.07 $19.64 $21.07 ATM IV 26.4% 15.8% 35.2% 19.1% 26.2% Expected Move 8.1% 5.5% 10.1% 6.5% 6.4% HV 20d 20.3% 17.5% 24.8% 19.3% 24.8% HV 60d 29.0% 23.7% 33.9% 33.6% 24.7% IV Rank 26.4% 3.6% 45.5% 10.8% 26.0% IV Percentile 39.6% 0.8% 82.9% 6.0% 30.2% Term Structure -0.6% -5.3% 7.4% 6.0% 2.0% VWIV 28.6% 20.1% 34.6% 23.4% 23.3% Skew 25d 2.6% 1.0% 4.5% 1.6% 1.0% Skew 10d 5.2% 1.9% 8.6% 2.7% 1.9% Call IV 25d 27.0% 18.6% 32.6% 22.5% 22.1% Put IV 25d 29.6% 20.3% 36.1% 24.1% 23.1% Bid-Ask Spread % 10.57 2.50 23.87 2.50 8.11 Gamma HHI 0.11 0.04 0.73 0.06 0.06 Net GEX 1.64B 181.4M 9.73B 1.13B 1.43B Net DEX -39.00B -50.32B -17.06B -38.45B -40.56B Net VEX -236.9M -249.9M -217.5M -240.4M -231.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.53 0.78 0.68 0.53 Total Volume 17,447,885.333 7,612,500 36,776,964 14,028,476 22,417,192 Total OI 84,382,922.667 70,134,596 92,000,972 80,586,576 78,683,472
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 2012-07-02 $21.16 $19.64 19.1% 6.5% 19.3% 10.8% 23.4% 1.6% 6.0% 1.13B -38.45B -240.4M 0.68 2.50 N/A N/A 8,338,260 5,690,216 48,164,816 32,421,760 2012-07-03 $21.41 $19.64 15.8% 6.2% 19.4% 3.6% 22.3% 1.9% 7.4% 1.42B -42.60B -241.2M 0.77 3.63 N/A N/A 6,290,788 4,822,776 49,172,172 33,322,632 2012-07-05 $21.78 $19.64 21.6% 6.4% 19.6% 16.1% 22.8% 1.0% 7.0% 1.65B -49.11B -238.7M 0.65 2.91 N/A N/A 15,379,476 9,936,416 49,527,520 33,761,000 2012-07-06 $21.64 $20.36 22.0% 8.7% 19.9% 17.0% 30.9% 2.6% -1.9% 1.05B -45.14B -246.1M 0.74 14.61 N/A N/A 11,346,048 8,431,528 51,035,824 35,167,692 2012-07-09 $21.92 $20.54 22.3% 8.7% 19.8% 17.5% 31.3% 2.3% -2.4% 1.48B -49.42B -241.0M 0.69 13.66 N/A N/A 8,208,508 5,637,772 50,452,556 33,951,456 2012-07-10 $21.72 $20.54 25.5% 9.5% 19.1% 24.4% 33.5% 1.9% -3.1% 1.31B -45.70B -245.9M 0.62 15.99 N/A N/A 12,557,384 7,784,532 51,590,028 34,918,716 2012-07-11 $21.59 $20.71 23.6% 9.4% 19.2% 20.3% 33.6% 2.2% -3.3% 1.12B -42.40B -249.9M 0.67 23.71 N/A N/A 9,973,152 6,657,364 53,185,944 36,269,408 2012-07-12 $21.39 $20.71 32.6% 9.4% 19.4% 39.9% 33.0% 2.6% -3.1% 846.6M -38.68B -241.5M 0.68 23.87 N/A N/A 10,602,508 7,200,256 53,919,712 36,739,696 2012-07-13 $21.61 $20.71 32.3% 9.2% 19.5% 39.1% 32.7% 3.4% -3.2% 9.73B -43.60B -243.2M 0.67 17.08 N/A N/A 9,621,556 6,456,268 54,781,552 37,219,420 2012-07-16 $21.68 $20.71 32.3% 9.3% 19.5% 39.2% 32.4% 3.7% -3.5% 1.39B -44.93B -237.4M 0.58 10.43 N/A N/A 7,248,276 4,175,304 52,216,164 35,420,056 2012-07-17 $21.68 $20.71 31.8% 9.1% 18.4% 38.0% 31.9% 3.8% -3.2% 1.45B -45.12B -235.4M 0.55 12.11 N/A N/A 7,042,588 3,843,280 52,861,816 35,981,764 2012-07-18 $21.65 $20.71 32.4% 9.3% 18.5% 39.4% 32.7% 4.0% -3.7% 1.37B -44.51B -239.1M 0.72 11.46 N/A N/A 4,423,020 3,189,480 53,216,632 36,371,748 2012-07-19 $21.94 $20.89 31.6% 9.1% 18.8% 37.7% 32.1% 4.0% -3.1% 1.77B -50.32B -239.1M 0.57 11.01 N/A N/A 10,986,864 6,290,200 53,229,204 36,603,952 2012-07-20 $21.58 $20.89 31.4% 9.0% 19.1% 37.4% 31.7% 3.4% -3.1% 939.5M -41.96B -237.4M 0.68 8.03 N/A N/A 10,970,120 7,411,404 53,727,884 37,251,984 2012-07-23 $21.57 $20.89 34.6% 9.9% 19.1% 44.1% 34.5% 4.4% -4.5% 876.1M -32.70B -239.5M 0.75 9.04 N/A N/A 9,090,228 6,823,908 43,693,552 26,441,044 2012-07-24 $21.46 $21.07 35.2% 10.1% 17.5% 45.5% 34.6% 4.5% -5.3% 906.9M -32.27B -237.2M 0.65 20.59 N/A N/A 12,479,600 8,157,380 45,994,452 28,384,216 2012-07-25 $20.53 $21.07 21.9% 6.3% 24.1% 16.7% 22.5% 1.5% 1.9% 181.4M -17.06B -217.5M 0.63 2.65 N/A N/A 22,621,704 14,155,260 49,498,456 30,742,376 2012-07-26 $20.53 $21.07 20.4% 5.9% 24.1% 13.6% 21.3% 2.0% 2.2% 395.4M -17.83B -220.7M 0.78 3.32 N/A N/A 8,284,864 6,432,132 51,297,904 32,274,060 2012-07-27 $20.90 $21.07 18.6% 5.5% 24.6% 9.5% 20.1% 1.7% 2.4% 2.82B -25.58B -226.0M 0.77 3.29 N/A N/A 11,479,440 8,864,464 51,681,056 32,798,584 2012-07-30 $21.25 $20.89 23.3% 5.8% 23.5% 19.7% 21.0% 1.5% 2.4% 1.14B -31.15B -226.1M 0.66 3.92 N/A N/A 9,071,860 6,012,216 47,712,056 30,357,040 2012-07-31 $21.81 $21.07 26.2% 6.4% 24.8% 26.0% 23.3% 1.0% 2.0% 1.43B -40.56B -231.9M 0.53 8.11 N/A N/A 14,673,204 7,743,988 48,006,140 30,677,332
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