AAPL Options History — August 2012 In August 2012, AAPL traded between $21.67 and $24.13. ATM implied volatility averaged 21.7%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 0.1% (HV 20d: 21.6%). Max pain ranged from $20.89 to $22.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.63.
Notable Days 2012-08-08 : Highest Volume — 44,027,844 contracts2012-08-16 : Largest IV spike — 49.6% change2012-08-23 : Highest IV Rank — 28.7%2012-08-23 : Largest Expected Move — 7.7%Monthly Statistics Metric Avg Min Max Open Close Price $22.95 $21.67 $24.13 $21.67 $23.76 Max Pain $21.68 $20.89 $22.50 $21.07 $22.50 ATM IV 21.7% 14.0% 27.0% 26.4% 18.2% Expected Move 6.6% 5.5% 7.7% 6.5% 6.6% HV 20d 21.6% 16.4% 24.8% 24.6% 17.5% HV 60d 22.3% 20.3% 24.9% 24.7% 20.5% IV Rank 16.7% 0.0% 28.7% 26.5% 9.4% IV Percentile 18.2% 0.0% 40.9% 31.3% 6.0% Term Structure 2.9% 1.7% 3.9% 1.7% 3.6% VWIV 23.5% 20.1% 27.4% 23.1% 23.4% Skew 25d 1.3% 0.5% 1.9% 0.7% 1.4% Skew 10d 3.0% 1.2% 5.1% 2.2% 3.5% Call IV 25d 22.6% 19.0% 26.8% 22.6% 22.6% Put IV 25d 23.9% 19.7% 27.9% 23.4% 24.0% Bid-Ask Spread % 12.32 3.80 32.73 11.08 3.99 Gamma HHI 0.07 0.04 0.28 0.05 0.05 Net GEX 1.62B 1.21B 2.64B 1.23B 1.33B Net DEX -46.30B -59.64B -32.97B -36.72B -52.12B Net VEX -238.8M -264.7M -221.1M -233.1M -262.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.10 0.98 0.64 0.77 Total Volume 19,510,671.478 9,293,424 44,027,844 14,559,748 21,394,688 Total OI 81,476,451.304 68,941,684 88,183,620 81,064,984 88,183,620
Daily Data (23 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 2012-08-01 $21.67 $21.07 26.4% 6.5% 24.6% 26.5% 23.1% 0.7% 1.7% 1.23B -36.72B -233.1M 0.64 11.08 N/A N/A 8,851,724 5,708,024 48,844,824 32,220,160 2012-08-02 $21.71 $21.07 21.5% 6.1% 23.8% 15.9% 22.5% 1.1% 2.6% 1.24B -36.52B -236.5M 0.75 6.63 N/A N/A 7,257,684 5,444,264 49,298,452 32,973,108 2012-08-03 $21.99 $21.25 19.9% 5.5% 24.1% 12.5% 20.1% 0.7% 3.5% 2.34B -42.91B -232.4M 0.71 6.99 N/A N/A 10,866,100 7,694,288 50,082,452 33,803,952 2012-08-06 $22.23 $20.89 22.6% 6.5% 24.0% 18.3% 23.4% 1.1% 2.8% 1.55B -44.06B -226.5M 0.65 22.58 N/A N/A 8,504,104 5,486,852 48,272,392 32,053,700 2012-08-07 $22.18 $21.07 22.2% 6.3% 23.7% 17.5% 22.9% 1.1% 2.8% 1.50B -42.28B -227.4M 0.63 32.73 N/A N/A 6,929,720 4,335,912 49,163,240 33,123,020 2012-08-08 $22.14 $21.07 18.1% 6.1% 23.6% 8.7% 20.7% 1.3% 3.0% 1.47B -41.71B -223.9M 0.10 23.07 N/A N/A 40,095,832 3,932,012 49,554,316 33,737,284 2012-08-09 $22.17 $21.25 16.3% 6.0% 23.3% 4.7% 21.8% 1.8% 3.3% 1.46B -32.97B -224.2M 0.98 16.39 N/A N/A 4,913,160 4,810,764 45,626,364 34,393,604 2012-08-10 $22.20 $21.25 15.0% 5.7% 23.1% 1.8% 20.6% 1.9% 3.5% 1.43B -34.26B -221.1M 0.84 8.81 N/A N/A 5,758,900 4,818,548 45,890,124 35,010,696 2012-08-13 $22.50 $21.25 17.3% 6.0% 23.5% 6.9% 21.7% 1.5% 3.4% 1.68B -39.57B -222.9M 0.58 23.54 N/A N/A 8,253,532 4,755,716 44,644,656 33,316,808 2012-08-14 $22.56 $21.43 16.1% 6.1% 23.4% 4.2% 21.9% 1.1% 3.5% 1.83B -41.12B -223.8M 0.59 11.52 N/A N/A 13,230,952 7,744,380 45,670,044 34,083,644 2012-08-15 $22.53 $21.43 14.0% 6.2% 23.5% 0.0% 22.2% 1.8% 3.6% 1.55B -39.34B -226.2M 0.61 13.50 N/A N/A 6,886,460 4,209,436 46,304,048 35,168,280 2012-08-16 $22.73 $21.43 20.9% 6.0% 23.2% 15.2% 21.7% 1.5% 3.9% 1.96B -42.57B -225.0M 0.74 6.72 N/A N/A 8,657,712 6,412,084 46,201,568 35,372,820 2012-08-17 $23.15 $21.43 21.7% 6.2% 22.9% 17.0% 22.6% 0.6% 3.9% 2.64B -51.27B -226.2M 0.52 14.17 N/A N/A 16,902,900 8,745,156 46,549,972 36,144,276 2012-08-20 $23.76 $21.61 24.8% 7.1% 24.2% 23.7% 25.3% 0.6% 2.4% 1.37B -52.20B -226.0M 0.53 9.08 N/A N/A 23,202,032 12,220,768 40,940,760 28,000,924 2012-08-21 $23.43 $21.96 26.6% 7.6% 24.8% 27.7% 26.9% 0.5% 1.8% 1.31B -47.84B -240.6M 0.60 9.96 N/A N/A 23,953,412 14,473,760 44,483,208 30,559,620 2012-08-22 $23.89 $22.14 26.4% 7.6% 17.5% 27.3% 26.9% 1.8% 2.4% 1.69B -54.75B -250.3M 0.54 8.96 N/A N/A 19,235,244 10,460,436 46,636,492 32,575,592 2012-08-23 $23.67 $22.32 27.0% 7.7% 18.3% 28.7% 27.4% 1.1% 2.1% 1.51B -52.36B -263.3M 0.67 11.31 N/A N/A 13,381,704 8,923,432 49,255,836 33,749,464 2012-08-24 $23.69 $22.32 26.2% 7.5% 18.0% 26.8% 26.5% 1.6% 2.2% 1.58B -52.79B -264.7M 0.64 12.64 N/A N/A 13,967,520 8,987,552 50,620,808 35,142,408 2012-08-27 $24.13 $22.32 25.2% 7.2% 18.2% 24.6% 25.4% 1.4% 2.5% 1.75B -59.64B -256.1M 0.58 8.26 N/A N/A 13,025,964 7,579,096 48,210,568 32,351,144 2012-08-28 $24.10 $22.50 24.2% 6.9% 16.8% 22.5% 24.7% 1.4% 3.1% 1.79B -59.18B -257.4M 0.57 4.24 N/A N/A 7,146,272 4,084,864 50,142,036 33,960,080 2012-08-29 $24.05 $22.50 23.7% 6.8% 16.4% 21.4% 24.3% 1.3% 3.3% 1.81B -58.18B -258.8M 0.63 3.80 N/A N/A 5,699,988 3,593,436 50,747,396 34,726,132 2012-08-30 $23.71 $22.50 24.2% 6.9% 17.8% 22.5% 24.6% 1.8% 2.9% 1.21B -50.65B -263.7M 0.70 13.36 N/A N/A 9,516,892 6,692,168 51,066,008 35,102,480 2012-08-31 $23.76 $22.50 18.2% 6.6% 17.5% 9.4% 23.4% 1.4% 3.6% 1.33B -52.12B -262.8M 0.77 3.99 N/A N/A 12,118,820 9,275,868 52,095,400 36,088,220
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