AAPL Options History — September 2012

In September 2012, AAPL traded between $23.59 and $25.07. ATM implied volatility averaged 26.4%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 6.4% (HV 20d: 20.0%). Max pain ranged from $21.43 to $22.86. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.67.

Notable Days

2012-09-14: Highest Volume — 34,864,284 contracts
2012-09-10: Largest IV spike — 37.0% change
2012-09-11: Highest IV Rank — 55.7%
2012-09-26: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.34	$23.59	$25.07	$24.11	$23.83
Max Pain	$22.23	$21.43	$22.86	$22.50	$22.86
ATM IV	26.4%	21.5%	39.4%	22.6%	26.8%
Expected Move	7.5%	6.5%	8.4%	7.6%	8.3%
HV 20d	20.0%	17.8%	23.0%	17.8%	23.0%
HV 60d	20.8%	20.1%	21.6%	20.4%	21.6%
IV Rank	27.3%	16.5%	55.7%	19.0%	28.2%
IV Percentile	40.1%	13.9%	90.9%	21.0%	45.6%
Term Structure	3.4%	1.2%	4.7%	1.2%	4.0%
VWIV	26.5%	23.3%	29.4%	27.1%	29.1%
Skew 25d	2.4%	1.1%	4.5%	1.3%	4.5%
Skew 10d	5.1%	2.3%	10.7%	2.6%	10.7%
Call IV 25d	25.0%	22.0%	28.3%	26.3%	27.0%
Put IV 25d	27.5%	24.0%	31.5%	27.5%	31.5%
Bid-Ask Spread %	14.72	6.29	26.90	14.99	18.78
Gamma HHI	0.09	0.05	0.44	0.05	0.05
Net GEX	2.00B	569.9M	4.96B	1.74B	1.11B
Net DEX	-60.06B	-75.86B	-37.68B	-58.98B	-41.53B
Net VEX	-257.8M	-297.9M	-240.6M	-254.6M	-297.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.54	0.79	0.66	0.54
Total Volume	21,763,331.579	12,486,544	34,864,284	18,136,384	25,282,656
Total OI	92,811,199.158	83,680,828	101,057,516	83,757,716	101,057,516

Daily Data (19 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
2012-09-04	$24.11	$22.50	22.6%	7.6%	17.8%	19.0%	27.1%	1.3%	1.2%	1.74B	-58.98B	-254.6M	0.66	14.99	N/A	N/A	10,941,252	7,195,132	49,523,292	34,234,424
2012-09-05	$23.94	$22.68	21.5%	7.5%	18.1%	16.5%	26.5%	1.1%	1.4%	1.65B	-56.07B	-254.8M	0.57	7.86	N/A	N/A	7,969,416	4,517,128	51,146,004	35,903,896
2012-09-06	$24.15	$22.68	25.7%	7.0%	18.0%	25.8%	24.8%	1.1%	2.1%	2.26B	-60.78B	-250.2M	0.79	6.29	N/A	N/A	8,862,168	6,972,532	51,719,304	36,630,524
2012-09-07	$24.30	$21.43	27.3%	7.6%	18.0%	29.3%	27.2%	2.4%	3.2%	4.96B	-64.20B	-255.7M	0.63	11.89	N/A	N/A	13,070,876	8,215,424	52,594,584	37,625,308
2012-09-10	$23.67	$21.43	37.4%	8.3%	21.1%	51.4%	29.2%	2.1%	2.7%	1.37B	-50.38B	-255.2M	0.72	13.11	N/A	N/A	13,564,488	9,727,676	51,596,216	36,076,432
2012-09-11	$23.59	$21.43	39.4%	8.4%	20.9%	55.7%	29.3%	1.9%	2.8%	1.20B	-48.52B	-255.9M	0.72	19.74	N/A	N/A	9,811,340	7,058,240	53,135,264	38,155,684
2012-09-12	$23.92	$21.61	25.1%	7.9%	21.3%	24.3%	27.8%	2.0%	3.0%	1.59B	-55.08B	-255.2M	0.69	17.13	N/A	N/A	14,944,636	10,302,404	54,147,968	39,196,108
2012-09-13	$24.39	$21.79	25.4%	7.3%	22.0%	25.1%	25.8%	1.8%	4.0%	2.65B	-67.81B	-246.8M	0.69	22.29	N/A	N/A	16,623,236	11,551,652	55,480,320	40,177,984
2012-09-14	$24.69	$21.79	24.8%	7.1%	22.1%	23.7%	25.4%	1.8%	4.1%	2.87B	-74.19B	-249.1M	0.67	17.44	N/A	N/A	20,827,212	14,037,072	56,215,404	41,435,016
2012-09-17	$24.99	$21.96	24.7%	7.1%	21.7%	23.5%	25.3%	1.9%	3.8%	2.32B	-75.19B	-243.3M	0.61	13.40	N/A	N/A	11,377,352	6,884,528	53,670,456	38,890,656
2012-09-18	$25.07	$22.14	24.0%	6.9%	20.0%	22.1%	24.7%	2.0%	4.2%	2.43B	-75.86B	-244.6M	0.58	11.75	N/A	N/A	8,802,864	5,124,700	54,362,756	40,403,692
2012-09-19	$25.07	$22.32	22.9%	6.5%	19.1%	19.5%	23.3%	2.0%	4.7%	2.48B	-75.62B	-240.6M	0.58	13.24	N/A	N/A	9,157,372	5,347,776	54,761,308	41,401,528
2012-09-20	$24.95	$22.32	22.9%	6.6%	18.4%	19.7%	23.5%	2.1%	4.5%	2.25B	-72.75B	-245.4M	0.72	14.76	N/A	N/A	10,178,840	7,331,240	55,738,704	42,199,248
2012-09-21	$25.00	$22.50	23.2%	6.7%	17.8%	20.4%	24.3%	2.9%	4.1%	2.48B	-72.20B	-249.3M	0.69	26.90	N/A	N/A	16,201,528	11,226,656	56,322,532	43,552,264
2012-09-24	$24.67	$22.50	24.6%	7.1%	18.7%	23.4%	25.3%	3.5%	4.0%	1.49B	-55.52B	-252.1M	0.77	11.05	N/A	N/A	14,297,220	11,001,732	49,187,880	34,492,948
2012-09-25	$24.05	$22.68	27.1%	7.8%	20.0%	28.8%	27.3%	4.3%	3.5%	938.7M	-44.72B	-270.3M	0.78	8.34	N/A	N/A	12,301,576	9,635,920	52,750,068	37,671,396
2012-09-26	$23.76	$22.86	29.2%	8.4%	20.5%	33.4%	29.4%	3.9%	3.4%	569.9M	-37.68B	-287.6M	0.70	14.74	N/A	N/A	15,342,740	10,805,620	54,787,796	39,571,756
2012-09-27	$24.33	$22.86	27.4%	7.9%	22.3%	29.4%	27.9%	3.4%	4.3%	1.68B	-54.13B	-289.9M	0.71	15.94	N/A	N/A	15,817,088	11,194,008	56,938,700	40,657,848
2012-09-28	$23.83	$22.86	26.8%	8.3%	23.0%	28.2%	29.1%	4.5%	4.0%	1.11B	-41.53B	-297.9M	0.54	18.78	N/A	N/A	16,423,232	8,859,424	58,821,224	42,236,292