AAPL Options History — October 2012 In October 2012, AAPL traded between $21.26 and $23.98. ATM implied volatility averaged 33.3%, placing in the 57.6% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 7.8% (HV 20d: 25.5%). Max pain ranged from $22.50 to $23.21. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.74.
Notable Days 2012-10-26 : Highest Volume — 44,085,188 contracts2012-10-26 : Largest IV drop — 28.3% change2012-10-19 : Highest IV Rank — 85.3%2012-10-19 : Largest Expected Move — 12.0%Monthly Statistics Metric Avg Min Max Open Close Price $22.67 $21.26 $23.98 $23.55 $21.26 Max Pain $22.87 $22.50 $23.21 $22.86 $22.50 ATM IV 33.3% 25.6% 41.8% 31.0% 30.6% Expected Move 9.8% 7.7% 12.0% 8.7% 8.3% HV 20d 25.5% 21.5% 31.8% 23.4% 29.7% HV 60d 22.9% 21.5% 24.8% 21.7% 24.4% IV Rank 57.6% 31.2% 85.3% 37.4% 50.9% IV Percentile 78.6% 38.1% 96.8% 74.6% 71.8% Term Structure -1.7% -5.6% 5.8% 3.1% 0.3% VWIV 34.0% 26.8% 41.3% 30.4% 29.4% Skew 25d 4.2% 2.7% 6.0% 4.6% 2.7% Skew 10d 7.9% 5.4% 10.0% 9.3% 5.7% Call IV 25d 32.0% 24.7% 39.3% 28.8% 28.0% Put IV 25d 36.3% 28.8% 44.1% 33.4% 30.7% Bid-Ask Spread % 17.98 5.28 38.45 5.28 6.37 Gamma HHI 0.06 0.03 0.44 0.05 0.03 Net GEX 737.0M -1.57B 1.87B 1.12B 455.6M Net DEX -27.22B -50.09B -6.71B -40.17B -6.71B Net VEX -292.8M -304.3M -266.5M -289.6M -266.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.74 0.57 0.99 0.67 0.63 Total Volume 22,762,498.667 13,770,736 44,085,188 22,442,700 17,602,648 Total OI 104,068,190.667 88,860,912 114,942,352 94,883,880 99,130,528
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 2012-10-01 $23.55 $22.86 31.0% 8.7% 23.4% 37.4% 30.4% 4.6% 3.1% 1.12B -40.17B -289.6M 0.67 5.28 N/A N/A 13,455,120 8,987,580 55,450,248 39,433,632 2012-10-02 $23.62 $22.86 29.8% 8.3% 22.7% 34.7% 29.1% 4.7% 4.4% 1.12B -40.60B -288.1M 0.72 8.42 N/A N/A 14,287,532 10,278,604 56,651,756 41,177,528 2012-10-03 $23.98 $22.86 25.6% 7.7% 23.3% 31.2% 27.0% 4.4% 5.8% 1.87B -50.09B -295.7M 0.66 6.37 N/A N/A 10,167,724 6,736,968 58,364,208 42,350,000 2012-10-04 $23.81 $22.86 26.1% 7.7% 23.2% 37.3% 26.8% 3.5% 5.5% 1.48B -46.14B -295.1M 0.88 5.48 N/A N/A 7,762,888 6,820,436 59,492,272 43,515,360 2012-10-05 $23.31 $23.21 29.2% 10.0% 24.2% 46.7% 35.0% 4.3% -2.3% 721.6M -32.34B -295.7M 0.78 27.97 N/A N/A 17,497,144 13,671,644 59,854,900 44,877,588 2012-10-08 $22.79 $23.21 34.0% 10.5% 23.7% 61.6% 36.3% 4.6% -3.4% 523.7M -25.04B -293.1M 0.72 28.72 N/A N/A 14,967,372 10,724,084 58,096,444 43,132,516 2012-10-09 $22.71 $23.21 33.6% 10.4% 23.7% 60.3% 36.0% 4.1% -3.2% 595.1M -25.50B -291.9M 0.74 28.74 N/A N/A 17,406,368 12,852,420 61,248,656 44,358,944 2012-10-10 $22.89 $23.04 28.8% 10.2% 23.2% 45.5% 35.4% 4.0% -2.8% 965.2M -31.19B -304.3M 0.70 23.13 N/A N/A 10,579,436 7,436,520 63,904,736 45,801,336 2012-10-11 $22.43 $23.04 35.1% 10.1% 22.6% 64.9% 34.8% 3.7% -2.8% 286.2M -20.46B -295.8M 0.73 16.72 N/A N/A 12,782,672 9,286,816 65,453,808 46,877,124 2012-10-12 $22.49 $23.04 34.4% 9.9% 21.9% 62.7% 34.5% 3.9% -3.0% 45.4M -21.33B -297.1M 0.99 19.14 N/A N/A 13,077,456 12,969,796 66,589,264 47,700,884 2012-10-15 $22.67 $22.86 33.6% 9.6% 21.5% 60.3% 33.9% 4.5% -2.8% 760.1M -27.07B -289.7M 0.78 31.20 N/A N/A 9,346,260 7,294,280 63,422,800 44,652,244 2012-10-16 $23.21 $22.86 34.1% 9.8% 23.6% 61.7% 34.4% 4.4% -3.1% 1.54B -40.92B -300.7M 0.71 9.49 N/A N/A 13,110,860 9,346,372 64,512,980 45,506,244 2012-10-17 $23.02 $22.86 34.0% 9.7% 23.6% 61.4% 34.0% 3.9% -3.3% 1.36B -36.87B -297.7M 0.83 25.75 N/A N/A 7,539,868 6,230,868 66,013,248 46,129,860 2012-10-18 $22.59 $22.86 35.4% 10.1% 24.2% 65.6% 35.5% 4.1% -3.6% 457.2M -25.20B -290.6M 0.61 21.70 N/A N/A 12,534,956 7,637,028 65,956,632 46,361,392 2012-10-19 $21.78 $22.86 41.8% 12.0% 26.5% 85.3% 41.3% 4.8% -5.6% -1.57B -8.18B -287.7M 0.92 27.97 N/A N/A 19,053,720 17,542,588 67,562,124 47,380,228 2012-10-22 $22.64 $22.86 38.5% 11.0% 30.9% 75.4% 38.7% 6.0% -4.8% 968.3M -29.26B -301.3M 0.57 10.82 N/A N/A 10,722,152 6,115,984 53,538,212 35,322,700 2012-10-23 $21.91 $22.68 38.9% 11.1% 31.7% 76.4% 38.5% 4.8% -4.5% 769.6M -18.42B -297.1M 0.69 7.60 N/A N/A 10,081,820 7,003,864 57,078,112 37,078,720 2012-10-24 $22.03 $22.68 38.0% 10.9% 31.8% 73.9% 37.4% 4.5% -4.4% 848.2M -20.21B -298.6M 0.63 21.01 N/A N/A 9,917,572 6,253,996 58,668,456 38,391,052 2012-10-25 $21.77 $22.68 38.5% 11.0% 30.2% 75.3% 37.8% 4.5% -5.4% 747.0M -15.27B -290.9M 0.72 38.45 N/A N/A 14,447,132 10,396,736 60,410,112 39,410,616 2012-10-26 $21.57 $22.50 27.6% 8.0% 29.6% 41.9% 28.7% 2.7% 1.0% 408.7M -10.62B -281.6M 0.80 7.22 N/A N/A 24,542,980 19,542,208 63,222,628 41,351,912 2012-10-31 $21.26 $22.50 30.6% 8.3% 29.7% 50.9% 29.4% 2.7% 0.3% 455.6M -6.71B -266.5M 0.63 6.37 N/A N/A 10,779,580 6,823,068 59,967,404 39,163,124
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