AAPL Options History — November 2012 In November 2012, AAPL traded between $18.77 and $21.30. ATM implied volatility averaged 30.5%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 5.6% (HV 20d: 36.1%). Max pain ranged from $18.75 to $22.32. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.73.
Notable Days 2012-11-16 : Highest Volume — 51,083,816 contracts2012-11-15 : Largest IV spike — 20.6% change2012-11-08 : Highest IV Rank — 67.8%2012-11-16 : Largest Expected Move — 10.0%Monthly Statistics Metric Avg Min Max Open Close Price $20.16 $18.77 $21.30 $21.30 $20.90 Max Pain $21.37 $18.75 $22.32 $22.32 $20.71 ATM IV 30.5% 26.0% 36.0% 27.2% 29.2% Expected Move 8.7% 7.4% 10.0% 7.4% 8.4% HV 20d 36.1% 29.7% 43.4% 29.7% 39.8% HV 60d 28.5% 24.3% 31.3% 24.3% 31.2% IV Rank 50.6% 36.9% 67.8% 40.5% 46.8% IV Percentile 67.7% 37.7% 91.3% 49.2% 61.1% Term Structure 1.0% -1.3% 2.0% 1.8% 1.9% VWIV 30.6% 26.2% 35.5% 26.2% 29.3% Skew 25d 2.4% 1.3% 3.8% 2.2% 1.3% Skew 10d 4.9% 2.4% 8.6% 4.4% 2.4% Call IV 25d 29.5% 24.9% 34.0% 24.9% 29.0% Put IV 25d 31.9% 27.1% 37.6% 27.1% 30.2% Bid-Ask Spread % 10.72 2.92 31.90 21.77 5.31 Gamma HHI 0.04 0.03 0.07 0.03 0.04 Net GEX 529.5M -359.9M 1.63B 612.0M 1.14B Net DEX 634.4K -22.44B 22.85B -7.43B -18.47B Net VEX -253.0M -282.3M -209.8M -264.4M -277.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.73 0.20 0.93 0.63 0.93 Total Volume 23,594,953.333 10,675,784 51,083,816 14,024,080 16,646,756 Total OI 108,771,850.667 98,891,828 116,439,932 102,539,920 113,548,092
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 2012-11-01 $21.30 $22.32 27.2% 7.4% 29.7% 40.5% 26.2% 2.2% 1.8% 612.0M -7.43B -264.4M 0.63 21.77 N/A N/A 8,610,980 5,413,100 62,049,932 40,489,988 2012-11-02 $20.60 $22.32 32.2% 8.6% 30.3% 55.8% 30.6% 1.9% 0.1% -9.3M 4.47B -248.8M 0.79 8.37 N/A N/A 15,683,780 12,397,728 63,335,916 41,566,644 2012-11-05 $20.88 $22.32 31.7% 8.3% 31.2% 54.5% 29.0% 2.2% 1.1% 398.5M -2.15B -262.2M 0.71 18.63 N/A N/A 10,080,056 7,204,008 63,341,992 41,140,960 2012-11-06 $20.82 $22.32 29.0% 8.1% 30.8% 46.0% 27.9% 2.0% 1.1% 429.6M -1.04B -259.3M 0.20 16.46 N/A N/A 28,767,620 5,673,696 64,961,568 42,202,188 2012-11-07 $19.93 $22.32 30.5% 8.7% 33.1% 50.6% 30.6% 2.2% 0.7% -232.2M 14.47B -239.2M 0.79 21.00 N/A N/A 16,839,480 13,262,284 64,580,656 42,957,292 2012-11-08 $19.21 $22.14 36.0% 9.6% 34.8% 67.8% 33.5% 3.3% -0.1% -359.9M 22.85B -223.4M 0.81 31.90 N/A N/A 21,695,856 17,542,672 66,595,284 43,998,276 2012-11-09 $19.54 $21.96 32.6% 9.4% 35.5% 57.2% 33.1% 3.8% 0.5% 66.3M 15.97B -240.2M 0.67 18.20 N/A N/A 19,415,368 12,933,872 69,137,796 44,785,020 2012-11-12 $19.39 $21.79 30.6% 8.9% 35.2% 51.0% 31.5% 3.3% 1.0% 45.6M 15.81B -233.0M 0.74 11.38 N/A N/A 9,070,544 6,705,300 67,246,116 42,971,768 2012-11-13 $19.39 $21.79 26.0% 8.5% 35.1% 36.9% 30.0% 2.9% 1.2% 71.4M 15.76B -230.7M 0.81 7.77 N/A N/A 8,287,244 6,735,932 68,964,924 43,657,236 2012-11-14 $19.17 $21.61 27.6% 8.6% 34.7% 41.8% 30.0% 3.0% 0.9% -28.9M 17.67B -221.4M 0.80 9.35 N/A N/A 8,375,276 6,690,348 69,729,380 43,605,828 2012-11-15 $18.77 $0.00 33.3% 9.6% 32.8% 59.2% 33.5% 3.2% -1.3% -250.1M 21.96B -209.8M 0.78 3.14 N/A N/A 16,295,888 12,761,056 69,782,888 43,385,580 2012-11-16 $18.85 $18.75 34.7% 10.0% 33.2% 63.7% 35.5% 3.7% -0.5% 138.6M 18.51B -220.5M 0.78 5.74 N/A N/A 28,777,924 22,305,892 72,311,036 44,128,896 2012-11-19 $20.20 $21.25 31.9% 9.0% 43.4% 55.0% 32.4% 2.9% 1.5% 859.3M -9.76B -263.6M 0.68 6.83 N/A N/A 16,789,556 11,432,904 60,985,820 37,906,008 2012-11-20 $20.03 $21.25 30.8% 8.8% 41.8% 51.6% 31.1% 2.2% 1.7% 836.2M -7.26B -265.5M 0.86 7.51 N/A N/A 11,501,980 9,853,256 63,341,544 40,565,224 2012-11-21 $20.06 $21.25 30.1% 8.6% 38.7% 49.4% 30.3% 2.2% 1.7% 868.7M -7.14B -265.4M 0.86 8.00 N/A N/A 8,453,788 7,279,860 64,691,172 42,178,080 2012-11-23 $20.41 $21.25 29.2% 8.3% 38.2% 46.7% 29.5% 2.3% 0.5% 1.34B -13.60B -268.6M 0.71 9.20 N/A N/A 6,251,756 4,424,028 65,866,752 43,294,160 2012-11-26 $21.05 $20.36 29.5% 8.5% 40.0% 47.6% 29.8% 1.7% 1.5% 1.28B -22.20B -280.8M 0.65 3.45 N/A N/A 15,017,576 9,768,080 63,987,392 40,669,328 2012-11-27 $20.88 $20.54 29.6% 8.5% 39.9% 47.9% 29.9% 1.5% 1.7% 1.18B -18.83B -277.2M 0.78 2.92 N/A N/A 9,710,820 7,598,276 65,690,968 42,351,484 2012-11-28 $20.82 $20.54 29.5% 8.5% 39.8% 47.6% 29.8% 1.5% 1.6% 1.10B -17.14B -279.4M 0.71 3.51 N/A N/A 11,706,212 8,315,104 66,765,496 43,522,416 2012-11-29 $21.05 $20.54 28.6% 8.2% 39.7% 44.8% 28.8% 1.5% 2.0% 1.63B -22.44B -282.3M 0.71 4.78 N/A N/A 11,269,888 7,948,276 67,856,488 44,061,276 2012-11-30 $20.90 $20.71 29.2% 8.4% 39.8% 46.8% 29.3% 1.3% 1.9% 1.14B -18.47B -277.7M 0.93 5.31 N/A N/A 8,622,096 8,024,660 68,572,756 44,975,336
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