AAPL Options History — December 2012

In December 2012, AAPL traded between $18.20 and $20.94. ATM implied volatility averaged 37.5%, placing in the 72.2% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 1.7% (HV 20d: 39.2%). Max pain ranged from $18.21 to $20.89. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.72.

Notable Days

2012-12-14: Highest Volume — 37,559,984 contracts
2012-12-05: Largest IV spike — 25.3% change
2012-12-28: Highest IV Rank — 89.4%
2012-12-28: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.00	$18.20	$20.94	$20.94	$19.01
Max Pain	$19.57	$18.21	$20.89	$20.71	$18.21
ATM IV	37.5%	29.5%	43.1%	29.5%	42.2%
Expected Move	10.8%	8.5%	12.5%	8.5%	12.0%
HV 20d	39.2%	34.0%	44.7%	37.9%	38.4%
HV 60d	34.2%	31.2%	35.8%	31.2%	35.8%
IV Rank	72.2%	47.7%	89.4%	47.7%	86.8%
IV Percentile	89.7%	63.9%	97.2%	63.9%	96.4%
Term Structure	0.7%	-2.8%	5.9%	1.8%	-2.8%
VWIV	37.7%	29.6%	43.6%	29.6%	42.1%
Skew 25d	2.5%	1.7%	3.0%	1.7%	1.9%
Skew 10d	4.3%	2.7%	6.3%	3.0%	3.7%
Call IV 25d	36.7%	29.0%	42.6%	29.0%	41.5%
Put IV 25d	39.2%	30.7%	45.4%	30.7%	43.4%
Bid-Ask Spread %	5.19	2.19	15.36	3.86	4.47
Gamma HHI	0.04	0.03	0.13	0.04	0.04
Net GEX	265.1M	-476.2M	1.11B	1.11B	507.3M
Net DEX	9.04B	-17.58B	23.07B	-17.58B	1.36B
Net VEX	-231.9M	-277.7M	-201.4M	-277.7M	-217.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.42	0.90	0.60	0.56
Total Volume	20,337,321.2	5,393,696	37,559,984	13,017,788	17,732,792
Total OI	117,372,084.2	107,873,164	128,466,492	108,847,732	107,873,164

Daily Data (20 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
2012-12-03	$20.94	$20.71	29.5%	8.5%	37.9%	47.7%	29.6%	1.7%	1.8%	1.11B	-17.58B	-277.7M	0.60	3.86	N/A	N/A	8,148,280	4,869,508	66,470,796	42,376,936
2012-12-04	$20.57	$20.71	30.3%	8.7%	38.1%	50.0%	30.3%	2.2%	1.9%	730.1M	-10.15B	-271.1M	0.73	5.18	N/A	N/A	10,602,228	7,747,572	67,544,988	43,353,800
2012-12-05	$19.24	$20.89	37.9%	10.9%	44.7%	73.5%	37.5%	2.4%	-1.4%	53.0M	11.09B	-243.6M	0.74	15.36	N/A	N/A	21,058,996	15,581,608	68,875,072	44,716,560
2012-12-06	$19.54	$0.00	36.6%	10.5%	42.6%	69.3%	36.5%	2.8%	0.2%	280.7M	5.97B	-255.5M	0.80	2.91	N/A	N/A	15,723,064	12,621,700	71,504,328	46,065,180
2012-12-07	$19.04	$19.46	37.6%	10.8%	41.6%	72.7%	38.2%	3.0%	-0.2%	78.7M	13.94B	-242.1M	0.90	2.98	N/A	N/A	19,145,756	17,246,908	73,379,488	47,445,972
2012-12-10	$18.92	$19.46	38.4%	11.0%	41.1%	74.9%	38.1%	3.0%	-0.1%	160.1M	12.74B	-233.6M	0.86	3.24	N/A	N/A	10,298,232	8,836,436	70,219,912	45,170,132
2012-12-11	$19.34	$19.29	35.0%	10.0%	41.8%	64.4%	35.0%	2.6%	0.7%	390.5M	6.91B	-241.6M	0.75	2.93	N/A	N/A	9,349,592	6,966,148	71,668,548	46,324,152
2012-12-12	$19.25	$19.29	35.0%	10.0%	41.8%	64.6%	35.1%	3.0%	0.8%	298.6M	8.70B	-238.6M	0.87	2.64	N/A	N/A	7,576,548	6,556,368	72,500,064	47,168,128
2012-12-13	$18.92	$0.00	36.4%	10.4%	42.1%	69.0%	36.8%	2.7%	0.4%	33.4M	13.53B	-231.1M	0.75	3.32	N/A	N/A	11,493,104	8,629,516	73,112,340	47,856,032
2012-12-14	$18.21	$19.11	40.6%	11.6%	43.6%	81.7%	41.2%	1.7%	0.0%	-476.2M	23.07B	-215.8M	0.78	5.29	N/A	N/A	21,078,260	16,481,724	74,438,924	48,708,996
2012-12-17	$18.53	$20.18	39.4%	11.3%	44.1%	78.0%	40.2%	2.3%	2.6%	163.7M	15.23B	-227.8M	0.75	6.07	N/A	N/A	12,655,804	9,512,104	73,761,100	47,279,036
2012-12-18	$19.07	$20.18	36.9%	10.6%	37.3%	70.4%	37.4%	2.6%	2.9%	544.1M	6.51B	-238.6M	0.63	9.31	N/A	N/A	12,602,772	7,920,752	75,859,616	48,152,356
2012-12-19	$18.80	$20.18	36.8%	10.6%	37.5%	70.1%	37.1%	2.4%	3.1%	419.7M	10.86B	-232.8M	0.64	8.31	N/A	N/A	7,887,404	5,052,068	76,832,840	48,546,484
2012-12-20	$18.63	$20.00	35.9%	10.3%	37.5%	67.3%	36.1%	3.0%	5.4%	237.9M	14.37B	-222.1M	0.79	9.38	N/A	N/A	10,959,368	8,699,600	77,548,884	49,046,424
2012-12-21	$18.55	$20.18	36.4%	10.1%	36.7%	68.8%	36.0%	2.3%	5.9%	103.3M	16.03B	-221.4M	0.82	8.39	N/A	N/A	13,510,168	11,067,224	78,577,912	49,888,580
2012-12-24	$18.58	$18.75	39.8%	11.9%	34.3%	79.3%	41.2%	2.8%	-2.2%	272.2M	9.41B	-216.0M	0.42	2.59	N/A	N/A	3,797,976	1,595,720	67,524,212	42,239,260
2012-12-26	$18.32	$18.75	41.2%	11.8%	34.4%	83.5%	41.4%	3.0%	-2.3%	121.2M	13.20B	-205.0M	0.57	3.21	N/A	N/A	6,923,588	3,971,716	68,451,628	42,650,720
2012-12-27	$18.39	$18.57	41.2%	11.8%	34.6%	83.4%	41.6%	2.6%	-1.0%	209.0M	12.01B	-204.3M	0.71	2.24	N/A	N/A	10,497,508	7,421,736	69,308,372	43,082,872
2012-12-28	$18.20	$18.39	43.1%	12.5%	34.0%	89.4%	43.6%	2.8%	-1.3%	66.2M	13.54B	-201.4M	0.71	2.19	N/A	N/A	8,739,304	6,187,272	68,633,628	43,284,248
2012-12-31	$19.01	$18.21	42.2%	12.0%	38.4%	86.8%	42.1%	1.9%	-2.8%	507.3M	1.36B	-217.3M	0.56	4.47	N/A	N/A	11,364,752	6,368,040	66,111,360	41,761,804