AAPL Options History — May 2013 In May 2013, AAPL traded between $15.32 and $16.57. ATM implied volatility averaged 25.9%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 4.1% (HV 20d: 30.0%). Max pain ranged from $15.00 to $16.96. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.67.
Notable Days 2013-05-08 : Highest Volume — 50,545,068 contracts2013-05-15 : Largest IV spike — 11.0% change2013-05-15 : Highest IV Rank — 46.1%2013-05-15 : Largest Expected Move — 8.0%Monthly Statistics Metric Avg Min Max Open Close Price $15.94 $15.32 $16.57 $15.69 $16.06 Max Pain $16.00 $15.00 $16.96 $15.18 $15.54 ATM IV 25.9% 24.2% 27.9% 27.5% 25.6% Expected Move 7.4% 6.9% 8.0% 7.9% 7.4% HV 20d 30.0% 23.2% 34.7% 33.8% 23.2% HV 60d 28.3% 27.3% 29.0% 29.0% 27.3% IV Rank 39.7% 33.8% 46.1% 44.9% 38.6% IV Percentile 28.1% 15.5% 43.7% 38.1% 27.4% Term Structure -0.4% -0.9% 0.5% -0.7% -0.9% VWIV 26.3% 24.4% 28.6% 27.9% 25.9% Skew 25d 1.4% 0.8% 2.2% 1.8% 1.2% Skew 10d 2.7% 1.3% 4.3% 3.1% 1.9% Call IV 25d 25.7% 24.0% 27.7% 27.1% 25.6% Put IV 25d 27.0% 25.2% 29.6% 29.0% 26.8% Bid-Ask Spread % 12.63 3.16 38.00 9.83 38.00 Gamma HHI 0.13 0.04 0.81 0.06 0.46 Net GEX 813.8M -259.9M 6.33B 521.8M 1.86B Net DEX 5.05B -5.47B 15.95B 3.40B 3.70B Net VEX -168.4M -176.6M -158.2M -167.4M -169.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.15 0.97 0.69 0.63 Total Volume 15,090,666.182 8,427,944 50,545,068 13,908,972 14,231,196 Total OI 84,223,447.636 75,649,448 90,728,400 86,550,156 81,810,624
Daily Data (22 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 2013-05-01 $15.69 $15.18 27.5% 7.9% 33.8% 44.9% 27.9% 1.8% -0.7% 521.8M 3.40B -167.4M 0.69 9.83 N/A N/A 8,221,388 5,687,584 52,192,840 34,357,316 2013-05-02 $15.91 $15.36 25.3% 7.3% 33.9% 37.5% 26.6% 1.6% 0.1% 781.8M 282.0M -167.5M 0.64 23.86 N/A N/A 9,029,132 5,797,540 52,918,656 35,198,156 2013-05-03 $16.07 $15.36 24.2% 6.9% 33.6% 33.8% 25.2% 1.2% 0.2% 6.33B -1.48B -169.8M 0.69 19.52 N/A N/A 9,469,208 6,546,120 53,536,560 36,201,200 2013-05-06 $16.45 $15.54 25.6% 7.3% 34.4% 38.4% 25.9% 1.1% -0.6% 726.8M -4.13B -172.1M 0.58 20.80 N/A N/A 10,734,136 6,204,576 50,812,216 33,603,360 2013-05-07 $16.38 $15.89 25.6% 7.3% 34.5% 38.5% 26.6% 1.0% -0.7% 637.3M -2.01B -173.5M 0.60 11.53 N/A N/A 8,329,832 4,988,592 52,063,536 35,037,324 2013-05-08 $16.57 $15.89 24.5% 7.0% 34.1% 34.8% 24.4% 0.9% -0.6% 1.01B -5.47B -176.0M 0.15 16.32 N/A N/A 44,031,372 6,513,696 52,844,904 35,648,788 2013-05-09 $16.31 $15.89 25.2% 7.2% 34.7% 37.2% 25.3% 0.8% -0.5% 473.2M 4.25B -176.6M 0.73 8.88 N/A N/A 8,161,300 5,968,564 50,534,680 37,217,488 2013-05-10 $16.18 $16.07 24.5% 7.0% 34.6% 34.9% 24.7% 1.0% -0.2% 325.1M 6.17B -175.1M 0.71 10.13 N/A N/A 8,170,064 5,818,484 51,570,932 37,250,920 2013-05-13 $16.24 $16.07 25.0% 7.2% 33.2% 36.4% 25.4% 0.8% -0.4% 557.8M 4.47B -172.4M 0.71 13.43 N/A N/A 4,937,968 3,489,976 50,174,152 34,876,464 2013-05-14 $15.85 $16.07 25.1% 7.2% 34.3% 36.9% 25.4% 0.9% -0.4% 127.0M 10.08B -164.8M 0.84 12.09 N/A N/A 7,383,292 6,174,308 50,937,040 35,411,348 2013-05-15 $15.32 $16.07 27.9% 8.0% 29.9% 46.1% 28.6% 1.9% -0.5% -259.9M 15.95B -158.2M 0.90 7.35 N/A N/A 12,025,776 10,880,464 51,627,520 35,729,568 2013-05-16 $15.52 $0.00 27.2% 7.8% 27.9% 44.0% 27.9% 2.2% -0.7% 70.1M 12.65B -161.7M 0.81 9.54 N/A N/A 9,596,188 7,747,628 53,103,400 36,167,516 2013-05-17 $15.47 $15.00 26.7% 7.7% 27.9% 42.3% 27.4% 1.8% -0.7% 138.8M 12.91B -162.9M 0.97 11.47 N/A N/A 7,607,824 7,383,096 53,887,260 36,841,140 2013-05-20 $15.82 $16.96 26.5% 7.5% 28.0% 41.4% 26.5% 1.6% -0.2% 318.1M 6.93B -167.8M 0.63 3.62 N/A N/A 6,954,640 4,357,528 46,005,204 29,644,244 2013-05-21 $15.70 $16.96 26.9% 7.7% 27.8% 42.9% 26.9% 1.4% -0.3% 297.1M 7.86B -167.2M 0.72 5.87 N/A N/A 6,303,528 4,539,304 47,471,900 30,629,312 2013-05-22 $15.76 $16.96 26.5% 7.6% 27.8% 41.5% 26.8% 1.5% -0.6% 378.5M 7.09B -167.0M 0.68 4.77 N/A N/A 6,695,948 4,549,524 48,194,720 30,999,164 2013-05-23 $15.79 $16.96 26.6% 7.6% 27.8% 41.7% 26.8% 1.8% 0.2% 406.4M 6.89B -168.0M 0.75 4.91 N/A N/A 6,529,012 4,906,608 48,892,508 31,511,928 2013-05-24 $15.90 $16.79 25.5% 7.3% 27.0% 38.3% 25.8% 1.7% 0.5% 1.72B 5.38B -167.3M 0.71 3.16 N/A N/A 5,892,292 4,158,560 49,295,064 32,063,500 2013-05-28 $15.77 $15.71 26.6% 7.6% 25.3% 41.8% 26.4% 1.6% -0.7% 303.2M 7.75B -162.4M 0.54 13.73 N/A N/A 6,973,176 3,791,424 47,055,624 30,008,020 2013-05-29 $15.89 $15.89 26.2% 7.5% 23.2% 40.5% 26.5% 1.3% -0.4% 416.4M 5.83B -166.4M 0.54 10.38 N/A N/A 5,524,764 2,988,888 48,381,144 30,675,624 2013-05-30 $16.13 $15.89 26.0% 7.5% 23.6% 40.0% 26.2% 1.3% -0.5% 766.6M 2.59B -170.9M 0.59 18.66 N/A N/A 7,990,360 4,709,796 49,366,128 31,166,856 2013-05-31 $16.06 $15.54 25.6% 7.4% 23.2% 38.6% 25.9% 1.2% -0.9% 1.86B 3.70B -169.9M 0.63 38.00 N/A N/A 8,743,728 5,487,468 50,095,220 31,715,404
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