AAPL Options History — March 2008 In March 2008, AAPL traded between $4.27 and $5.18. ATM implied volatility averaged 42.6%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 2.9% (HV 20d: 45.5%). Max pain ranged from $4.46 to $4.82. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.75.
Notable Days 2008-03-18 : Highest Volume — 9,093,084 contracts2008-03-11 : Largest IV drop — 14.6% change2008-03-03 : Highest IV Rank — 50.1%2008-03-10 : Largest Expected Move — 13.8%Monthly Statistics Metric Avg Min Max Open Close Price $4.67 $4.27 $5.18 $4.35 $5.13 Max Pain $4.75 $4.46 $4.82 $4.46 $4.82 ATM IV 42.6% 38.6% 47.5% 47.5% 40.8% Expected Move 12.4% 11.1% 13.8% 13.6% 11.7% HV 20d 45.5% 42.4% 49.2% 46.8% 43.2% HV 60d 50.8% 48.7% 53.0% 49.5% 52.9% IV Rank 40.9% 33.3% 50.1% 50.1% 37.5% IV Percentile 62.7% 45.6% 79.4% 79.4% 55.2% Term Structure 3.9% 0.5% 9.4% 0.8% 8.0% VWIV 43.7% 39.9% 47.9% 47.6% 41.8% Skew 25d 4.0% 2.5% 5.5% 3.2% 3.5% Skew 10d 8.0% 5.6% 11.2% 6.5% 6.9% Call IV 25d 41.7% 38.3% 46.5% 46.5% 40.0% Put IV 25d 45.7% 41.0% 51.4% 49.7% 43.4% Bid-Ask Spread % 3.30 2.42 5.06 2.44 3.20 Gamma HHI 0.07 0.05 0.09 0.08 0.06 Net GEX -6.1M -40.7M 52.3M -37.3M 19.9M Net DEX -197.2M -2.98B 2.38B 1.94B -2.76B Net VEX -45.9M -48.4M -43.8M -44.9M -48.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.75 0.51 1.18 0.57 0.75 Total Volume 6,694,654.4 4,042,444 9,093,084 8,543,276 4,042,444 Total OI 67,282,776.4 60,659,956 71,348,200 65,097,760 66,034,416
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 2008-03-03 $4.35 $4.46 47.5% 13.6% 46.8% 50.1% 47.6% 3.2% 0.8% -37.3M 1.94B -44.9M 0.57 2.44 N/A N/A 5,446,728 3,096,548 34,590,864 30,506,896 2008-03-04 $4.45 $4.46 45.2% 12.9% 47.6% 45.7% 45.9% 3.7% 0.8% -18.4M 1.17B -46.4M 0.73 2.42 N/A N/A 4,579,372 3,333,484 35,580,944 30,652,328 2008-03-05 $4.45 $4.46 45.0% 12.9% 47.3% 45.4% 45.2% 3.4% 0.8% -24.7M 1.27B -46.0M 0.58 2.67 N/A N/A 2,784,460 1,606,164 35,671,104 31,011,848 2008-03-06 $4.32 $4.46 44.5% 12.8% 43.6% 44.6% 44.4% 3.5% 2.5% -33.6M 1.98B -44.6M 0.62 2.67 N/A N/A 3,827,376 2,380,504 36,258,320 31,136,700 2008-03-07 $4.37 $4.82 41.8% 13.4% 43.7% 39.4% 46.3% 4.5% 1.1% -26.9M 1.80B -44.9M 0.51 3.40 N/A N/A 3,613,484 1,837,500 36,659,728 31,189,956 2008-03-10 $4.27 $4.82 47.1% 13.8% 42.4% 49.3% 47.9% 5.1% 0.5% -40.7M 2.38B -43.8M 0.66 2.64 N/A N/A 2,859,584 1,875,356 36,872,500 31,276,140 2008-03-11 $4.55 $4.82 40.2% 12.2% 46.8% 36.4% 42.6% 5.5% 3.3% -2.0M 492.1M -45.5M 0.58 3.68 N/A N/A 4,241,328 2,476,712 37,191,224 31,399,368 2008-03-12 $4.50 $4.82 41.0% 12.9% 45.1% 37.9% 45.1% 4.9% 1.9% -5.8M 591.5M -44.9M 0.79 5.06 N/A N/A 3,185,728 2,526,832 37,282,224 31,923,416 2008-03-13 $4.57 $4.82 43.0% 12.3% 43.6% 41.6% 43.7% 4.7% 2.8% 1.7M 300.6M -45.7M 0.82 3.06 N/A N/A 3,928,764 3,205,188 37,561,300 31,867,864 2008-03-14 $4.52 $4.82 43.7% 12.5% 43.4% 43.0% 43.7% 5.1% 3.4% -9.6M 685.7M -45.8M 1.18 4.70 N/A N/A 3,478,300 4,089,988 37,734,200 32,491,172 2008-03-17 $4.53 $4.82 44.9% 12.9% 42.6% 45.3% 45.2% 4.5% 1.2% -8.2M 738.5M -45.0M 0.86 4.49 N/A N/A 4,016,460 3,458,420 38,063,508 32,402,160 2008-03-18 $4.74 $4.82 40.7% 11.7% 44.8% 37.3% 42.1% 3.7% 2.6% 52.3M -1.52B -45.1M 0.68 2.85 N/A N/A 5,427,548 3,665,536 38,333,428 32,291,028 2008-03-19 $4.63 $4.82 43.4% 12.4% 45.8% 42.3% 43.6% 2.5% 3.3% 7.0M -346.3M -45.0M 0.70 3.94 N/A N/A 4,345,432 3,020,444 38,463,320 32,809,756 2008-03-20 $4.76 $4.82 38.6% 11.1% 45.9% 33.3% 39.9% 2.7% 6.3% 654.3K -1.62B -45.1M 0.73 3.94 N/A N/A 3,847,172 2,810,920 38,605,700 32,742,500 2008-03-24 $4.98 $4.82 40.7% 11.7% 47.4% 37.3% 42.0% 4.3% 6.8% -6.3M -1.76B -45.6M 0.96 3.37 N/A N/A 4,591,356 4,419,128 31,539,368 29,120,588 2008-03-25 $5.04 $4.82 41.9% 12.0% 47.3% 39.7% 42.5% 4.9% 6.3% -9.4M -1.84B -47.3M 0.82 2.83 N/A N/A 3,538,556 2,899,288 32,237,268 30,647,680 2008-03-26 $5.18 $4.82 40.3% 11.5% 47.6% 36.5% 41.2% 3.4% 8.2% 15.2M -2.98B -48.4M 0.79 3.51 N/A N/A 4,888,436 3,880,380 32,824,120 30,934,652 2008-03-27 $5.01 $4.82 42.0% 12.0% 49.2% 39.8% 42.2% 3.3% 8.0% -8.8M -1.85B -48.1M 0.66 2.79 N/A N/A 3,275,832 2,173,836 33,539,380 31,258,948 2008-03-28 $5.11 $4.82 39.3% 11.3% 46.1% 34.7% 40.4% 3.3% 9.4% 13.8M -2.60B -48.4M 1.02 2.44 N/A N/A 2,582,440 2,636,060 33,913,460 31,036,152 2008-03-31 $5.13 $4.82 40.8% 11.7% 43.2% 37.5% 41.8% 3.5% 8.0% 19.9M -2.76B -48.2M 0.75 3.20 N/A N/A 2,304,512 1,737,932 34,488,216 31,546,200
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