AAPL Options History — May 2008 In May 2008, AAPL traded between $6.32 and $6.78. ATM implied volatility averaged 37.4%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 2.1% (HV 20d: 35.3%). Max pain ranged from $5.71 to $6.43. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.65.
Notable Days 2008-05-07 : Highest Volume — 10,055,192 contracts2008-05-21 : Largest IV spike — 11.3% change2008-05-21 : Highest IV Rank — 37.8%2008-05-21 : Largest Expected Move — 12.5%Monthly Statistics Metric Avg Min Max Open Close Price $6.60 $6.32 $6.78 $6.43 $6.74 Max Pain $6.22 $5.71 $6.43 $5.71 $6.43 ATM IV 37.4% 31.6% 43.7% 35.1% 38.1% Expected Move 11.1% 9.9% 12.5% 10.1% 10.9% HV 20d 35.3% 27.6% 41.3% 41.2% 29.9% HV 60d 40.6% 38.5% 44.2% 44.2% 38.5% IV Rank 25.5% 13.0% 37.8% 26.8% 20.9% IV Percentile 31.3% 8.7% 63.5% 19.4% 31.3% Term Structure 1.4% 0.5% 3.2% 2.5% 2.1% VWIV 39.0% 35.1% 44.1% 36.3% 38.7% Skew 25d 2.1% 0.1% 3.2% 3.2% 2.5% Skew 10d 4.1% 1.9% 6.7% 6.2% 5.4% Call IV 25d 38.0% 34.0% 44.2% 34.0% 37.7% Put IV 25d 40.1% 35.8% 44.4% 37.2% 40.2% Bid-Ask Spread % 3.51 1.55 6.40 1.55 3.06 Gamma HHI 0.10 0.08 0.19 0.09 0.10 Net GEX 169.6M 82.3M 280.0M 188.1M 163.9M Net DEX -9.68B -12.50B -6.48B -9.77B -9.93B Net VEX -52.5M -57.9M -27.9M -52.1M -55.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.38 0.93 0.79 0.45 Total Volume 6,855,816 3,382,540 10,055,192 7,460,208 3,382,540 Total OI 65,145,973.333 48,775,356 73,205,580 64,023,988 65,772,084
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 2008-05-01 $6.43 $5.71 35.1% 10.1% 41.2% 26.8% 36.3% 3.2% 2.5% 188.1M -9.77B -52.1M 0.79 1.55 N/A N/A 4,169,284 3,290,924 32,241,328 31,782,660 2008-05-02 $6.46 $5.71 34.7% 9.9% 41.2% 26.0% 35.1% 1.5% 3.2% 180.4M -9.90B -52.6M 0.77 2.70 N/A N/A 5,179,720 3,966,480 32,311,300 32,670,792 2008-05-05 $6.60 $6.07 36.1% 11.1% 41.3% 28.8% 38.8% 2.6% 0.5% 193.2M -10.75B -53.2M 0.64 3.86 N/A N/A 4,812,024 3,065,384 32,864,104 33,322,716 2008-05-06 $6.67 $6.07 36.6% 11.0% 40.0% 25.6% 38.8% 1.4% 0.8% 196.1M -11.27B -53.0M 0.63 2.75 N/A N/A 4,708,620 2,970,968 33,070,184 33,442,976 2008-05-07 $6.52 $6.07 37.7% 11.3% 41.0% 26.2% 39.5% 1.8% 0.9% 177.8M -10.05B -53.0M 0.55 6.40 N/A N/A 6,485,668 3,569,524 33,391,064 33,714,240 2008-05-08 $6.61 $6.07 34.6% 11.0% 40.9% 19.8% 38.1% 1.9% 1.3% 209.0M -10.86B -53.7M 0.91 3.39 N/A N/A 3,366,244 3,048,248 34,489,140 34,072,332 2008-05-09 $6.55 $6.07 31.6% 10.7% 35.4% 13.0% 37.8% 2.5% 1.7% 190.5M -10.16B -54.0M 0.88 4.14 N/A N/A 3,131,072 2,753,212 34,941,284 34,683,936 2008-05-12 $6.72 $6.07 33.1% 10.6% 35.6% 16.2% 37.4% 2.2% 1.5% 209.7M -8.60B -27.9M 0.93 3.21 N/A N/A 4,667,432 4,340,784 24,966,284 23,809,072 2008-05-13 $6.78 $6.25 34.1% 10.6% 35.5% 18.1% 37.5% 1.5% 1.6% 245.0M -12.50B -51.0M 0.80 3.47 N/A N/A 4,337,732 3,457,972 35,084,504 35,660,240 2008-05-14 $6.65 $6.25 34.4% 10.8% 36.2% 18.9% 37.9% 1.4% 1.0% 198.8M -10.90B -53.0M 0.56 4.50 N/A N/A 5,957,224 3,314,080 35,338,156 36,332,240 2008-05-15 $6.78 $6.25 37.0% 10.6% 36.3% 24.2% 37.0% 2.3% 1.4% 280.0M -12.28B -53.3M 0.92 3.66 N/A N/A 3,499,524 3,230,892 36,015,756 36,738,576 2008-05-16 $6.70 $6.25 38.0% 10.9% 35.1% 26.1% 38.5% 2.1% 1.0% 144.6M -11.35B -54.0M 0.38 3.76 N/A N/A 4,681,096 1,764,308 36,200,164 37,005,416 2008-05-19 $6.56 $6.25 39.3% 11.3% 33.9% 28.9% 39.7% 1.2% 0.5% 115.9M -8.09B -54.3M 0.48 3.20 N/A N/A 3,632,440 1,752,744 30,005,640 28,575,148 2008-05-20 $6.64 $6.43 39.2% 11.2% 27.6% 28.8% 39.6% 2.8% 1.3% 123.7M -8.66B -54.6M 0.79 2.92 N/A N/A 2,608,536 2,057,384 30,528,064 29,083,152 2008-05-21 $6.36 $6.43 43.7% 12.5% 32.5% 37.8% 44.1% 0.1% 0.9% 82.3M -6.67B -56.8M 0.46 3.39 N/A N/A 6,262,032 2,873,752 30,692,508 29,581,132 2008-05-22 $6.32 $6.43 41.0% 11.8% 30.4% 32.4% 41.0% 2.2% 1.0% 91.6M -6.48B -56.6M 0.66 4.37 N/A N/A 5,365,332 3,545,024 31,962,308 29,919,652 2008-05-23 $6.47 $6.43 39.4% 11.3% 31.2% 29.1% 39.6% 1.7% 2.3% 115.5M -7.58B -57.9M 0.66 3.28 N/A N/A 3,062,612 2,016,336 32,708,536 31,073,224 2008-05-27 $6.66 $6.43 40.5% 11.6% 32.3% 31.3% 41.0% 2.6% 1.4% 139.1M -9.06B -56.4M 0.50 3.93 N/A N/A 3,473,764 1,745,156 32,590,068 31,547,012 2008-05-28 $6.68 $6.43 40.8% 11.7% 32.0% 28.8% 40.9% 2.7% 1.4% 136.3M -9.12B -56.5M 0.45 3.26 N/A N/A 3,361,484 1,505,140 32,582,536 31,913,420 2008-05-29 $6.67 $6.43 41.3% 11.8% 31.8% 27.9% 41.4% 3.0% 0.7% 180.9M -9.34B -43.3M 0.54 2.88 N/A N/A 2,306,640 1,252,804 33,335,456 32,047,036 2008-05-30 $6.74 $6.43 38.1% 10.9% 29.9% 20.9% 38.7% 2.5% 2.1% 163.9M -9.93B -55.9M 0.45 3.06 N/A N/A 2,325,652 1,056,888 33,594,428 32,177,656
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