AAPL Options History — June 2008 In June 2008, AAPL traded between $5.98 and $6.77. ATM implied volatility averaged 42.2%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 9.5% (HV 20d: 32.8%). Max pain ranged from $5.54 to $6.43. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.61.
Notable Days 2008-06-09 : Highest Volume — 15,233,456 contracts2008-06-06 : Largest IV spike — 13.4% change2008-06-06 : Highest IV Rank — 39.2%2008-06-12 : Largest Expected Move — 13.3%Monthly Statistics Metric Avg Min Max Open Close Price $6.37 $5.98 $6.77 $6.65 $5.98 Max Pain $5.84 $5.54 $6.43 $6.43 $5.71 ATM IV 42.2% 38.4% 46.4% 41.6% 41.3% Expected Move 12.2% 11.0% 13.3% 11.9% 11.8% HV 20d 32.8% 29.2% 37.2% 30.4% 37.2% HV 60d 36.8% 35.6% 38.1% 38.0% 37.0% IV Rank 30.0% 21.4% 39.2% 28.7% 27.9% IV Percentile 52.8% 25.8% 72.2% 53.2% 46.0% Term Structure 3.2% -0.6% 7.3% 0.5% 7.0% VWIV 42.6% 38.2% 46.7% 41.9% 40.9% Skew 25d 3.3% 2.2% 4.4% 2.2% 3.0% Skew 10d 6.6% 4.1% 9.8% 4.1% 6.4% Call IV 25d 41.1% 37.2% 45.1% 41.0% 39.9% Put IV 25d 44.5% 39.6% 49.3% 43.2% 42.9% Bid-Ask Spread % 2.90 1.79 6.09 2.63 2.16 Gamma HHI 0.10 0.06 0.42 0.10 0.06 Net GEX 99.2M -188.7M 182.4M 146.6M 70.0M Net DEX -6.87B -10.15B -4.18B -9.11B -4.18B Net VEX -54.5M -57.2M -50.8M -55.1M -50.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.45 0.86 0.45 0.62 Total Volume 7,406,170.667 3,801,448 15,233,456 4,027,520 4,812,892 Total OI 69,503,981.333 62,264,076 75,974,836 66,147,704 66,399,508
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 2008-06-02 $6.65 $6.43 41.6% 11.9% 30.4% 28.7% 41.9% 2.2% 0.5% 146.6M -9.11B -55.1M 0.45 2.63 N/A N/A 2,781,268 1,246,252 33,658,632 32,489,072 2008-06-03 $6.62 $6.43 41.9% 12.0% 29.6% 29.2% 42.3% 3.1% 0.3% 149.0M -8.91B -55.9M 0.46 3.27 N/A N/A 3,232,712 1,498,700 34,055,924 32,471,208 2008-06-04 $6.61 $6.43 43.0% 12.3% 29.3% 31.6% 43.1% 3.4% -0.6% 148.1M -8.86B -55.7M 0.51 2.77 N/A N/A 2,512,132 1,289,316 34,296,388 32,755,996 2008-06-05 $6.77 $6.43 41.0% 11.7% 29.2% 27.2% 41.6% 3.3% 1.0% 175.2M -10.15B -55.3M 0.61 3.12 N/A N/A 4,180,400 2,529,352 34,442,940 33,070,212 2008-06-06 $6.63 $5.54 46.4% 13.1% 29.9% 39.2% 45.9% 4.3% 1.1% 135.7M -8.80B -57.2M 0.54 3.05 N/A N/A 5,389,776 2,923,564 34,419,420 34,092,128 2008-06-09 $6.49 $5.71 43.9% 12.7% 30.8% 33.5% 44.5% 3.1% 2.2% 120.7M -7.57B -56.1M 0.54 6.09 N/A N/A 9,880,780 5,352,676 35,535,780 34,573,280 2008-06-10 $6.63 $5.71 40.5% 12.1% 30.4% 26.1% 42.6% 3.3% 3.3% 177.9M -9.13B -56.2M 0.64 2.55 N/A N/A 4,863,572 3,135,720 36,782,872 35,207,172 2008-06-11 $6.46 $5.71 42.7% 12.9% 31.5% 31.0% 45.1% 3.1% 1.6% 101.7M -7.10B -56.9M 0.67 1.79 N/A N/A 4,521,104 3,010,112 36,599,864 35,725,424 2008-06-12 $6.19 $5.71 46.4% 13.3% 34.1% 39.2% 46.7% 4.2% 1.5% 33.1M -4.39B -57.0M 0.58 3.11 N/A N/A 8,296,736 4,795,280 36,960,672 35,906,780 2008-06-13 $6.16 $5.71 44.7% 12.8% 33.1% 35.4% 44.3% 4.0% 1.9% 26.6M -4.23B -55.9M 0.86 2.87 N/A N/A 6,779,192 5,801,712 37,624,720 36,497,048 2008-06-16 $6.32 $5.71 43.0% 12.3% 34.7% 31.7% 42.5% 4.1% 2.4% 93.8M -6.09B -55.1M 0.85 2.71 N/A N/A 3,164,644 2,695,644 38,332,112 36,455,636 2008-06-17 $6.48 $5.71 41.7% 12.0% 35.3% 28.8% 41.9% 4.4% 2.9% 182.4M -8.23B -55.2M 0.70 4.68 N/A N/A 4,212,236 2,957,276 38,906,280 36,760,248 2008-06-18 $6.38 $5.71 41.6% 11.9% 35.3% 28.5% 41.9% 3.3% 3.3% 120.1M -6.98B -54.6M 0.62 2.95 N/A N/A 4,296,180 2,654,400 38,869,012 36,909,208 2008-06-19 $6.46 $5.71 40.3% 11.6% 32.2% 25.8% 40.5% 3.7% 3.9% 174.7M -7.93B -54.3M 0.58 2.39 N/A N/A 5,367,208 3,117,408 39,091,276 36,883,560 2008-06-20 $6.26 $5.71 42.8% 12.3% 34.2% 31.3% 42.8% 3.0% 2.7% -188.7M -5.78B -53.5M 0.70 2.47 N/A N/A 5,777,044 4,037,348 39,106,144 36,701,812 2008-06-23 $6.18 $5.71 41.4% 11.9% 33.2% 28.1% 41.7% 3.2% 5.1% 84.1M -5.54B -52.4M 0.61 2.64 N/A N/A 3,585,232 2,191,196 31,662,344 30,601,732 2008-06-24 $6.19 $5.71 40.8% 11.7% 31.2% 26.9% 41.1% 2.5% 6.2% 87.0M -5.60B -52.6M 0.57 2.32 N/A N/A 2,745,904 1,551,620 32,333,532 31,109,176 2008-06-25 $6.34 $5.71 38.4% 11.0% 32.6% 21.4% 38.2% 2.4% 7.0% 117.6M -6.73B -51.8M 0.45 2.40 N/A N/A 3,213,700 1,457,176 32,645,564 31,180,436 2008-06-26 $6.01 $5.71 43.0% 12.3% 37.1% 31.5% 43.3% 2.5% 6.4% 60.7M -4.28B -51.9M 0.62 2.05 N/A N/A 4,413,612 2,727,704 32,829,384 31,405,864 2008-06-27 $6.07 $5.71 40.7% 11.7% 37.1% 26.7% 41.1% 3.9% 7.3% 67.9M -4.66B -51.3M 0.63 2.78 N/A N/A 4,000,248 2,530,556 32,829,384 31,405,864 2008-06-30 $5.98 $5.71 41.3% 11.8% 37.2% 27.9% 40.9% 3.0% 7.0% 70.0M -4.18B -50.8M 0.62 2.16 N/A N/A 2,976,680 1,836,212 34,488,384 31,911,124
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