AAPL Options History — July 2008 In July 2008, AAPL traded between $5.51 and $6.41. ATM implied volatility averaged 44.3%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 1.9% (HV 20d: 42.4%). Max pain ranged from $5.71 to $6.07. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.66.
Notable Days 2008-07-22 : Highest Volume — 18,216,520 contracts2008-07-22 : Largest IV drop — 26.2% change2008-07-18 : Highest IV Rank — 58.0%2008-07-18 : Largest Expected Move — 15.8%Monthly Statistics Metric Avg Min Max Open Close Price $5.99 $5.51 $6.41 $6.24 $5.68 Max Pain $5.93 $5.71 $6.07 $5.71 $5.71 ATM IV 44.3% 36.6% 55.0% 38.1% 39.5% Expected Move 13.0% 10.5% 15.8% 10.9% 11.3% HV 20d 42.4% 40.6% 45.0% 40.8% 40.6% HV 60d 37.1% 35.0% 38.6% 37.8% 37.4% IV Rank 34.5% 17.5% 58.0% 20.9% 23.9% IV Percentile 53.2% 12.7% 90.1% 24.6% 32.1% Term Structure -1.2% -8.7% 8.6% 8.5% 0.4% VWIV 45.1% 36.4% 54.7% 39.2% 39.5% Skew 25d 5.2% 2.9% 7.3% 4.3% 3.4% Skew 10d 9.5% 6.5% 13.6% 8.6% 6.8% Call IV 25d 42.6% 34.6% 51.8% 36.7% 37.9% Put IV 25d 47.8% 38.2% 57.4% 41.0% 41.3% Bid-Ask Spread % 3.44 1.80 5.40 2.04 1.94 Gamma HHI 0.09 0.05 0.52 0.08 0.05 Net GEX 58.8M -258.5M 165.6M 125.3M 33.9M Net DEX -4.20B -7.86B -1.05B -6.33B -2.13B Net VEX -47.7M -50.8M -44.1M -50.7M -46.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.66 0.48 1.01 0.62 0.64 Total Volume 7,764,977.818 4,046,448 18,216,520 9,226,784 5,774,608 Total OI 63,884,751.636 47,656,700 71,143,548 66,840,620 59,900,932
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 2008-07-01 $6.24 $5.71 38.1% 10.9% 40.8% 20.9% 39.2% 4.3% 8.5% 125.3M -6.33B -50.7M 0.62 2.04 N/A N/A 5,694,976 3,531,808 34,780,396 32,060,224 2008-07-02 $6.01 $5.71 40.8% 11.7% 42.7% 26.7% 41.1% 2.9% 8.0% 70.3M -4.38B -50.6M 0.75 1.80 N/A N/A 3,890,544 2,935,772 34,828,332 32,394,516 2008-07-03 $6.08 $5.71 41.1% 11.8% 41.9% 27.4% 41.4% 3.5% 8.6% 82.7M -4.94B -50.8M 0.72 2.38 N/A N/A 2,355,836 1,690,612 35,160,636 32,828,012 2008-07-07 $6.26 $6.07 42.5% 14.1% 43.2% 30.5% 49.1% 5.9% -3.8% 127.7M -6.47B -50.0M 0.69 5.40 N/A N/A 4,391,100 3,023,104 35,336,056 32,843,692 2008-07-08 $6.41 $6.07 40.3% 13.7% 43.7% 25.7% 48.1% 6.7% -3.2% 165.6M -7.86B -49.9M 0.65 3.83 N/A N/A 4,651,948 3,035,732 35,389,592 33,145,112 2008-07-09 $6.22 $6.07 45.3% 14.6% 44.0% 36.7% 50.3% 6.1% -4.8% 107.8M -6.06B -50.0M 0.69 4.62 N/A N/A 4,086,348 2,831,528 35,178,360 33,411,560 2008-07-10 $6.31 $6.07 50.9% 14.6% 43.5% 49.1% 50.7% 6.4% -4.4% 133.1M -6.80B -50.3M 0.59 4.82 N/A N/A 4,232,396 2,507,904 35,656,516 33,739,832 2008-07-11 $6.16 $6.07 50.7% 14.5% 41.5% 48.6% 50.9% 6.8% -4.3% 92.6M -5.44B -49.3M 0.48 4.88 N/A N/A 4,588,808 2,205,476 35,813,232 34,087,060 2008-07-14 $6.21 $6.07 51.5% 14.8% 41.6% 50.4% 51.3% 7.1% -5.0% 120.6M -6.00B -48.4M 0.55 5.24 N/A N/A 4,686,612 2,576,140 36,368,500 34,180,020 2008-07-15 $6.06 $6.07 52.7% 15.1% 41.4% 53.1% 52.2% 7.2% -5.7% 65.7M -4.40B -47.0M 0.58 3.99 N/A N/A 4,651,192 2,710,792 36,625,428 34,248,788 2008-07-16 $6.17 $6.07 49.1% 14.1% 40.8% 45.2% 49.7% 7.3% -3.7% 89.0M -5.40B -46.8M 0.53 4.56 N/A N/A 5,253,416 2,764,468 36,560,944 34,247,864 2008-07-17 $6.14 $6.07 50.7% 14.5% 40.6% 48.7% 50.0% 7.3% -5.4% 80.0M -5.23B -45.9M 0.73 3.19 N/A N/A 4,306,456 3,149,524 36,729,504 34,256,068 2008-07-18 $5.90 $6.07 55.0% 15.8% 42.3% 58.0% 54.7% 5.7% -8.7% -258.5M -2.92B -45.0M 1.01 2.91 N/A N/A 4,823,728 4,895,996 36,658,468 34,485,080 2008-07-21 $5.94 $6.07 51.5% 14.8% 41.2% 50.3% 50.8% 6.7% -6.9% 29.3M -2.70B -44.3M 0.68 3.53 N/A N/A 7,077,364 4,823,420 23,547,832 24,108,868 2008-07-22 $5.79 $5.89 38.0% 10.9% 41.9% 20.6% 37.9% 3.5% 1.5% 20.7M -2.06B -44.1M 0.70 3.48 N/A N/A 10,690,176 7,526,344 25,853,324 25,887,596 2008-07-23 $5.94 $5.89 36.6% 10.5% 43.2% 17.5% 36.4% 3.6% 1.3% 67.6M -3.60B -47.0M 0.59 2.97 N/A N/A 5,867,540 3,439,744 28,081,816 27,445,880 2008-07-24 $5.68 $5.89 40.7% 11.7% 44.6% 26.5% 40.7% 3.5% 0.2% 23.8M -1.96B -47.3M 0.67 2.96 N/A N/A 4,767,560 3,172,456 28,622,832 27,743,912 2008-07-25 $5.79 $5.89 37.2% 10.7% 41.7% 18.9% 37.2% 3.6% 1.6% 46.8M -2.65B -47.4M 0.58 2.57 N/A N/A 2,869,720 1,675,912 29,015,420 27,965,812 2008-07-28 $5.51 $5.71 43.8% 12.5% 44.5% 33.3% 43.5% 3.7% -1.1% 2.0M -1.05B -45.8M 0.71 3.83 N/A N/A 4,207,840 2,994,040 29,434,300 28,226,520 2008-07-29 $5.61 $5.71 40.9% 11.7% 45.0% 27.1% 40.6% 4.0% -0.3% 22.4M -1.64B -46.4M 0.68 2.46 N/A N/A 2,890,300 1,973,132 30,443,420 28,729,484 2008-07-30 $5.71 $5.71 37.4% 10.7% 42.5% 19.2% 37.6% 4.2% 1.4% 45.7M -2.38B -46.7M 0.68 2.33 N/A N/A 3,327,828 2,279,312 30,717,848 28,724,948 2008-07-31 $5.68 $5.71 39.5% 11.3% 40.6% 23.9% 39.5% 3.4% 0.4% 33.9M -2.13B -46.6M 0.64 1.94 N/A N/A 3,526,796 2,247,812 30,875,656 29,025,276
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