AAPL Options History — August 2008 In August 2008, AAPL traded between $5.47 and $6.40. ATM implied volatility averaged 34.9%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 3.7% (HV 20d: 38.6%). Max pain ranged from $5.54 to $6.07. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.75.
Notable Days 2008-08-11 : Highest Volume — 11,979,268 contracts2008-08-04 : Largest IV spike — 12.1% change2008-08-04 : Highest IV Rank — 24.5%2008-08-04 : Largest Expected Move — 11.4%Monthly Statistics Metric Avg Min Max Open Close Price $6.11 $5.47 $6.40 $5.59 $6.05 Max Pain $5.89 $5.54 $6.07 $5.71 $6.07 ATM IV 34.9% 31.3% 39.8% 35.5% 34.4% Expected Move 10.2% 9.0% 11.4% 10.2% 9.9% HV 20d 38.6% 30.6% 44.0% 40.4% 31.6% HV 60d 38.4% 37.3% 39.5% 37.3% 38.2% IV Rank 13.7% 6.0% 24.5% 15.1% 12.8% IV Percentile 9.7% 0.4% 33.7% 9.1% 7.9% Term Structure 2.7% 0.9% 4.7% 3.6% 3.9% VWIV 35.8% 31.6% 39.9% 35.2% 34.3% Skew 25d 3.1% 2.1% 4.4% 2.1% 3.0% Skew 10d 5.6% 4.1% 7.8% 4.4% 6.1% Call IV 25d 34.1% 30.1% 38.1% 34.4% 33.0% Put IV 25d 37.2% 33.2% 41.8% 36.5% 36.1% Bid-Ask Spread % 2.57 1.89 4.74 2.35 2.19 Gamma HHI 0.08 0.05 0.14 0.05 0.06 Net GEX 114.5M -8.2M 205.9M 15.1M 77.2M Net DEX -5.02B -8.32B -657.3M -1.51B -3.81B Net VEX -44.4M -45.6M -42.7M -45.1M -42.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.75 0.54 1.04 0.66 0.67 Total Volume 5,385,980 2,622,032 11,979,268 4,724,076 4,577,440 Total OI 58,592,657.333 51,983,484 64,808,380 60,485,572 56,201,040
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 2008-08-01 $5.59 $5.71 35.5% 10.2% 40.4% 15.1% 35.2% 2.1% 3.6% 15.1M -1.51B -45.1M 0.66 2.35 N/A N/A 2,843,120 1,880,956 31,254,496 29,231,076 2008-08-04 $5.47 $5.71 39.8% 11.4% 38.9% 24.5% 39.9% 3.7% 1.3% -8.2M -657.3M -43.5M 1.04 4.74 N/A N/A 2,479,344 2,578,296 31,538,780 29,361,304 2008-08-05 $5.74 $5.54 38.6% 11.1% 42.0% 22.0% 38.8% 4.4% 1.4% 56.6M -2.60B -45.3M 0.70 2.91 N/A N/A 3,841,628 2,692,340 31,583,636 29,458,464 2008-08-06 $5.86 $5.71 37.6% 11.0% 42.0% 19.7% 38.8% 3.7% 0.9% 92.2M -3.67B -45.3M 0.63 2.74 N/A N/A 5,035,100 3,150,784 31,686,256 29,701,308 2008-08-07 $5.84 $5.71 35.5% 10.9% 41.6% 15.2% 37.9% 3.9% 1.4% 108.0M -3.66B -45.5M 0.87 3.45 N/A N/A 3,058,580 2,653,056 32,426,268 29,851,192 2008-08-08 $6.06 $5.71 32.6% 10.4% 43.2% 8.7% 36.9% 3.9% 1.8% 173.9M -5.51B -45.5M 0.67 2.62 N/A N/A 4,141,200 2,761,640 32,559,688 29,996,624 2008-08-11 $6.20 $5.71 34.5% 10.6% 44.0% 13.1% 37.2% 3.1% 1.5% 195.5M -6.77B -44.8M 0.65 2.35 N/A N/A 7,282,240 4,697,028 32,372,928 30,190,888 2008-08-12 $6.31 $5.89 35.6% 10.7% 43.4% 15.4% 37.3% 2.7% 1.4% 201.9M -7.69B -45.4M 0.90 2.37 N/A N/A 4,101,328 3,708,572 32,508,252 30,891,252 2008-08-13 $6.40 $5.89 33.7% 10.8% 43.2% 11.1% 38.0% 3.0% 1.6% 202.5M -8.26B -45.4M 0.55 2.95 N/A N/A 5,393,360 2,948,372 32,401,320 31,187,184 2008-08-14 $6.40 $5.89 36.8% 10.5% 43.1% 17.9% 37.3% 3.8% 2.9% 205.9M -8.32B -45.6M 0.73 1.99 N/A N/A 4,315,416 3,149,188 32,747,652 31,464,104 2008-08-15 $6.28 $5.89 35.3% 10.1% 41.2% 14.8% 35.4% 2.4% 2.6% 119.1M -7.22B -44.7M 0.70 2.38 N/A N/A 4,688,516 3,300,332 32,956,280 31,852,100 2008-08-18 $6.26 $5.89 35.4% 10.2% 41.2% 15.0% 35.6% 2.7% 3.1% 102.3M -5.26B -44.5M 0.98 2.79 N/A N/A 1,915,592 1,885,716 26,568,528 25,414,956 2008-08-19 $6.20 $5.89 35.9% 10.3% 40.1% 15.9% 36.0% 3.0% 3.1% 94.4M -4.84B -44.3M 0.81 2.33 N/A N/A 1,710,800 1,383,536 26,931,996 25,829,664 2008-08-20 $6.28 $6.07 34.0% 9.7% 39.4% 11.7% 34.1% 2.6% 3.7% 110.8M -5.37B -44.3M 0.88 2.05 N/A N/A 1,396,668 1,225,364 27,169,072 26,080,404 2008-08-21 $6.22 $6.07 33.4% 9.6% 35.6% 10.4% 33.6% 2.7% 3.8% 105.8M -5.01B -43.9M 0.65 2.42 N/A N/A 1,904,672 1,229,340 27,388,732 26,221,860 2008-08-22 $6.31 $6.07 32.2% 9.2% 35.4% 7.8% 32.3% 2.5% 3.7% 125.4M -5.69B -43.3M 0.86 2.02 N/A N/A 1,478,848 1,277,864 27,634,572 26,486,180 2008-08-25 $6.16 $6.07 35.5% 10.2% 31.3% 15.2% 36.3% 2.7% 2.8% 97.2M -4.65B -43.5M 0.89 2.55 N/A N/A 1,901,648 1,692,432 27,825,952 26,637,212 2008-08-26 $6.20 $6.07 32.9% 9.4% 31.0% 9.5% 33.4% 3.0% 3.8% 104.2M -4.91B -43.3M 0.66 2.82 N/A N/A 1,772,400 1,160,992 28,172,620 27,141,212 2008-08-27 $6.24 $6.07 31.3% 9.0% 30.6% 6.0% 31.6% 3.0% 4.7% 116.7M -5.12B -43.1M 0.75 2.15 N/A N/A 1,670,676 1,260,616 28,333,844 27,283,732 2008-08-28 $6.21 $6.07 31.4% 9.0% 30.6% 6.1% 31.7% 3.5% 4.2% 108.2M -4.81B -43.0M 0.54 1.89 N/A N/A 1,918,644 1,041,936 28,368,844 27,534,332 2008-08-29 $6.05 $6.07 34.4% 9.9% 31.6% 12.8% 34.3% 3.0% 3.9% 77.2M -3.81B -42.7M 0.67 2.19 N/A N/A 2,741,676 1,835,764 28,551,404 27,649,636
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