AAPL Options History — September 2008 In September 2008, AAPL traded between $3.76 and $5.96. ATM implied volatility averaged 55.4%, placing in the 51.8% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 12.5% (HV 20d: 43.0%). Max pain ranged from $5.00 to $6.07. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.72.
Notable Days 2008-09-29 : Highest Volume — 15,383,480 contracts2008-09-29 : Largest IV spike — 80.8% change2008-09-29 : Highest IV Rank — 100.0%2008-09-29 : Largest Expected Move — 33.0%Monthly Statistics Metric Avg Min Max Open Close Price $5.04 $3.76 $5.96 $5.94 $4.06 Max Pain $5.53 $5.00 $6.07 $6.07 $5.00 ATM IV 55.4% 39.5% 115.1% 39.5% 85.7% Expected Move 15.9% 11.3% 33.0% 11.3% 24.6% HV 20d 43.0% 24.5% 93.4% 31.4% 93.4% HV 60d 42.7% 37.1% 62.0% 38.2% 62.0% IV Rank 51.8% 23.9% 100.0% 23.9% 65.9% IV Percentile 77.4% 36.1% 100.0% 36.1% 99.6% Term Structure -1.4% -17.3% 3.9% 1.6% -7.0% VWIV 55.2% 38.9% 108.6% 38.9% 85.5% Skew 25d 6.6% 3.0% 19.3% 3.7% 13.9% Skew 10d 12.1% 5.9% 33.4% 7.5% 24.6% Call IV 25d 52.0% 37.7% 100.8% 37.7% 77.9% Put IV 25d 58.6% 41.4% 120.2% 41.4% 91.8% Bid-Ask Spread % 3.87 1.92 8.00 1.92 4.27 Gamma HHI 0.06 0.05 0.07 0.06 0.06 Net GEX -7.4M -50.6M 61.7M 51.4M -22.9M Net DEX 800.3M -3.17B 3.92B -2.94B 3.15B Net VEX -36.2M -42.8M -27.7M -42.6M -30.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.28 1.36 0.63 1.36 Total Volume 8,687,080 5,314,344 15,383,480 6,224,764 10,548,972 Total OI 61,171,716 56,063,952 67,829,468 56,869,008 65,291,436
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 2008-09-02 $5.94 $6.07 39.5% 11.3% 31.4% 23.9% 38.9% 3.7% 1.6% 51.4M -2.94B -42.6M 0.63 1.92 N/A N/A 3,812,564 2,412,200 28,981,400 27,887,608 2008-09-03 $5.96 $6.07 40.6% 11.6% 27.0% 26.3% 40.1% 4.9% 1.2% 61.7M -3.17B -42.8M 0.56 2.43 N/A N/A 3,407,824 1,906,520 29,532,076 28,078,932 2008-09-04 $5.76 $5.89 44.0% 12.6% 28.9% 33.9% 43.6% 3.0% -0.3% 25.0M -1.85B -41.8M 0.48 2.06 N/A N/A 4,491,984 2,177,868 29,825,656 27,995,240 2008-09-05 $5.72 $5.89 41.0% 12.2% 28.9% 27.3% 43.0% 3.1% 3.9% 20.2M -1.56B -41.1M 0.63 3.34 N/A N/A 3,968,076 2,504,152 30,483,628 28,034,104 2008-09-08 $5.64 $5.89 44.0% 12.4% 25.7% 33.9% 43.4% 3.8% 3.2% 4.9M -1.00B -39.8M 0.28 4.45 N/A N/A 8,961,120 2,500,036 30,672,152 27,943,160 2008-09-09 $5.42 $5.89 47.1% 13.0% 26.8% 40.6% 45.7% 4.8% 2.2% -25.7M 429.5M -38.4M 0.86 3.91 N/A N/A 5,653,032 4,839,660 32,108,636 28,267,568 2008-09-10 $5.41 $5.71 43.2% 12.7% 25.3% 32.0% 44.8% 4.5% 2.0% -19.4M 279.3M -38.1M 0.82 3.33 N/A N/A 5,145,308 4,214,476 33,053,160 28,060,676 2008-09-11 $5.45 $5.71 44.0% 12.6% 24.5% 33.7% 45.2% 4.5% 1.7% -3.8M -65.2M -38.3M 0.77 4.63 N/A N/A 3,858,932 2,977,380 33,696,544 28,288,736 2008-09-12 $5.32 $5.71 45.6% 13.1% 25.0% 37.4% 45.4% 4.8% 0.8% -15.7M 719.7M -37.3M 0.60 3.57 N/A N/A 4,835,824 2,887,276 34,131,552 28,018,256 2008-09-15 $5.01 $5.71 50.5% 14.5% 30.5% 48.1% 50.0% 4.0% -1.8% -41.7M 2.28B -34.2M 0.38 3.36 N/A N/A 6,396,936 2,449,020 34,822,788 28,110,880 2008-09-16 $5.00 $5.71 48.9% 14.0% 30.5% 44.6% 49.3% 5.5% -0.0% -37.8M 2.37B -34.3M 0.70 5.60 N/A N/A 6,153,896 4,293,464 35,660,940 27,957,888 2008-09-17 $4.57 $5.54 62.4% 17.9% 41.3% 74.3% 61.3% 10.9% -8.2% -50.6M 3.92B -31.3M 0.60 4.52 N/A N/A 7,803,936 4,661,328 36,061,592 28,254,660 2008-09-18 $4.79 $5.54 54.3% 15.6% 46.1% 56.5% 56.4% 5.5% -3.4% -28.5M 2.58B -34.7M 0.66 8.00 N/A N/A 8,043,336 5,299,896 38,392,144 28,093,660 2008-09-19 $5.03 $5.18 52.7% 15.1% 51.2% 53.0% 52.8% 6.6% -3.1% 9.3M 577.4M -37.1M 0.62 2.15 N/A N/A 5,429,564 3,376,520 39,541,880 28,287,588 2008-09-22 $4.68 $5.18 60.7% 17.4% 54.8% 70.5% 59.3% 6.2% -0.1% -9.8M 1.23B -33.7M 0.79 5.24 N/A N/A 3,175,648 2,507,092 31,533,628 24,530,324 2008-09-23 $4.53 $5.18 62.8% 18.0% 55.1% 75.2% 61.5% 5.6% -2.3% -18.4M 1.97B -32.5M 0.76 2.36 N/A N/A 4,454,940 3,383,632 32,894,596 25,171,636 2008-09-24 $4.60 $5.18 59.4% 17.0% 55.6% 67.8% 59.9% 7.0% -0.6% -12.1M 1.59B -34.0M 1.23 2.97 N/A N/A 3,021,732 3,709,048 34,241,368 25,697,504 2008-09-25 $4.71 $5.00 58.9% 16.9% 56.9% 66.6% 59.1% 8.8% -1.0% -3.7M 1.05B -35.1M 0.95 3.25 N/A N/A 2,962,232 2,804,228 34,854,484 26,028,100 2008-09-26 $4.58 $5.00 63.7% 18.3% 57.0% 77.2% 64.5% 7.8% -1.6% -15.2M 1.54B -34.9M 0.77 3.40 N/A N/A 3,406,284 2,609,264 35,114,324 26,628,672 2008-09-29 $3.76 $5.00 115.1% 33.0% 86.3% 100.0% 108.6% 19.3% -17.3% -23.2M 3.72B -27.7M 0.75 6.46 N/A N/A 8,772,764 6,610,716 35,632,212 26,744,648 2008-09-30 $4.06 $5.00 85.7% 24.6% 93.4% 65.9% 85.5% 13.9% -7.0% -22.9M 3.15B -30.7M 1.36 4.27 N/A N/A 4,479,104 6,069,868 37,639,168 27,652,268
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