AAPL Options History — November 2008 In November 2008, AAPL traded between $2.87 and $3.96. ATM implied volatility averaged 75.1%, placing in the 52.2% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded below realized volatility by 5.6% (HV 20d: 80.7%). Max pain ranged from $3.21 to $3.75. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.85.
Notable Days 2008-11-13 : Highest Volume — 9,333,520 contracts2008-11-24 : Largest IV drop — 14.3% change2008-11-20 : Highest IV Rank — 78.1%2008-11-20 : Largest Expected Move — 27.7%Monthly Statistics Metric Avg Min Max Open Close Price $3.36 $2.87 $3.96 $3.82 $3.31 Max Pain $3.54 $3.21 $3.75 $3.57 $3.39 ATM IV 75.1% 59.9% 96.8% 66.8% 69.4% Expected Move 21.4% 17.2% 27.7% 19.1% 19.9% HV 20d 80.7% 71.5% 95.6% 95.6% 77.5% HV 60d 84.7% 80.7% 90.7% 80.7% 90.6% IV Rank 52.2% 34.1% 78.1% 42.3% 45.4% IV Percentile 91.1% 82.5% 96.8% 90.1% 86.9% Term Structure 0.4% -1.2% 3.8% -0.1% 3.8% VWIV 74.9% 61.3% 94.3% 66.7% 71.9% Skew 25d 13.0% 8.8% 16.3% 10.3% 13.4% Skew 10d 26.2% 17.3% 34.4% 21.9% 25.9% Call IV 25d 68.9% 55.3% 88.8% 61.5% 64.8% Put IV 25d 81.9% 65.5% 104.9% 71.8% 78.2% Bid-Ask Spread % 3.58 2.80 5.50 3.51 3.15 Gamma HHI 0.07 0.04 0.12 0.05 0.07 Net GEX -12.6M -31.8M 15.2M 9.7M -13.4M Net DEX 2.24B -73.8M 3.66B 469.8M 2.12B Net VEX -21.4M -27.4M -17.5M -27.3M -19.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.85 0.55 1.25 1.04 0.99 Total Volume 5,627,050.947 1,192,968 9,333,520 4,188,184 1,192,968 Total OI 65,710,691.789 56,119,644 71,242,612 64,907,752 58,123,380
Daily Data (19 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 2008-11-03 $3.82 $3.57 66.8% 19.1% 95.6% 42.3% 66.7% 10.3% -0.1% 9.7M 469.8M -27.3M 1.04 3.51 N/A N/A 2,053,128 2,135,056 38,513,048 26,394,704 2008-11-04 $3.96 $3.57 59.9% 17.2% 88.5% 34.1% 61.3% 10.2% 1.0% 15.2M -73.8M -27.4M 0.75 2.98 N/A N/A 2,436,280 1,834,784 38,544,632 26,654,964 2008-11-05 $3.69 $3.57 64.1% 18.4% 93.2% 39.1% 64.3% 8.8% -0.8% -921.0K 1.22B -25.0M 0.66 3.38 N/A N/A 3,025,540 2,007,264 38,910,284 26,938,996 2008-11-06 $3.54 $3.57 69.6% 20.0% 94.6% 45.7% 70.9% 10.5% -0.8% -6.2M 1.81B -23.9M 0.83 3.50 N/A N/A 3,573,472 2,968,224 39,244,044 27,041,476 2008-11-07 $3.51 $3.75 66.4% 19.4% 89.6% 41.8% 67.7% 12.2% 0.1% -7.3M 2.02B -23.0M 0.69 3.27 N/A N/A 3,114,776 2,141,916 39,730,208 27,339,676 2008-11-10 $3.42 $3.75 75.1% 21.1% 75.8% 52.3% 71.5% 13.0% -1.2% -11.5M 2.31B -21.6M 0.55 2.80 N/A N/A 4,039,532 2,204,860 39,786,096 27,186,684 2008-11-11 $3.38 $3.75 75.3% 20.9% 73.4% 52.5% 72.9% 13.0% -0.3% -12.8M 2.42B -21.1M 1.18 3.24 N/A N/A 2,328,312 2,748,368 39,944,436 27,181,840 2008-11-12 $3.22 $3.57 82.4% 22.7% 72.4% 60.9% 77.8% 13.6% -1.0% -21.2M 2.90B -20.0M 0.86 2.86 N/A N/A 2,713,956 2,343,824 40,031,292 27,414,324 2008-11-13 $3.44 $3.57 72.6% 20.8% 75.3% 49.3% 73.1% 12.8% -0.0% -9.3M 2.11B -21.8M 0.87 4.60 N/A N/A 4,997,384 4,336,136 40,358,164 27,474,020 2008-11-14 $3.22 $3.57 77.2% 22.1% 77.3% 54.7% 75.8% 12.3% 0.1% -19.8M 2.85B -20.4M 0.90 4.12 N/A N/A 3,909,080 3,507,896 40,915,336 27,744,136 2008-11-17 $3.15 $3.57 79.8% 22.9% 77.4% 57.9% 79.5% 12.8% -1.1% -24.5M 3.10B -19.2M 0.86 3.78 N/A N/A 3,275,244 2,811,060 41,501,656 27,968,500 2008-11-18 $3.21 $3.57 79.2% 22.7% 73.5% 57.2% 79.8% 12.5% 0.7% -24.7M 2.89B -20.2M 0.74 3.38 N/A N/A 3,619,112 2,675,820 41,659,856 28,350,448 2008-11-19 $3.08 $3.57 84.8% 24.3% 71.5% 63.8% 83.0% 13.9% -0.2% -28.8M 3.26B -19.2M 1.12 3.17 N/A N/A 3,317,888 3,703,280 42,345,856 28,415,520 2008-11-20 $2.87 $3.57 96.8% 27.7% 74.5% 78.1% 94.3% 16.0% -0.4% -31.8M 3.66B -17.5M 1.25 5.50 N/A N/A 3,479,280 4,355,232 42,541,492 28,404,068 2008-11-21 $2.95 $3.39 86.4% 24.8% 75.5% 65.7% 88.1% 16.3% 0.7% -14.2M 3.55B -17.6M 0.77 3.76 N/A N/A 3,008,012 2,315,880 43,069,740 28,172,872 2008-11-24 $3.32 $3.39 74.0% 21.2% 86.2% 50.9% 77.8% 15.1% 1.6% -12.6M 2.02B -20.5M 0.69 3.74 N/A N/A 4,195,912 2,878,456 33,595,072 22,524,572 2008-11-25 $3.24 $3.21 76.4% 21.9% 81.1% 53.7% 75.5% 15.0% 2.4% -12.7M 2.13B -19.9M 0.78 4.04 N/A N/A 2,393,468 1,876,504 34,109,656 23,045,288 2008-11-26 $3.39 $3.39 70.5% 20.2% 81.0% 46.7% 71.5% 14.9% 3.4% -11.9M 1.83B -20.7M 0.67 3.20 N/A N/A 2,036,300 1,359,764 34,129,508 23,197,300 2008-11-28 $3.31 $3.39 69.4% 19.9% 77.5% 45.4% 71.9% 13.4% 3.8% -13.4M 2.12B -19.9M 0.99 3.15 N/A N/A 599,592 593,376 34,596,520 23,526,860
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