AAPL Options History — December 2008 In December 2008, AAPL traded between $3.04 and $3.57. ATM implied volatility averaged 63.7%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded below realized volatility by 7.0% (HV 20d: 70.7%). Max pain ranged from $3.21 to $4.29. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.93.
Notable Days 2008-12-17 : Highest Volume — 9,563,148 contracts2008-12-05 : Largest IV drop — 13.1% change2008-12-01 : Highest IV Rank — 58.9%2008-12-01 : Largest Expected Move — 23.1%Monthly Statistics Metric Avg Min Max Open Close Price $3.27 $3.04 $3.57 $3.18 $3.05 Max Pain $3.99 $3.21 $4.29 $3.39 $3.93 ATM IV 63.7% 55.3% 80.7% 80.7% 58.5% Expected Move 18.4% 15.8% 23.1% 23.1% 16.8% HV 20d 70.7% 50.4% 80.4% 78.0% 50.4% HV 60d 87.5% 76.7% 93.1% 90.8% 76.7% IV Rank 38.6% 28.5% 58.9% 58.9% 32.5% IV Percentile 76.6% 66.7% 91.7% 91.7% 68.3% Term Structure 3.4% 0.4% 5.8% 1.4% 4.2% VWIV 64.8% 54.8% 80.5% 80.5% 58.6% Skew 25d 10.6% 6.6% 17.5% 14.5% 6.6% Skew 10d 20.7% 12.9% 33.1% 28.7% 12.9% Call IV 25d 59.4% 52.1% 74.4% 74.4% 56.4% Put IV 25d 70.0% 59.4% 88.9% 88.9% 63.0% Bid-Ask Spread % 2.73 1.82 3.64 3.16 1.82 Gamma HHI 0.11 0.06 0.21 0.07 0.16 Net GEX -17.3M -37.4M -2.6M -14.5M -17.3M Net DEX 2.28B 1.10B 3.00B 2.37B 2.74B Net VEX -16.8M -20.7M -12.8M -18.4M -12.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.93 0.54 1.50 1.09 0.57 Total Volume 4,073,035.273 1,200,864 9,563,148 3,058,552 3,201,044 Total OI 60,017,130.727 55,407,744 64,570,492 58,045,820 58,489,844
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 2008-12-01 $3.18 $3.39 80.7% 23.1% 78.0% 58.9% 80.5% 14.5% 1.4% -14.5M 2.37B -18.4M 1.09 3.16 N/A N/A 1,464,456 1,594,096 34,574,708 23,471,112 2008-12-02 $3.30 $3.21 76.7% 22.0% 79.9% 54.2% 77.4% 17.5% 1.1% -13.5M 2.12B -19.0M 1.24 3.31 N/A N/A 1,886,332 2,341,136 34,823,404 23,607,696 2008-12-03 $3.42 $3.21 68.9% 19.7% 79.8% 44.8% 73.0% 17.1% 3.8% -11.9M 1.75B -20.2M 1.10 2.90 N/A N/A 2,391,732 2,622,676 35,107,716 24,088,316 2008-12-04 $3.26 $3.21 73.5% 21.1% 77.7% 50.3% 72.4% 11.5% 3.4% -14.7M 2.12B -19.4M 0.77 2.89 N/A N/A 1,909,516 1,479,352 35,555,744 24,305,680 2008-12-05 $3.36 $4.29 63.8% 20.2% 77.4% 38.8% 71.0% 14.1% 3.5% -10.7M 1.89B -19.7M 1.50 3.35 N/A N/A 1,044,288 1,562,260 35,800,128 24,193,288 2008-12-08 $3.56 $4.29 64.8% 19.0% 80.4% 39.9% 66.3% 12.8% 1.8% -4.6M 1.20B -20.3M 0.90 2.70 N/A N/A 2,471,728 2,233,280 35,912,324 24,542,280 2008-12-09 $3.57 $4.29 66.0% 19.4% 79.8% 41.4% 67.2% 12.5% 1.7% -2.6M 1.10B -20.7M 1.11 2.94 N/A N/A 2,009,280 2,222,304 36,356,068 24,820,348 2008-12-10 $3.51 $4.29 63.5% 19.1% 80.0% 38.3% 68.6% 12.7% 1.9% -7.7M 1.49B -19.9M 0.78 3.00 N/A N/A 2,819,292 2,211,776 36,515,220 25,137,784 2008-12-11 $3.39 $4.29 68.5% 19.6% 78.8% 44.4% 67.4% 11.2% 1.3% -14.7M 1.93B -19.0M 1.12 2.75 N/A N/A 2,080,064 2,337,440 36,799,168 25,631,088 2008-12-12 $3.51 $4.29 62.9% 18.0% 75.9% 37.6% 65.3% 10.3% 3.7% -7.7M 1.51B -19.4M 0.57 2.94 N/A N/A 3,169,264 1,793,904 36,822,520 25,498,676 2008-12-15 $3.38 $4.29 67.4% 19.3% 73.1% 43.0% 68.4% 11.1% 1.9% -19.4M 2.09B -17.9M 1.34 2.04 N/A N/A 1,502,172 2,012,920 36,853,656 25,979,968 2008-12-16 $3.41 $4.29 62.0% 17.8% 72.5% 36.6% 64.9% 10.4% 3.4% -17.2M 2.08B -17.4M 1.40 3.64 N/A N/A 1,723,232 2,404,920 36,925,364 26,069,708 2008-12-17 $3.18 $4.29 65.6% 18.8% 76.5% 40.9% 65.5% 9.6% 0.4% -36.5M 3.00B -15.7M 0.67 2.76 N/A N/A 5,726,896 3,836,252 37,029,244 26,733,364 2008-12-18 $3.19 $4.29 59.4% 17.0% 75.0% 33.5% 60.2% 7.9% 4.6% -28.9M 2.86B -15.3M 0.65 2.60 N/A N/A 2,803,864 1,818,544 37,776,312 26,318,124 2008-12-19 $3.21 $4.11 55.3% 15.8% 70.1% 28.5% 55.2% 6.6% 5.4% -37.4M 2.85B -14.9M 0.77 2.14 N/A N/A 2,833,712 2,176,356 37,971,864 26,598,628 2008-12-22 $3.06 $4.11 58.5% 16.8% 72.2% 32.4% 58.8% 8.7% 5.8% -22.6M 2.99B -13.4M 0.94 2.66 N/A N/A 2,447,116 2,290,456 33,086,060 22,321,684 2008-12-23 $3.08 $4.11 56.3% 16.1% 57.7% 29.7% 56.2% 7.7% 5.8% -20.6M 2.82B -13.8M 0.93 2.46 N/A N/A 1,333,696 1,233,904 33,903,128 22,508,220 2008-12-24 $3.04 $3.93 56.2% 16.1% 57.4% 29.7% 56.5% 7.8% 4.9% -20.6M 2.89B -13.3M 0.72 2.88 N/A N/A 895,860 644,644 34,171,340 22,522,304 2008-12-26 $3.06 $3.93 55.4% 15.9% 54.8% 28.7% 54.8% 7.2% 5.7% -20.2M 2.81B -13.3M 0.54 2.55 N/A N/A 778,064 422,800 34,366,528 22,572,564 2008-12-29 $3.09 $3.93 58.6% 16.8% 54.5% 32.5% 57.7% 7.4% 4.3% -19.0M 2.72B -13.2M 0.71 2.43 N/A N/A 1,411,396 1,007,804 34,550,208 22,539,804 2008-12-30 $3.08 $3.93 58.6% 16.8% 52.6% 32.5% 59.9% 8.0% 3.9% -19.0M 2.78B -13.0M 1.01 2.11 N/A N/A 2,712,752 2,744,196 34,828,668 22,697,024 2008-12-31 $3.05 $3.93 58.5% 16.8% 50.4% 32.5% 58.6% 6.6% 4.2% -17.3M 2.74B -12.8M 0.57 1.82 N/A N/A 2,037,308 1,163,736 35,613,620 22,876,224
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