AAPL Options History — January 2009 In January 2009, AAPL traded between $2.79 and $3.38. ATM implied volatility averaged 50.8%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 1.5% (HV 20d: 49.3%). Max pain ranged from $3.04 to $3.93. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.92.
Notable Days 2009-01-15 : Highest Volume — 11,006,968 contracts2009-01-15 : Largest IV spike — 25.7% change2009-01-20 : Highest IV Rank — 40.3%2009-01-14 : Largest Expected Move — 18.8%Monthly Statistics Metric Avg Min Max Open Close Price $3.17 $2.79 $3.38 $3.24 $3.22 Max Pain $3.25 $3.04 $3.93 $3.93 $3.21 ATM IV 50.8% 39.6% 65.1% 56.1% 42.0% Expected Move 15.6% 11.4% 18.8% 16.1% 12.1% HV 20d 49.3% 39.6% 54.0% 53.8% 54.0% HV 60d 67.0% 61.8% 75.7% 75.2% 62.1% IV Rank 23.2% 9.9% 40.3% 29.6% 12.8% IV Percentile 55.7% 22.6% 80.6% 65.9% 40.1% Term Structure -0.1% -4.5% 4.9% 3.7% 4.9% VWIV 55.2% 40.8% 65.4% 57.3% 43.0% Skew 25d 7.8% 5.3% 10.5% 7.2% 5.3% Skew 10d 15.9% 10.3% 21.4% 14.8% 10.3% Call IV 25d 51.4% 38.0% 61.5% 53.7% 39.9% Put IV 25d 59.2% 43.8% 70.7% 60.9% 45.2% Bid-Ask Spread % 3.63 2.03 5.81 2.03 2.18 Gamma HHI 0.13 0.09 0.27 0.12 0.13 Net GEX 2.8M -29.5M 32.9M -9.1M 21.0M Net DEX 1.22B -656.0M 2.79B 2.24B -192.3M Net VEX -14.0M -17.3M -10.7M -13.9M -16.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.92 0.63 1.48 0.68 1.16 Total Volume 5,558,396.2 2,576,756 11,006,968 4,270,700 5,508,552 Total OI 48,684,165.6 26,859,784 63,341,544 59,013,024 37,071,776
Daily Data (20 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 2009-01-02 $3.24 $3.93 56.1% 16.1% 53.8% 29.6% 57.3% 7.2% 3.7% -9.1M 2.24B -13.9M 0.68 2.03 N/A N/A 2,537,556 1,733,144 36,047,900 22,965,124 2009-01-05 $3.38 $3.21 58.8% 17.5% 53.1% 32.8% 61.1% 7.2% -4.5% -3.1M 1.69B -15.0M 0.66 4.48 N/A N/A 4,611,152 3,029,376 36,362,648 23,294,040 2009-01-06 $3.32 $3.39 54.4% 17.0% 52.6% 27.5% 60.2% 7.1% -4.3% -734.0K 1.86B -14.3M 0.63 3.54 N/A N/A 3,287,144 2,079,168 37,109,436 23,309,020 2009-01-07 $3.25 $3.39 54.8% 17.6% 48.1% 28.0% 61.7% 7.5% -4.0% -6.5M 2.13B -13.8M 0.86 4.49 N/A N/A 2,200,156 1,892,128 37,300,116 23,415,056 2009-01-08 $3.31 $3.39 49.1% 17.1% 48.7% 21.2% 60.8% 8.3% -3.5% 1.4M 1.76B -14.3M 0.84 4.59 N/A N/A 2,033,052 1,713,796 37,376,752 23,167,088 2009-01-09 $3.23 $3.39 45.8% 17.0% 48.9% 17.3% 58.8% 8.0% -2.8% -4.3M 2.09B -13.4M 1.08 5.05 N/A N/A 1,914,724 2,063,964 37,466,296 23,258,340 2009-01-12 $3.17 $3.39 52.4% 17.8% 48.1% 25.1% 63.6% 9.2% -2.9% -11.8M 2.32B -12.8M 1.17 3.99 N/A N/A 1,856,400 2,173,024 37,717,148 23,301,656 2009-01-13 $3.13 $3.39 49.7% 17.2% 46.1% 21.9% 60.2% 9.9% -1.9% -12.6M 2.35B -12.7M 1.48 5.02 N/A N/A 1,511,188 2,239,356 38,015,908 23,402,960 2009-01-14 $3.05 $3.39 49.1% 18.8% 45.4% 21.2% 64.8% 9.9% -2.8% -23.2M 2.55B -12.7M 0.74 5.81 N/A N/A 3,058,328 2,274,076 38,376,016 23,619,260 2009-01-15 $2.98 $3.21 61.7% 17.7% 45.6% 36.2% 62.3% 10.1% -1.8% -29.5M 2.79B -11.7M 0.87 3.72 N/A N/A 5,870,816 5,136,152 38,938,424 23,729,356 2009-01-16 $2.94 $3.21 61.9% 17.7% 39.6% 36.5% 60.6% 10.5% -2.4% 410.6K 2.62B -11.4M 0.96 3.53 N/A N/A 3,212,160 3,071,012 39,866,540 23,475,004 2009-01-20 $2.79 $3.21 65.1% 18.7% 42.9% 40.3% 65.4% 8.7% -2.2% -2.0M 889.3M -10.7M 0.88 2.95 N/A N/A 3,107,720 2,721,768 15,630,412 11,229,372 2009-01-21 $2.96 $3.04 60.3% 17.3% 48.4% 34.6% 61.9% 9.1% -1.9% 2.4M 608.7M -12.3M 0.86 2.57 N/A N/A 4,469,416 3,839,724 16,786,728 12,192,992 2009-01-22 $3.16 $3.04 46.4% 13.3% 51.3% 18.0% 48.7% 7.2% 4.4% 13.5M 99.1M -14.3M 1.01 3.90 N/A N/A 4,825,128 4,880,792 18,308,192 13,832,112 2009-01-23 $3.16 $3.04 42.1% 12.1% 51.2% 12.8% 43.3% 5.9% 4.0% 14.9M 113.5M -14.8M 0.83 3.51 N/A N/A 2,632,644 2,186,324 19,629,428 14,612,724 2009-01-26 $3.20 $3.04 43.9% 12.6% 51.0% 14.9% 45.3% 7.0% 3.7% 18.5M -51.8M -15.1M 0.99 3.32 N/A N/A 2,229,752 2,203,264 19,948,096 14,698,376 2009-01-27 $3.24 $3.04 41.4% 11.9% 51.1% 12.1% 42.3% 6.5% 4.1% 24.6M -216.9M -15.9M 0.98 3.17 N/A N/A 1,300,348 1,276,408 20,682,228 14,917,280 2009-01-28 $3.36 $3.04 39.6% 11.4% 52.5% 9.9% 40.8% 5.8% 3.6% 32.9M -656.0M -16.4M 0.75 2.05 N/A N/A 3,735,928 2,807,112 20,579,720 15,101,520 2009-01-29 $3.32 $3.04 40.5% 11.6% 52.8% 11.0% 41.9% 5.7% 4.0% 29.0M -541.1M -17.3M 0.95 2.71 N/A N/A 2,018,520 1,926,652 21,234,444 15,713,824 2009-01-30 $3.22 $3.21 42.0% 12.1% 54.0% 12.8% 43.0% 5.3% 4.9% 21.0M -192.3M -16.5M 1.16 2.18 N/A N/A 2,553,264 2,955,288 21,463,484 15,608,292
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