AAPL Options History — February 2009 In February 2009, AAPL traded between $3.11 and $3.66. ATM implied volatility averaged 46.4%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 1.4% (HV 20d: 47.8%). Max pain ranged from $3.21 to $3.39. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.87.
Notable Days 2009-02-19 : Highest Volume — 7,832,608 contracts2009-02-24 : Largest IV drop — 11.6% change2009-02-23 : Highest IV Rank — 27.3%2009-02-23 : Largest Expected Move — 15.5%Monthly Statistics Metric Avg Min Max Open Close Price $3.36 $3.11 $3.66 $3.27 $3.19 Max Pain $3.31 $3.21 $3.39 $3.21 $3.21 ATM IV 46.4% 40.6% 54.2% 43.0% 50.7% Expected Move 13.6% 11.7% 15.5% 12.3% 14.5% HV 20d 47.8% 41.6% 52.3% 49.7% 45.1% HV 60d 56.4% 49.6% 61.7% 61.7% 49.6% IV Rank 18.0% 11.1% 27.3% 13.9% 23.1% IV Percentile 51.4% 27.8% 65.9% 44.0% 60.7% Term Structure 1.4% -0.9% 4.9% 4.9% -0.1% VWIV 48.0% 42.2% 53.8% 43.4% 50.9% Skew 25d 6.4% 3.8% 7.8% 4.8% 6.8% Skew 10d 13.1% 7.1% 16.8% 8.9% 13.6% Call IV 25d 44.7% 39.6% 50.7% 40.5% 47.9% Put IV 25d 51.1% 43.9% 58.0% 45.3% 54.7% Bid-Ask Spread % 2.98 2.09 3.79 2.29 2.39 Gamma HHI 0.14 0.13 0.17 0.13 0.13 Net GEX 21.0M -15.0M 58.4M 22.8M -4.4M Net DEX -438.9M -2.09B 720.8M -353.8M 476.1M Net VEX -17.3M -18.8M -15.8M -16.9M -16.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.57 1.08 0.97 1.07 Total Volume 4,639,292 2,132,480 7,832,608 2,132,480 4,117,568 Total OI 40,852,498.105 35,909,076 45,922,352 38,429,888 38,965,332
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 2009-02-02 $3.27 $3.21 43.0% 12.3% 49.7% 13.9% 43.4% 4.8% 4.9% 22.8M -353.8M -16.9M 0.97 2.29 N/A N/A 1,085,084 1,047,396 21,748,048 16,681,840 2009-02-03 $3.32 $3.21 40.7% 11.7% 47.7% 11.2% 42.2% 5.2% 4.1% 31.3M -543.4M -16.5M 0.83 2.37 N/A N/A 2,264,976 1,889,860 21,871,360 16,620,352 2009-02-04 $3.34 $3.21 41.6% 11.9% 47.4% 12.2% 43.8% 5.1% 3.4% 31.1M -594.2M -16.9M 0.95 2.40 N/A N/A 2,336,404 2,226,952 22,233,792 17,211,236 2009-02-05 $3.44 $3.21 41.8% 12.0% 47.8% 12.5% 42.2% 3.8% 3.5% 41.0M -1.04B -17.3M 0.85 2.09 N/A N/A 2,626,148 2,230,172 22,310,288 17,625,384 2009-02-06 $3.56 $3.21 40.6% 12.9% 48.7% 11.1% 46.3% 6.8% 0.8% 54.6M -1.62B -17.9M 0.69 3.79 N/A N/A 3,542,476 2,434,852 22,504,776 17,901,436 2009-02-09 $3.66 $3.21 44.8% 13.7% 48.4% 16.0% 49.8% 6.6% -0.9% 58.4M -2.09B -18.5M 0.77 3.19 N/A N/A 3,556,812 2,735,404 22,823,640 18,330,340 2009-02-10 $3.49 $3.39 44.8% 14.1% 51.0% 16.0% 49.3% 6.4% 0.4% 39.6M -1.15B -18.5M 0.74 3.39 N/A N/A 3,210,088 2,383,668 22,954,204 19,003,488 2009-02-11 $3.46 $3.39 44.3% 14.1% 51.0% 15.4% 48.7% 7.0% 1.4% 32.8M -806.5M -18.3M 0.93 2.95 N/A N/A 2,227,008 2,060,632 23,184,588 19,526,024 2009-02-12 $3.55 $3.39 47.3% 13.6% 50.0% 19.1% 48.1% 7.0% 1.1% 47.0M -1.26B -18.6M 0.97 3.69 N/A N/A 2,800,840 2,706,256 23,487,156 19,699,148 2009-02-13 $3.54 $3.39 45.4% 13.0% 48.8% 16.8% 47.0% 6.1% 1.8% 48.4M -1.23B -18.8M 1.05 3.64 N/A N/A 1,884,596 1,970,136 23,891,812 20,236,272 2009-02-17 $3.38 $3.39 49.8% 14.3% 52.3% 22.0% 50.3% 7.8% 0.9% 16.2M -281.5M -17.3M 0.99 2.88 N/A N/A 2,730,728 2,712,136 23,819,572 20,284,796 2009-02-18 $3.37 $3.39 48.6% 13.9% 47.7% 20.7% 49.4% 7.6% 1.3% 17.0M -279.8M -17.2M 0.94 2.85 N/A N/A 1,518,664 1,421,896 23,914,912 20,297,788 2009-02-19 $3.24 $3.39 49.6% 14.2% 47.3% 21.8% 50.4% 7.8% 1.2% -13.1M 433.8M -16.0M 1.08 2.39 N/A N/A 3,767,764 4,064,844 24,063,256 20,373,136 2009-02-20 $3.26 $3.39 49.3% 14.1% 41.6% 21.4% 50.3% 7.0% 1.0% -15.0M 330.0M -16.8M 0.57 2.98 N/A N/A 3,220,336 1,833,104 24,536,372 21,385,980 2009-02-23 $3.11 $3.39 54.2% 15.5% 45.2% 27.3% 53.8% 7.3% 0.1% -7.6M 720.8M -15.8M 0.74 3.73 N/A N/A 2,307,340 1,713,404 19,922,336 15,986,740 2009-02-24 $3.22 $3.39 47.9% 13.7% 46.9% 19.8% 48.7% 6.3% 1.4% 613.5K 313.3M -16.7M 0.71 3.59 N/A N/A 2,482,732 1,763,944 20,666,156 16,356,396 2009-02-25 $3.26 $3.21 47.6% 13.6% 46.8% 19.4% 48.4% 6.7% 1.3% 3.2M 160.9M -17.0M 0.89 3.53 N/A N/A 2,013,564 1,784,636 20,922,832 16,615,452 2009-02-26 $3.19 $3.21 49.7% 14.2% 45.2% 21.9% 49.6% 6.4% -0.1% -4.8M 481.0M -16.6M 0.71 2.57 N/A N/A 2,031,120 1,443,008 21,144,452 17,096,772 2009-02-27 $3.19 $3.21 50.7% 14.5% 45.1% 23.1% 50.9% 6.8% -0.1% -4.4M 476.1M -16.6M 1.07 2.39 N/A N/A 1,988,112 2,129,456 21,488,516 17,476,816
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