AAPL Options History — March 2009 In March 2009, AAPL traded between $2.97 and $3.92. ATM implied volatility averaged 49.5%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 1.4% (HV 20d: 48.1%). Max pain ranged from $3.21 to $3.57. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.97.
Notable Days 2009-03-06 : Highest Volume — 7,680,904 contracts2009-03-10 : Largest IV drop — 12.5% change2009-03-09 : Highest IV Rank — 37.9%2009-03-09 : Largest Expected Move — 16.6%Monthly Statistics Metric Avg Min Max Open Close Price $3.48 $2.97 $3.92 $3.14 $3.75 Max Pain $3.35 $3.21 $3.57 $3.21 $3.57 ATM IV 49.5% 43.0% 63.1% 55.4% 43.8% Expected Move 14.1% 12.3% 16.6% 15.9% 12.5% HV 20d 48.1% 43.7% 52.4% 44.1% 49.0% HV 60d 48.2% 46.6% 49.5% 49.0% 47.3% IV Rank 21.7% 13.9% 37.9% 28.7% 14.8% IV Percentile 54.1% 38.5% 77.8% 68.3% 39.7% Term Structure 1.9% -2.1% 7.5% -2.1% 6.6% VWIV 49.9% 43.6% 58.2% 56.0% 45.1% Skew 25d 8.2% 4.7% 10.8% 8.7% 6.3% Skew 10d 16.4% 9.9% 21.4% 17.5% 12.2% Call IV 25d 45.7% 40.2% 53.9% 52.1% 41.3% Put IV 25d 53.8% 45.6% 64.7% 60.8% 47.6% Bid-Ask Spread % 2.69 1.87 3.74 3.74 2.25 Gamma HHI 0.15 0.10 0.26 0.12 0.10 Net GEX 24.4M -18.3M 60.4M -7.7M 32.6M Net DEX -770.9M -2.30B 1.34B 676.8M -1.47B Net VEX -17.7M -20.0M -15.3M -16.6M -19.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.97 0.62 1.57 0.87 1.46 Total Volume 5,371,768.182 2,803,724 7,680,904 4,462,668 5,618,088 Total OI 41,463,192.909 35,820,792 45,605,840 39,928,616 40,665,296
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 2009-03-02 $3.14 $3.21 55.4% 15.9% 44.1% 28.7% 56.0% 8.7% -2.1% -7.7M 676.8M -16.6M 0.87 3.74 N/A N/A 2,386,944 2,075,724 21,890,204 18,038,412 2009-03-03 $3.16 $3.21 54.9% 15.7% 43.7% 28.1% 56.2% 8.2% -1.1% -7.5M 610.0M -16.8M 1.04 3.42 N/A N/A 2,104,620 2,179,856 21,949,480 18,149,768 2009-03-04 $3.26 $3.21 52.8% 15.1% 44.9% 25.6% 52.4% 7.6% -0.7% 2.2M 158.1M -16.9M 0.72 2.70 N/A N/A 2,814,168 2,026,416 22,146,572 18,158,560 2009-03-05 $3.17 $3.21 55.6% 15.9% 45.6% 29.0% 56.2% 8.5% -1.3% -5.0M 521.0M -16.8M 0.88 2.88 N/A N/A 2,091,656 1,830,388 22,457,764 18,435,396 2009-03-06 $3.05 $3.39 58.2% 16.5% 45.8% 32.0% 57.2% 10.2% -0.6% -13.9M 1.02B -15.9M 0.95 2.69 N/A N/A 3,946,124 3,734,780 22,713,488 18,496,184 2009-03-09 $2.97 $3.21 63.1% 16.6% 43.8% 37.9% 58.2% 10.8% -1.8% -18.3M 1.34B -15.3M 0.85 2.18 N/A N/A 2,868,824 2,438,940 23,433,284 19,011,412 2009-03-10 $3.17 $3.21 55.2% 15.0% 49.4% 28.5% 53.4% 9.6% 0.1% 1.7M 451.3M -16.2M 0.84 2.67 N/A N/A 3,391,808 2,858,996 23,690,100 18,687,088 2009-03-11 $3.31 $3.21 49.4% 14.3% 50.4% 21.6% 51.2% 9.8% 0.2% 19.3M -270.8M -16.8M 0.79 2.65 N/A N/A 4,151,560 3,280,480 23,572,108 18,700,528 2009-03-12 $3.44 $3.39 50.0% 14.3% 52.4% 22.3% 50.9% 9.9% -0.1% 32.8M -829.9M -17.2M 0.86 2.25 N/A N/A 3,694,180 3,169,544 23,530,192 19,164,180 2009-03-13 $3.43 $3.39 48.6% 13.9% 51.5% 20.6% 48.0% 9.4% 0.7% 29.8M -684.0M -17.1M 0.98 2.11 N/A N/A 2,494,016 2,449,804 23,650,928 19,729,248 2009-03-16 $3.41 $3.39 49.1% 14.1% 51.6% 21.2% 48.9% 9.9% 0.8% 28.6M -571.9M -17.0M 1.38 2.77 N/A N/A 1,893,332 2,610,524 24,047,100 20,027,868 2009-03-17 $3.56 $3.39 45.6% 13.1% 51.0% 17.0% 47.4% 8.7% 1.4% 53.0M -1.45B -17.5M 0.97 3.17 N/A N/A 3,530,604 3,407,572 24,379,600 20,163,640 2009-03-18 $3.63 $3.39 46.0% 13.2% 51.2% 17.5% 46.4% 8.5% 1.3% 59.0M -1.90B -17.9M 0.73 2.50 N/A N/A 2,477,440 1,803,480 24,511,872 20,406,512 2009-03-19 $3.63 $3.39 46.8% 13.4% 48.6% 18.4% 47.5% 7.8% 1.7% 60.4M -1.92B -17.7M 1.01 3.44 N/A N/A 2,808,400 2,846,648 24,705,128 20,617,604 2009-03-20 $3.63 $3.39 47.0% 13.5% 48.6% 18.7% 47.3% 8.1% 2.7% 53.0M -1.83B -17.8M 1.19 2.27 N/A N/A 2,681,616 3,180,688 24,712,772 20,893,068 2009-03-23 $3.84 $3.39 44.0% 12.6% 47.8% 15.2% 47.2% 7.6% 4.4% 32.5M -1.81B -18.2M 0.62 2.48 N/A N/A 3,521,336 2,167,676 19,971,840 15,848,952 2009-03-24 $3.81 $3.39 46.7% 13.4% 47.2% 18.4% 47.0% 6.2% 4.4% 35.8M -1.82B -18.9M 0.86 2.96 N/A N/A 3,380,916 2,901,668 20,953,688 16,317,224 2009-03-25 $3.80 $3.39 45.1% 12.9% 47.3% 16.4% 45.6% 6.2% 5.7% 35.0M -1.72B -19.4M 0.67 2.76 N/A N/A 2,950,164 1,966,972 21,192,724 17,038,728 2009-03-26 $3.92 $3.39 43.0% 12.3% 46.7% 13.9% 44.4% 7.1% 5.8% 45.3M -2.30B -19.8M 1.11 3.03 N/A N/A 2,789,892 3,101,532 22,031,884 17,314,136 2009-03-27 $3.82 $3.57 43.3% 12.4% 48.5% 14.2% 43.6% 4.7% 7.5% 37.0M -1.80B -20.0M 1.00 2.34 N/A N/A 1,401,372 1,402,352 22,406,272 18,047,680 2009-03-30 $3.73 $3.39 45.6% 13.1% 49.1% 17.1% 46.7% 5.8% 6.4% 30.8M -1.36B -19.4M 1.57 1.87 N/A N/A 1,455,720 2,292,080 22,479,884 17,851,876 2009-03-31 $3.75 $3.57 43.8% 12.5% 49.0% 14.8% 45.1% 6.3% 6.6% 32.6M -1.47B -19.2M 1.46 2.25 N/A N/A 2,280,348 3,337,740 22,532,160 18,133,136
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