AAPL Options History — July 2009 In July 2009, AAPL traded between $4.84 and $5.84. ATM implied volatility averaged 30.5%, placing in the 3.3% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 4.6% (HV 20d: 25.9%). Max pain ranged from $4.64 to $5.36. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.85.
Notable Days 2009-07-22 : Highest Volume — 10,622,556 contracts2009-07-16 : Largest IV spike — 26.7% change2009-07-20 : Highest IV Rank — 11.5%2009-07-08 : Largest Expected Move — 11.9%Monthly Statistics Metric Avg Min Max Open Close Price $5.33 $4.84 $5.84 $5.10 $5.84 Max Pain $5.10 $4.64 $5.36 $4.64 $5.36 ATM IV 30.5% 26.0% 37.9% 28.4% 26.0% Expected Move 9.6% 7.4% 11.9% 8.1% 7.4% HV 20d 25.9% 23.6% 29.0% 23.7% 24.0% HV 60d 30.8% 30.2% 31.2% 31.2% 30.3% IV Rank 3.3% 0.0% 11.5% 0.0% 0.0% IV Percentile 5.0% 0.0% 25.8% 0.0% 0.0% Term Structure 0.8% -2.6% 8.7% 7.8% 3.8% VWIV 34.0% 27.0% 41.5% 29.6% 27.0% Skew 25d 3.6% 1.6% 5.2% 2.8% 3.3% Skew 10d 7.7% 2.9% 11.8% 6.7% 7.0% Call IV 25d 32.0% 25.2% 39.9% 28.2% 25.2% Put IV 25d 35.6% 28.4% 44.2% 31.0% 28.4% Bid-Ask Spread % 2.98 1.55 4.40 1.57 2.79 Gamma HHI 0.13 0.09 0.27 0.14 0.11 Net GEX 79.0M 27.6M 146.2M 83.4M 97.3M Net DEX -3.96B -5.86B -2.33B -3.90B -5.06B Net VEX -22.9M -24.5M -21.5M -23.3M -23.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.85 0.45 1.45 0.86 0.66 Total Volume 4,869,816 2,718,772 10,622,556 3,309,684 4,141,704 Total OI 40,369,530.727 30,350,068 45,645,712 42,065,100 39,258,912
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 2009-07-01 $5.10 $4.64 28.4% 8.1% 23.7% 0.0% 29.6% 2.8% 7.8% 83.4M -3.90B -23.3M 0.86 1.57 N/A N/A 1,777,748 1,531,936 22,385,104 19,679,996 2009-07-02 $5.00 $4.64 29.2% 8.4% 23.6% 0.9% 29.7% 2.2% 8.7% 60.0M -3.29B -23.4M 0.89 1.55 N/A N/A 1,438,976 1,279,796 22,405,404 19,885,348 2009-07-06 $4.95 $5.00 33.4% 11.7% 23.6% 5.8% 41.5% 4.2% -2.1% 50.1M -3.00B -22.7M 1.18 3.92 N/A N/A 2,001,776 2,367,400 22,575,588 19,969,684 2009-07-07 $4.84 $5.00 34.9% 11.9% 24.8% 7.5% 41.3% 4.1% -2.0% 27.6M -2.33B -22.3M 0.76 3.17 N/A N/A 2,298,100 1,747,200 22,898,316 20,836,816 2009-07-08 $4.90 $5.00 33.9% 11.9% 25.4% 6.3% 40.7% 5.1% -2.4% 42.1M -2.74B -22.7M 0.71 3.88 N/A N/A 3,019,296 2,129,680 23,220,764 20,331,752 2009-07-09 $4.87 $5.00 32.0% 11.6% 24.8% 4.2% 40.2% 4.6% -2.0% 31.4M -2.51B -22.3M 0.75 3.63 N/A N/A 1,762,292 1,318,968 23,551,220 20,650,196 2009-07-10 $4.95 $5.00 28.0% 10.9% 25.5% 0.0% 38.7% 4.9% -1.2% 50.1M -3.08B -21.8M 1.45 3.14 N/A N/A 1,885,968 2,727,004 23,652,748 20,743,436 2009-07-13 $5.08 $5.00 31.1% 10.6% 26.0% 3.6% 37.3% 5.2% -1.2% 82.1M -3.76B -22.1M 0.66 3.68 N/A N/A 2,764,916 1,813,028 23,587,480 21,210,896 2009-07-14 $5.08 $5.00 27.9% 10.6% 25.9% 0.0% 37.6% 5.1% -1.2% 89.5M -3.86B -21.9M 0.95 4.40 N/A N/A 1,735,300 1,642,200 23,749,236 21,416,696 2009-07-15 $5.25 $5.00 28.0% 10.6% 27.9% 0.2% 37.3% 4.9% -1.3% 146.2M -5.04B -22.1M 0.71 3.38 N/A N/A 3,326,876 2,361,884 23,902,088 21,511,420 2009-07-16 $5.27 $5.00 35.5% 10.2% 27.7% 8.8% 36.5% 4.2% -0.8% 128.0M -5.02B -22.3M 0.45 3.11 N/A N/A 2,893,744 1,288,728 23,690,520 21,955,192 2009-07-17 $5.42 $5.00 35.9% 10.3% 29.0% 9.2% 36.5% 3.0% -0.9% 140.2M -5.86B -21.5M 0.50 3.60 N/A N/A 5,226,032 2,636,172 23,190,804 21,445,116 2009-07-20 $5.46 $5.00 37.9% 10.9% 28.0% 11.5% 38.4% 2.2% -2.6% 60.2M -3.48B -21.7M 0.69 2.35 N/A N/A 3,560,536 2,443,840 16,842,280 13,507,788 2009-07-21 $5.41 $5.18 36.6% 10.5% 27.5% 10.0% 36.5% 1.6% -2.2% 62.7M -3.28B -21.8M 1.17 2.94 N/A N/A 3,794,392 4,457,628 17,784,732 14,151,368 2009-07-22 $5.60 $5.18 27.8% 8.0% 27.0% 0.0% 28.1% 2.9% 1.9% 85.8M -4.14B -23.0M 1.07 3.56 N/A N/A 5,138,532 5,484,024 18,928,196 15,916,936 2009-07-23 $5.64 $5.36 26.9% 7.7% 26.8% 0.0% 28.0% 2.8% 2.3% 77.5M -4.16B -24.1M 0.94 2.43 N/A N/A 2,322,628 2,174,872 19,549,068 16,842,448 2009-07-24 $5.71 $5.36 27.2% 7.8% 25.9% 0.4% 28.5% 3.6% 2.5% 78.0M -4.38B -24.4M 0.91 2.46 N/A N/A 2,310,280 2,111,060 19,439,980 17,019,156 2009-07-27 $5.72 $5.36 28.7% 8.2% 25.7% 2.0% 29.3% 2.9% 2.2% 78.6M -4.43B -24.0M 0.69 1.80 N/A N/A 2,081,352 1,433,208 19,565,140 17,457,272 2009-07-28 $5.71 $5.36 27.8% 8.0% 25.5% 1.0% 28.5% 3.2% 2.8% 83.5M -4.43B -24.5M 0.73 2.53 N/A N/A 1,707,692 1,242,248 19,955,936 17,600,996 2009-07-29 $5.72 $5.36 27.5% 7.9% 25.6% 0.7% 28.2% 3.3% 2.9% 85.4M -4.45B -24.3M 0.81 2.49 N/A N/A 1,566,544 1,272,544 20,126,568 17,691,968 2009-07-30 $5.81 $5.36 26.2% 7.5% 25.9% 0.0% 27.8% 3.6% 3.6% 98.5M -4.96B -24.4M 1.24 3.23 N/A N/A 3,087,784 3,830,064 20,167,980 17,877,132 2009-07-31 $5.84 $5.36 26.0% 7.4% 24.0% 0.0% 27.0% 3.3% 3.8% 97.3M -5.06B -23.7M 0.66 2.79 N/A N/A 2,500,792 1,640,912 20,434,036 18,824,876
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