AAPL Options History — August 2009 In August 2009, AAPL traded between $5.70 and $6.07. ATM implied volatility averaged 28.6%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 5.6% (HV 20d: 23.0%). Max pain ranged from $5.36 to $5.89. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.80.
Notable Days 2009-08-17 : Highest Volume — 6,775,944 contracts2009-08-13 : Largest IV spike — 16.5% change2009-08-17 : Highest IV Rank — 9.7%2009-08-17 : Largest Expected Move — 9.4%Monthly Statistics Metric Avg Min Max Open Close Price $5.94 $5.70 $6.07 $5.94 $6.01 Max Pain $5.68 $5.36 $5.89 $5.36 $5.89 ATM IV 28.6% 24.0% 32.8% 27.9% 30.7% Expected Move 8.4% 7.7% 9.4% 8.0% 8.8% HV 20d 23.0% 19.1% 26.8% 23.3% 24.5% HV 60d 26.5% 24.5% 29.9% 29.8% 24.6% IV Rank 4.6% 0.0% 9.7% 2.2% 7.3% IV Percentile 6.7% 0.0% 12.7% 3.2% 11.9% Term Structure 2.9% 1.6% 4.0% 2.8% 3.1% VWIV 30.1% 27.5% 33.6% 28.6% 31.4% Skew 25d 2.7% 1.2% 3.4% 3.0% 2.2% Skew 10d 5.4% 2.4% 7.0% 6.1% 4.5% Call IV 25d 28.6% 26.3% 32.1% 26.7% 30.3% Put IV 25d 31.3% 29.3% 35.0% 29.7% 32.5% Bid-Ask Spread % 3.42 2.39 5.01 2.84 2.89 Gamma HHI 0.14 0.08 0.42 0.12 0.09 Net GEX 104.3M 32.2M 217.2M 112.6M 73.2M Net DEX -5.21B -6.44B -3.76B -5.61B -4.62B Net VEX -23.7M -24.7M -22.5M -24.1M -24.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.49 1.21 0.78 0.68 Total Volume 4,210,004 2,641,828 6,775,944 4,737,964 2,864,988 Total OI 40,856,178.667 35,004,592 44,437,708 39,520,488 38,876,208
Daily Data (21 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 2009-08-03 $5.94 $5.36 27.9% 8.0% 23.3% 2.2% 28.6% 3.0% 2.8% 112.6M -5.61B -24.1M 0.78 2.84 N/A N/A 2,664,396 2,073,568 20,558,020 18,962,468 2009-08-04 $5.91 $5.36 27.6% 7.9% 20.7% 1.8% 28.4% 2.8% 3.1% 100.4M -5.35B -24.1M 0.68 2.39 N/A N/A 1,911,224 1,300,152 20,528,368 19,413,576 2009-08-05 $5.90 $5.36 27.9% 8.0% 21.1% 2.1% 28.6% 2.4% 3.0% 103.2M -5.31B -24.3M 0.87 2.75 N/A N/A 2,291,100 1,991,556 20,797,028 19,522,748 2009-08-06 $5.85 $5.36 26.8% 7.7% 21.2% 1.0% 27.5% 3.0% 3.6% 96.6M -5.03B -24.7M 1.05 2.85 N/A N/A 1,663,844 1,742,300 21,050,988 19,863,228 2009-08-07 $5.91 $5.71 24.0% 8.2% 21.1% 0.0% 29.5% 2.7% 2.7% 107.3M -5.31B -24.1M 0.91 5.01 N/A N/A 2,006,032 1,819,216 21,158,732 20,413,260 2009-08-10 $5.88 $5.71 25.2% 8.2% 20.4% 1.2% 29.3% 3.0% 2.4% 108.4M -5.26B -22.5M 0.75 4.83 N/A N/A 1,898,148 1,431,584 21,284,396 20,452,292 2009-08-11 $5.82 $5.71 24.8% 8.2% 21.4% 0.8% 29.7% 2.9% 2.6% 87.9M -4.68B -23.7M 1.07 3.83 N/A N/A 1,987,048 2,126,180 21,482,216 20,666,632 2009-08-12 $5.90 $5.71 24.9% 8.3% 19.5% 0.9% 30.0% 2.8% 2.7% 114.4M -5.42B -23.3M 0.71 4.85 N/A N/A 2,826,432 2,009,616 21,468,384 20,879,964 2009-08-13 $6.01 $5.71 29.0% 8.3% 20.0% 5.4% 30.0% 3.1% 2.6% 133.7M -6.17B -24.2M 0.84 3.47 N/A N/A 2,704,828 2,260,748 21,997,752 20,967,436 2009-08-14 $5.96 $5.71 28.9% 8.3% 19.1% 5.4% 30.3% 2.5% 2.9% 115.1M -5.69B -23.8M 0.77 3.21 N/A N/A 2,069,760 1,598,688 22,239,616 21,373,492 2009-08-17 $5.70 $5.71 32.8% 9.4% 25.7% 9.7% 33.6% 3.0% 1.6% 32.2M -3.76B -24.2M 0.79 4.00 N/A N/A 3,789,268 2,986,676 22,494,584 21,437,556 2009-08-18 $5.86 $5.71 31.0% 8.9% 26.8% 7.7% 31.7% 3.0% 2.4% 107.5M -5.16B -23.8M 0.79 3.58 N/A N/A 3,008,628 2,380,644 22,830,640 21,433,860 2009-08-19 $5.88 $5.71 31.2% 9.0% 24.3% 7.9% 32.2% 3.4% 2.4% 108.1M -5.30B -23.6M 1.06 3.65 N/A N/A 1,873,956 1,984,780 22,793,568 21,644,140 2009-08-20 $5.94 $5.71 29.8% 8.5% 24.5% 6.3% 30.2% 2.9% 3.1% 138.6M -5.87B -22.9M 0.63 2.80 N/A N/A 2,720,340 1,724,184 22,586,704 21,697,928 2009-08-21 $6.04 $5.71 28.8% 8.3% 24.7% 5.2% 29.6% 3.4% 2.6% 217.2M -6.44B -22.6M 0.49 3.88 N/A N/A 2,472,036 1,206,744 22,592,808 21,723,632 2009-08-24 $6.04 $5.71 31.6% 9.1% 24.7% 8.3% 32.3% 2.7% 2.8% 76.3M -4.79B -23.1M 0.69 2.97 N/A N/A 3,006,472 2,089,192 18,469,024 16,535,568 2009-08-25 $6.05 $5.71 29.9% 8.6% 24.7% 6.5% 30.4% 2.7% 3.1% 87.4M -4.96B -22.7M 0.67 2.96 N/A N/A 1,586,452 1,067,164 19,150,684 17,136,420 2009-08-26 $5.98 $5.89 30.2% 8.7% 25.2% 6.8% 30.2% 2.3% 3.6% 78.8M -4.63B -22.8M 0.72 2.94 N/A N/A 1,538,740 1,103,088 19,304,040 17,292,688 2009-08-27 $6.05 $5.89 29.3% 8.4% 24.9% 5.8% 29.8% 1.3% 3.7% 94.5M -5.02B -23.8M 0.66 3.29 N/A N/A 2,635,444 1,735,076 19,632,676 17,471,328 2009-08-28 $6.07 $5.89 28.8% 8.3% 24.9% 5.2% 29.5% 1.2% 4.0% 97.4M -5.10B -24.2M 1.21 2.89 N/A N/A 2,830,100 3,429,692 19,877,032 17,918,068 2009-08-31 $6.01 $5.89 30.7% 8.8% 24.5% 7.3% 31.4% 2.2% 3.1% 73.2M -4.62B -24.4M 0.68 2.89 N/A N/A 1,707,524 1,157,464 20,127,296 18,748,912
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