AAPL Options History — September 2009 In September 2009, AAPL traded between $5.90 and $6.65. ATM implied volatility averaged 31.1%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 8.5% (HV 20d: 22.6%). 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 0.73.
Notable Days 2009-09-16 : Highest Volume — 14,472,556 contracts2009-09-04 : Largest IV drop — 10.1% change2009-09-24 : Highest IV Rank — 10.2%2009-09-24 : Largest Expected Move — 9.6%Monthly Statistics Metric Avg Min Max Open Close Price $6.35 $5.90 $6.65 $5.90 $6.62 Max Pain $5.66 $5.36 $5.89 $5.89 $5.89 ATM IV 31.1% 28.2% 33.3% 32.6% 31.1% Expected Move 9.1% 8.3% 9.6% 9.3% 8.9% HV 20d 22.6% 18.5% 26.6% 25.3% 19.1% HV 60d 24.0% 22.5% 24.9% 24.9% 22.5% IV Rank 7.8% 4.6% 10.2% 9.4% 7.9% IV Percentile 15.3% 7.1% 22.6% 15.5% 15.9% Term Structure 4.5% 1.8% 6.3% 1.8% 6.1% VWIV 32.3% 30.4% 34.0% 32.9% 31.6% Skew 25d 2.3% 0.7% 3.7% 2.4% 2.0% Skew 10d 4.7% 1.6% 7.9% 5.1% 3.9% Call IV 25d 31.1% 27.7% 33.7% 32.1% 30.7% Put IV 25d 33.4% 31.4% 35.6% 34.5% 32.8% Bid-Ask Spread % 2.89 2.07 4.34 3.30 2.29 Gamma HHI 0.12 0.09 0.20 0.09 0.12 Net GEX 117.1M 49.3M 197.1M 50.8M 137.5M Net DEX -6.17B -8.21B -3.99B -4.06B -6.98B Net VEX -24.7M -26.8M -22.2M -24.6M -26.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.73 0.38 1.13 0.68 0.71 Total Volume 5,933,726.667 3,120,992 14,472,556 4,561,732 4,842,348 Total OI 42,238,958.667 37,548,056 46,716,488 39,562,768 43,082,452
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 2009-09-01 $5.90 $5.89 32.6% 9.3% 25.3% 9.4% 32.9% 2.4% 1.8% 50.8M -4.06B -24.6M 0.68 3.30 N/A N/A 2,715,636 1,846,096 20,467,300 19,095,468 2009-09-02 $5.90 $5.89 31.6% 9.0% 25.2% 8.2% 32.1% 2.5% 3.5% 49.3M -3.99B -25.1M 0.72 3.34 N/A N/A 2,058,588 1,479,688 20,860,308 19,661,796 2009-09-03 $5.95 $5.89 31.6% 9.0% 25.3% 8.2% 31.8% 3.0% 3.4% 63.3M -4.35B -24.4M 0.81 3.78 N/A N/A 1,726,900 1,394,092 21,014,784 19,846,344 2009-09-04 $6.08 $5.36 28.4% 9.3% 26.2% 4.8% 33.1% 3.7% 4.3% 95.7M -5.07B -25.1M 0.59 2.99 N/A N/A 2,850,120 1,676,360 21,205,800 20,156,276 2009-09-08 $6.18 $5.36 30.1% 9.4% 26.6% 6.7% 34.0% 3.6% 3.4% 114.1M -5.60B -24.3M 0.56 3.63 N/A N/A 2,773,652 1,563,912 21,184,044 20,426,112 2009-09-09 $6.11 $5.36 28.2% 8.9% 26.5% 4.6% 32.1% 3.4% 4.8% 113.9M -5.29B -23.9M 0.97 3.46 N/A N/A 4,861,332 4,709,824 21,479,864 20,698,804 2009-09-10 $6.16 $5.36 29.6% 8.5% 26.2% 6.1% 30.4% 3.5% 4.9% 116.2M -5.46B -24.1M 1.08 2.77 N/A N/A 2,186,660 2,364,684 21,801,696 21,640,612 2009-09-11 $6.15 $5.54 30.3% 8.7% 25.5% 6.9% 31.1% 3.0% 5.0% 118.6M -5.44B -24.0M 1.10 2.71 N/A N/A 2,027,060 2,227,036 21,997,052 21,999,908 2009-09-14 $6.20 $5.54 29.3% 8.4% 25.3% 5.8% 31.0% 3.6% 5.1% 132.8M -5.80B -22.7M 1.13 2.99 N/A N/A 2,107,532 2,375,072 22,110,452 22,400,224 2009-09-15 $6.26 $5.54 29.1% 8.3% 18.5% 5.5% 30.4% 3.7% 5.7% 163.3M -6.21B -22.2M 0.95 2.30 N/A N/A 2,466,352 2,340,772 22,109,836 22,697,388 2009-09-16 $6.50 $5.54 31.8% 9.1% 20.5% 8.5% 32.2% 2.3% 3.5% 197.1M -7.80B -23.3M 0.42 2.66 N/A N/A 10,177,832 4,294,724 22,011,752 23,109,352 2009-09-17 $6.59 $5.54 32.6% 9.3% 20.7% 9.3% 33.2% 1.7% 2.8% 177.8M -8.21B -24.2M 0.38 2.91 N/A N/A 9,226,280 3,465,840 22,365,504 23,675,540 2009-09-18 $6.61 $5.71 32.8% 9.4% 20.7% 9.6% 33.4% 1.3% 3.5% 101.2M -8.02B -23.3M 0.46 2.07 N/A N/A 5,916,540 2,719,668 22,534,176 24,182,312 2009-09-21 $6.57 $5.71 32.6% 9.4% 20.5% 9.4% 33.4% 1.3% 5.1% 110.3M -6.65B -24.6M 0.74 2.23 N/A N/A 2,523,500 1,859,256 20,257,776 17,290,280 2009-09-22 $6.59 $5.71 32.3% 9.3% 20.4% 9.1% 33.6% 1.2% 4.8% 111.2M -6.70B -25.2M 0.94 2.67 N/A N/A 2,378,656 2,230,088 20,816,208 17,752,868 2009-09-23 $6.63 $5.71 32.3% 9.3% 20.4% 9.0% 33.1% 0.7% 4.1% 118.7M -6.97B -25.4M 0.82 4.34 N/A N/A 4,694,340 3,826,956 21,255,164 18,368,672 2009-09-24 $6.56 $5.71 33.3% 9.6% 20.1% 10.2% 33.9% 0.9% 4.4% 101.7M -6.41B -26.8M 0.56 2.61 N/A N/A 3,980,620 2,224,712 21,695,016 19,021,352 2009-09-25 $6.51 $5.89 31.4% 9.0% 20.4% 8.1% 31.7% 1.3% 6.3% 111.1M -6.35B -26.2M 0.69 2.46 N/A N/A 3,279,164 2,253,076 22,410,304 19,355,896 2009-09-28 $6.65 $5.89 31.9% 9.1% 21.3% 8.6% 32.6% 1.3% 5.2% 136.5M -7.17B -26.7M 0.59 2.40 N/A N/A 2,188,872 1,292,396 22,770,916 19,531,848 2009-09-29 $6.62 $5.89 30.8% 8.8% 20.8% 7.4% 31.2% 1.1% 5.9% 137.1M -6.99B -26.8M 0.50 2.71 N/A N/A 2,316,720 1,165,304 22,977,948 19,698,728 2009-09-30 $6.62 $5.89 31.1% 8.9% 19.1% 7.9% 31.6% 2.0% 6.1% 137.5M -6.98B -26.7M 0.71 2.29 N/A N/A 2,834,356 2,007,992 23,223,172 19,859,280
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