AAPL Options History — October 2009 In October 2009, AAPL traded between $6.46 and $7.33. ATM implied volatility averaged 29.2%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 5.9% (HV 20d: 23.3%). Max pain ranged from $5.89 to $6.96. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.63.
Notable Days 2009-10-21 : Highest Volume — 20,619,984 contracts2009-10-15 : Largest IV spike — 56.9% change2009-10-16 : Highest IV Rank — 19.1%2009-10-05 : Largest Expected Move — 10.9%Monthly Statistics Metric Avg Min Max Open Close Price $6.89 $6.46 $7.33 $6.46 $6.73 Max Pain $6.62 $5.89 $6.96 $5.89 $6.79 ATM IV 29.2% 22.3% 36.6% 33.1% 32.8% Expected Move 9.3% 7.2% 10.9% 9.5% 9.4% HV 20d 23.3% 17.6% 31.3% 21.9% 31.3% HV 60d 23.0% 20.9% 26.4% 23.2% 26.4% IV Rank 7.7% 0.0% 19.1% 10.2% 14.1% IV Percentile 13.3% 0.0% 37.3% 23.8% 30.6% Term Structure 0.8% -3.0% 7.7% 5.3% 1.0% VWIV 33.0% 26.2% 38.1% 33.5% 33.1% Skew 25d 2.2% 0.8% 5.1% 2.1% 5.1% Skew 10d 4.6% 2.0% 10.1% 4.7% 10.1% Call IV 25d 32.0% 24.5% 36.9% 32.8% 31.5% Put IV 25d 34.2% 26.6% 40.1% 34.9% 36.5% Bid-Ask Spread % 3.65 2.06 5.48 2.27 3.84 Gamma HHI 0.15 0.10 0.19 0.10 0.11 Net GEX 152.0M 61.2M 202.4M 103.1M 61.2M Net DEX -7.34B -8.92B -4.11B -5.94B -4.11B Net VEX -27.7M -35.3M -23.6M -26.1M -35.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.36 0.85 0.78 0.61 Total Volume 7,601,070.909 3,497,872 20,619,984 4,801,468 10,784,088 Total OI 44,874,556.364 35,039,984 49,306,684 43,293,964 49,306,684
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 2009-10-01 $6.46 $5.89 33.1% 9.5% 21.9% 10.2% 33.5% 2.1% 5.3% 103.1M -5.94B -26.1M 0.78 2.27 N/A N/A 2,703,456 2,098,012 23,209,984 20,083,980 2009-10-02 $6.60 $5.89 30.6% 8.8% 22.7% 7.4% 31.3% 2.6% 7.7% 142.0M -6.97B -26.3M 0.52 2.57 N/A N/A 3,303,132 1,725,640 23,707,656 20,358,268 2009-10-05 $6.64 $6.61 31.2% 10.9% 21.8% 8.0% 38.1% 3.1% -1.9% 139.0M -7.08B -25.9M 0.55 4.72 N/A N/A 2,437,708 1,343,384 23,762,116 20,605,844 2009-10-06 $6.79 $6.61 30.0% 10.7% 22.3% 6.7% 37.8% 2.9% -1.9% 166.4M -8.03B -25.4M 0.55 4.65 N/A N/A 3,873,884 2,120,188 24,024,224 20,737,052 2009-10-07 $6.79 $6.61 29.0% 10.4% 21.6% 5.6% 36.8% 2.8% -1.7% 165.8M -7.95B -25.2M 0.70 3.87 N/A N/A 2,467,248 1,731,100 24,020,388 20,947,612 2009-10-08 $6.76 $6.61 28.0% 10.3% 21.9% 4.4% 37.0% 2.6% -1.4% 155.7M -7.73B -25.0M 0.67 5.48 N/A N/A 2,959,600 1,974,392 24,224,060 21,303,744 2009-10-09 $6.80 $6.61 25.5% 10.3% 21.7% 1.6% 36.3% 2.2% -1.2% 183.8M -8.22B -24.6M 0.62 4.13 N/A N/A 2,276,596 1,418,928 24,494,064 21,253,232 2009-10-12 $6.81 $6.61 27.5% 10.6% 21.7% 3.9% 37.4% 2.1% -1.9% 177.2M -8.22B -24.2M 0.61 3.96 N/A N/A 2,167,564 1,330,308 24,588,676 21,439,292 2009-10-13 $6.79 $6.61 25.7% 10.4% 21.9% 1.8% 36.7% 2.4% -1.3% 176.8M -8.04B -24.9M 0.60 4.12 N/A N/A 2,536,492 1,510,936 24,781,064 21,409,388 2009-10-14 $6.83 $6.61 22.3% 10.2% 18.0% 0.0% 35.7% 2.6% -1.4% 202.4M -8.53B -23.8M 0.49 4.21 N/A N/A 3,390,016 1,649,396 25,139,716 21,521,780 2009-10-15 $6.81 $6.61 35.0% 10.0% 17.6% 14.1% 35.7% 2.0% -0.9% 181.9M -8.24B -23.6M 0.54 3.15 N/A N/A 3,510,248 1,880,704 25,035,724 21,545,608 2009-10-16 $6.72 $6.61 36.6% 10.5% 18.3% 19.1% 37.1% 1.3% -1.6% 129.7M -7.40B -24.7M 0.36 2.98 N/A N/A 5,080,348 1,845,900 25,354,196 21,821,352 2009-10-19 $6.78 $6.61 36.5% 10.5% 18.4% 19.1% 36.8% 2.9% -3.0% 106.9M -5.70B -24.7M 0.67 3.62 N/A N/A 7,201,376 4,832,324 19,724,964 15,315,020 2009-10-20 $7.10 $6.61 25.3% 7.2% 24.2% 4.0% 26.3% 2.5% 1.7% 193.3M -7.89B -25.0M 0.69 2.78 N/A N/A 8,701,112 6,002,864 22,324,316 16,939,776 2009-10-21 $7.32 $6.61 26.6% 7.6% 26.0% 5.7% 26.9% 1.6% 1.4% 198.4M -8.92B -27.7M 0.64 2.91 N/A N/A 12,560,968 8,059,016 22,808,436 18,027,016 2009-10-22 $7.33 $6.79 26.3% 7.5% 25.5% 5.3% 27.2% 1.1% 3.4% 173.9M -8.47B -30.4M 0.73 4.28 N/A N/A 7,776,636 5,685,372 23,608,508 19,203,268 2009-10-23 $7.28 $6.79 26.3% 7.5% 25.4% 5.4% 26.9% 0.9% 3.8% 169.1M -8.25B -32.1M 0.85 3.07 N/A N/A 3,668,812 3,109,848 24,514,112 19,999,812 2009-10-26 $7.23 $6.79 25.6% 7.3% 25.2% 4.4% 26.2% 0.8% 4.0% 172.8M -7.95B -32.3M 0.60 3.62 N/A N/A 4,295,592 2,576,336 25,128,964 20,959,960 2009-10-27 $7.05 $6.96 27.5% 7.9% 27.2% 7.0% 28.2% 1.1% 2.9% 124.5M -6.47B -33.5M 0.72 4.07 N/A N/A 4,788,980 3,464,608 25,689,776 21,663,796 2009-10-28 $6.87 $6.96 32.0% 9.2% 29.0% 13.0% 32.3% 2.0% 1.6% 86.3M -5.13B -34.5M 0.63 3.88 N/A N/A 5,628,252 3,555,916 26,139,372 21,812,868 2009-10-29 $7.01 $6.79 28.0% 8.0% 28.0% 7.7% 28.6% 2.4% 3.3% 134.1M -6.33B -34.6M 0.64 2.06 N/A N/A 4,386,312 2,809,968 26,796,952 21,907,620 2009-10-30 $6.73 $6.79 32.8% 9.4% 31.3% 14.1% 33.1% 5.1% 1.0% 61.2M -4.11B -35.3M 0.61 3.84 N/A N/A 6,715,156 4,068,932 27,118,840 22,187,844
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