AAPL Options History — November 2009 In November 2009, AAPL traded between $6.74 and $7.39. ATM implied volatility averaged 28.9%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 1.3% (HV 20d: 30.3%). Max pain ranged from $6.79 to $6.96. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.61.
Notable Days 2009-11-09 : Highest Volume — 8,339,772 contracts2009-11-05 : Largest IV drop — 13.0% change2009-11-02 : Highest IV Rank — 13.1%2009-11-02 : Largest Expected Move — 9.2%Monthly Statistics Metric Avg Min Max Open Close Price $7.15 $6.74 $7.39 $6.76 $7.14 Max Pain $6.93 $6.79 $6.96 $6.79 $6.96 ATM IV 28.9% 25.6% 32.1% 32.1% 29.6% Expected Move 8.5% 7.6% 9.2% 9.2% 8.5% HV 20d 30.3% 22.8% 33.4% 31.3% 22.8% HV 60d 25.4% 24.5% 26.8% 26.4% 25.6% IV Rank 9.4% 4.5% 13.1% 13.1% 12.5% IV Percentile 16.3% 3.2% 28.6% 27.4% 22.2% Term Structure 2.5% 1.3% 3.7% 1.3% 3.0% VWIV 30.4% 27.5% 33.9% 33.9% 30.3% Skew 25d 3.1% 0.7% 5.0% 5.0% 0.7% Skew 10d 7.1% 2.4% 10.7% 9.5% 2.4% Call IV 25d 28.8% 26.2% 30.8% 30.5% 29.9% Put IV 25d 32.0% 28.8% 35.6% 35.6% 30.6% Bid-Ask Spread % 4.80 2.67 8.59 3.67 3.05 Gamma HHI 0.18 0.11 0.30 0.11 0.15 Net GEX 175.4M 64.9M 290.2M 77.5M 127.0M Net DEX -7.37B -9.63B -3.99B -4.35B -6.80B Net VEX -31.5M -34.8M -28.7M -34.8M -28.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.39 1.18 1.18 0.70 Total Volume 5,543,374.2 2,675,176 8,339,772 7,233,520 4,889,948 Total OI 50,036,054.6 43,507,660 53,679,752 50,334,032 45,809,512
Daily Data (20 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 2009-11-02 $6.76 $6.79 32.1% 9.2% 31.3% 13.1% 33.9% 5.0% 1.3% 77.5M -4.35B -34.8M 1.18 3.67 N/A N/A 3,311,644 3,921,876 27,812,932 22,521,100 2009-11-03 $6.74 $6.79 31.2% 8.9% 30.3% 11.9% 32.3% 4.7% 2.0% 64.9M -3.99B -34.6M 0.60 6.60 N/A N/A 5,055,008 3,044,832 27,737,444 22,650,460 2009-11-04 $6.81 $6.79 30.5% 8.7% 30.6% 11.0% 30.7% 4.2% 1.9% 90.6M -4.86B -33.9M 0.61 4.34 N/A N/A 3,477,124 2,136,680 27,693,708 22,776,208 2009-11-05 $6.93 $6.79 26.5% 7.6% 31.1% 5.7% 27.5% 3.1% 3.7% 115.4M -5.77B -32.5M 0.53 4.46 N/A N/A 2,832,844 1,491,224 27,605,872 22,887,676 2009-11-06 $6.94 $6.96 25.6% 8.6% 31.0% 4.5% 30.9% 4.3% 2.2% 119.0M -5.73B -33.2M 0.76 8.59 N/A N/A 2,352,700 1,784,356 27,656,776 23,036,944 2009-11-09 $7.19 $6.96 27.6% 8.6% 33.4% 7.0% 30.8% 3.7% 2.2% 196.4M -8.16B -31.8M 0.51 5.99 N/A N/A 5,534,648 2,805,124 27,646,668 23,234,484 2009-11-10 $7.25 $6.96 27.3% 8.6% 33.4% 6.7% 31.0% 3.4% 2.4% 219.3M -8.48B -32.9M 0.64 7.39 N/A N/A 4,024,972 2,583,476 28,212,520 23,604,560 2009-11-11 $7.26 $6.96 27.1% 8.7% 33.3% 6.4% 30.5% 3.0% 2.2% 221.2M -8.62B -32.2M 0.52 5.97 N/A N/A 3,925,768 2,037,588 28,262,640 23,710,568 2009-11-12 $7.21 $6.96 30.2% 8.7% 33.4% 10.7% 30.3% 3.4% 2.2% 200.1M -7.97B -32.1M 0.52 4.15 N/A N/A 3,669,008 1,909,740 28,246,148 23,763,740 2009-11-13 $7.30 $6.96 29.6% 8.5% 33.0% 9.8% 29.7% 3.0% 2.5% 258.3M -9.01B -31.4M 0.53 5.80 N/A N/A 2,949,408 1,563,772 28,936,656 23,835,588 2009-11-16 $7.38 $6.96 28.8% 8.3% 33.0% 8.8% 30.0% 3.8% 2.8% 278.2M -9.61B -30.8M 0.42 4.74 N/A N/A 4,832,884 2,017,960 28,552,804 23,851,604 2009-11-17 $7.39 $6.96 28.5% 8.2% 29.1% 8.4% 29.6% 3.4% 2.6% 290.2M -9.63B -30.3M 0.39 3.97 N/A N/A 3,557,680 1,374,184 28,754,068 23,869,888 2009-11-18 $7.36 $6.96 28.8% 8.3% 27.2% 8.7% 30.1% 3.4% 2.4% 269.8M -9.30B -30.0M 0.61 3.42 N/A N/A 3,318,700 2,028,572 29,117,536 23,925,860 2009-11-19 $7.16 $6.96 31.4% 9.0% 28.8% 12.2% 31.9% 2.6% 1.9% 151.8M -7.56B -30.5M 0.70 3.86 N/A N/A 4,283,272 2,983,568 29,184,512 24,236,828 2009-11-20 $7.14 $6.96 30.3% 8.7% 28.8% 10.7% 31.1% 3.0% 2.4% 219.0M -7.40B -30.6M 0.62 3.34 N/A N/A 4,402,692 2,708,104 29,396,780 24,282,972 2009-11-23 $7.35 $6.96 27.8% 8.0% 30.6% 8.6% 29.4% 3.1% 3.1% 160.8M -7.88B -30.0M 0.48 5.00 N/A N/A 3,295,124 1,591,660 24,356,388 19,151,272 2009-11-24 $7.30 $6.96 27.8% 8.0% 29.2% 9.5% 28.0% 1.9% 3.6% 166.4M -7.76B -29.6M 0.63 4.56 N/A N/A 1,864,156 1,169,448 24,840,984 19,482,736 2009-11-25 $7.29 $6.96 28.1% 8.1% 27.4% 9.9% 28.6% 1.7% 3.5% 155.2M -7.62B -29.8M 0.72 2.67 N/A N/A 1,554,392 1,120,784 25,058,320 19,782,756 2009-11-27 $7.16 $6.96 29.8% 8.5% 27.5% 12.8% 30.4% 1.5% 3.1% 125.8M -6.87B -29.3M 0.58 4.37 N/A N/A 2,189,096 1,273,468 25,297,160 19,936,420 2009-11-30 $7.14 $6.96 29.6% 8.5% 22.8% 12.5% 30.3% 0.7% 3.0% 127.0M -6.80B -28.7M 0.70 3.05 N/A N/A 2,877,924 2,012,024 25,710,356 20,099,156
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