AAPL Options History — December 2009 In December 2009, AAPL traded between $6.75 and $7.56. ATM implied volatility averaged 30.0%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 4.7% (HV 20d: 25.3%). Max pain ranged from $5.71 to $6.96. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.66.
Notable Days 2009-12-04 : Highest Volume — 10,159,968 contracts2009-12-10 : Largest IV spike — 10.7% change2009-12-17 : Highest IV Rank — 22.4%2009-12-07 : Largest Expected Move — 9.8%Monthly Statistics Metric Avg Min Max Open Close Price $7.11 $6.75 $7.56 $7.03 $7.53 Max Pain $6.22 $5.71 $6.96 $6.96 $6.43 ATM IV 30.0% 26.2% 32.4% 31.2% 29.9% Expected Move 8.8% 7.5% 9.8% 8.9% 8.6% HV 20d 25.3% 20.7% 27.4% 23.6% 26.6% HV 60d 26.4% 25.3% 27.5% 25.6% 26.6% IV Rank 16.8% 9.0% 22.4% 15.3% 17.8% IV Percentile 25.1% 4.4% 39.3% 30.2% 27.4% Term Structure 5.5% 1.6% 9.1% 1.9% 9.1% VWIV 31.2% 26.8% 34.5% 31.9% 31.0% Skew 25d 2.4% -0.3% 3.9% 1.7% -0.1% Skew 10d 5.0% -1.2% 8.4% 4.2% -0.5% Call IV 25d 30.0% 25.3% 33.3% 31.3% 31.1% Put IV 25d 32.4% 28.2% 36.5% 32.9% 30.9% Bid-Ask Spread % 2.97 1.76 6.54 6.54 1.89 Gamma HHI 0.17 0.13 0.36 0.13 0.20 Net GEX 129.9M 3.8M 288.0M 97.1M 210.4M Net DEX -6.72B -10.22B -3.56B -5.98B -10.00B Net VEX -29.1M -30.1M -27.7M -28.8M -29.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.66 0.49 0.91 0.73 0.50 Total Volume 6,226,347.273 3,723,076 10,159,968 4,750,200 4,519,564 Total OI 49,236,588.545 43,509,592 54,180,896 46,435,900 48,591,144
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 2009-12-01 $7.03 $6.96 31.2% 8.9% 23.6% 15.3% 31.9% 1.7% 1.9% 97.1M -5.98B -28.8M 0.73 6.54 N/A N/A 2,750,132 2,000,068 26,033,868 20,402,032 2009-12-02 $7.01 $6.96 32.1% 9.2% 23.6% 18.1% 32.4% 2.0% 1.6% 94.9M -5.77B -29.8M 0.64 2.71 N/A N/A 4,735,892 3,009,944 26,369,532 20,659,436 2009-12-03 $7.02 $6.96 30.4% 8.7% 23.4% 15.9% 30.8% 1.2% 2.7% 102.9M -5.95B -29.6M 0.84 2.90 N/A N/A 2,877,700 2,419,088 26,940,480 21,267,512 2009-12-04 $6.90 $5.71 29.8% 9.5% 23.5% 14.7% 33.6% 2.8% 4.9% 54.0M -4.92B -29.7M 0.73 3.68 N/A N/A 5,869,416 4,290,552 27,037,864 21,633,584 2009-12-07 $6.75 $5.71 32.0% 9.8% 24.8% 21.1% 34.5% 3.1% 4.0% 3.8M -3.56B -28.7M 0.64 3.06 N/A N/A 5,140,856 3,295,068 27,733,104 22,082,032 2009-12-08 $6.78 $5.71 30.1% 9.6% 20.7% 16.9% 33.9% 3.1% 4.7% 21.1M -3.98B -28.9M 0.65 2.95 N/A N/A 4,019,484 2,619,568 28,375,704 22,406,580 2009-12-09 $7.06 $5.89 29.3% 9.3% 25.7% 15.1% 33.5% 3.9% 4.8% 155.6M -6.84B -30.1M 0.55 3.79 N/A N/A 5,904,808 3,251,500 28,808,668 22,644,188 2009-12-10 $7.02 $5.89 32.4% 9.3% 25.8% 21.9% 33.1% 3.3% 4.9% 117.9M -6.21B -30.0M 0.75 3.06 N/A N/A 3,750,908 2,806,692 28,896,364 23,005,220 2009-12-11 $6.95 $5.89 31.4% 9.0% 25.8% 19.6% 32.5% 3.5% 5.5% 90.8M -5.54B -29.2M 0.88 3.83 N/A N/A 3,179,624 2,782,500 29,085,392 23,067,492 2009-12-14 $7.03 $6.07 31.1% 8.9% 25.8% 19.5% 31.7% 3.6% 5.7% 149.2M -6.47B -27.7M 0.65 4.19 N/A N/A 4,144,868 2,692,732 29,189,888 23,379,440 2009-12-15 $6.93 $6.07 31.0% 8.9% 25.7% 19.3% 31.5% 3.6% 5.3% 86.1M -5.43B -28.8M 0.56 2.59 N/A N/A 3,188,388 1,782,452 29,720,404 23,532,908 2009-12-16 $6.97 $6.07 30.3% 8.7% 25.8% 18.5% 30.8% 3.5% 5.5% 118.6M -5.87B -29.6M 0.91 3.03 N/A N/A 1,951,740 1,771,336 30,175,264 23,609,796 2009-12-17 $6.85 $6.07 32.0% 9.2% 26.3% 22.4% 31.8% 3.0% 5.0% 8.9M -4.69B -28.8M 0.68 2.54 N/A N/A 3,622,388 2,480,212 30,311,540 23,601,956 2009-12-18 $6.98 $6.07 30.3% 8.7% 25.9% 18.6% 31.0% 3.9% 5.9% 288.0M -6.30B -29.2M 0.70 2.71 N/A N/A 4,150,440 2,898,616 30,651,236 23,529,660 2009-12-21 $7.08 $6.25 28.8% 8.3% 26.4% 15.2% 29.9% 3.7% 6.2% 128.7M -6.58B -28.7M 0.63 2.18 N/A N/A 2,941,708 1,840,580 24,675,476 18,834,116 2009-12-22 $7.16 $6.25 27.6% 7.9% 24.4% 12.5% 28.5% 3.5% 6.9% 145.5M -7.14B -29.3M 0.60 1.76 N/A N/A 2,351,552 1,419,292 25,144,728 19,398,204 2009-12-23 $7.22 $6.25 26.2% 7.5% 24.5% 9.0% 26.8% 2.9% 7.3% 159.1M -7.63B -29.2M 0.61 2.55 N/A N/A 2,425,780 1,479,940 25,549,804 19,720,036 2009-12-24 $7.47 $6.25 27.9% 8.0% 27.4% 13.0% 28.8% 1.5% 6.7% 198.9M -9.42B -29.0M 0.50 2.45 N/A N/A 5,137,160 2,575,188 25,603,928 20,028,008 2009-12-28 $7.56 $6.43 29.1% 8.3% 26.7% 15.9% 30.1% 0.0% 6.9% 219.0M -10.22B -28.2M 0.49 2.22 N/A N/A 5,578,860 2,740,752 25,972,716 20,473,656 2009-12-29 $7.47 $6.43 28.2% 8.1% 27.1% 13.7% 28.9% -0.1% 8.0% 193.6M -9.31B -28.5M 0.66 2.30 N/A N/A 3,370,108 2,232,916 26,339,460 20,854,036 2009-12-30 $7.56 $6.43 28.7% 8.2% 26.5% 14.9% 29.5% -0.3% 8.4% 213.6M -10.14B -29.1M 0.59 2.36 N/A N/A 3,123,988 1,855,280 26,661,180 21,207,312 2009-12-31 $7.53 $6.43 29.9% 8.6% 26.6% 17.8% 31.0% -0.1% 9.1% 210.4M -10.00B -29.8M 0.50 1.89 N/A N/A 3,011,064 1,508,500 27,192,732 21,398,412
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