AAPL Options History — January 2007

In January 2007, AAPL traded between $2.99 and $3.47. ATM implied volatility averaged 40.4%. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 9.1% (HV 20d: 49.6%). Max pain ranged from $2.68 to $3.21. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.61.

Notable Days

  • 2007-01-09: Highest Volume — 22,898,708 contracts
  • 2007-01-09: Largest IV drop — 21.5% change
  • 2007-01-04: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.17$2.99$3.47$2.99$3.06
Max Pain$3.08$2.68$3.21$2.68$3.04
ATM IV40.4%28.8%60.6%54.4%28.8%
Expected Move11.0%8.3%16.4%15.6%8.3%
HV 20d49.6%46.7%52.6%52.6%46.7%
Term Structure-0.7%-12.4%4.6%-9.4%1.6%
VWIV38.7%29.3%56.6%55.0%29.3%
Skew 25d0.7%-0.8%4.7%-0.2%0.8%
Skew 10d1.4%-1.3%8.2%0.3%1.0%
Call IV 25d38.3%29.0%56.2%55.2%29.0%
Put IV 25d39.0%29.8%56.1%55.1%29.8%
Bid-Ask Spread %6.094.018.688.174.02
Gamma HHI0.150.110.230.130.13
Net GEX59.9M10.2M153.1M40.8M15.0M
Net DEX-4.02B-8.83B-999.2M-3.57B-1.16B
Net VEX-20.9M-22.5M-19.5M-20.5M-22.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.380.990.490.99
Total Volume8,922,370.81,904,22422,898,7086,679,2323,606,960
Total OI70,689,960.645,585,62493,722,66474,119,33255,009,332

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$2.99$2.6854.4%15.6%0.0%0.0%55.0%-0.2%-9.4%40.8M-3.57B-20.5M0.498.17N/AN/A4,491,1162,188,11633,513,59240,605,740
2007-01-04$3.06$2.6857.4%16.4%0.0%0.0%56.6%-0.2%-12.4%55.9M-4.24B-20.6M0.384.01N/AN/A3,195,0521,221,02434,555,02441,045,704
2007-01-05$3.04$3.0458.1%13.2%0.0%0.0%46.0%1.2%-1.9%53.2M-4.07B-20.9M0.446.24N/AN/A3,486,8401,539,10435,205,85641,540,184
2007-01-08$3.05$3.0460.6%13.1%0.0%0.0%44.8%2.1%-1.6%61.8M-4.24B-20.5M0.457.80N/AN/A4,168,4721,893,19236,406,16042,067,228
2007-01-09$3.31$3.0447.5%11.9%0.0%0.0%42.2%4.7%-0.3%130.0M-7.02B-20.0M0.475.22N/AN/A15,578,5287,320,18037,802,26842,792,008
2007-01-10$3.46$3.0447.9%11.8%0.0%0.0%40.8%2.0%-0.4%153.1M-8.83B-19.5M0.674.45N/AN/A12,471,0048,354,66838,806,65644,367,260
2007-01-11$3.42$3.0440.2%11.5%0.0%0.0%40.4%1.1%-1.7%129.6M-7.83B-20.0M0.547.12N/AN/A6,422,3603,463,76838,645,01246,914,252
2007-01-12$3.38$3.0439.5%11.3%0.0%0.0%39.7%0.9%-0.3%127.5M-7.31B-20.3M0.615.84N/AN/A5,232,7803,200,17639,334,65246,325,160
2007-01-16$3.47$3.2144.0%12.6%0.0%0.0%43.8%0.9%-3.0%130.9M-8.25B-20.0M0.424.84N/AN/A7,315,4203,095,20439,591,80447,244,568
2007-01-17$3.39$3.2143.9%12.6%0.0%0.0%44.0%1.7%-2.8%118.3M-7.40B-20.5M0.526.62N/AN/A9,786,0565,047,92441,023,30447,250,952
2007-01-18$3.18$3.2135.0%10.0%0.0%0.0%35.3%-0.5%2.2%23.9M-4.34B-19.6M0.616.84N/AN/A11,732,3087,139,88842,893,45249,389,228
2007-01-19$3.16$3.2132.5%9.3%0.0%0.0%33.1%-0.8%4.6%33.7M-3.88B-20.0M0.525.80N/AN/A6,653,8363,451,81244,377,56449,345,100
2007-01-22$3.10$3.2132.7%9.4%0.0%0.0%33.5%-0.2%1.4%23.0M-1.30B-20.4M0.575.05N/AN/A6,006,0843,398,41623,706,70421,878,920
2007-01-23$3.06$3.2132.5%9.3%0.0%0.0%33.0%0.5%0.8%21.4M-1.14B-21.2M0.847.57N/AN/A3,796,7163,200,31625,451,41222,878,996
2007-01-24$3.10$3.2131.1%8.9%0.0%0.0%31.3%0.7%1.0%20.2M-1.32B-21.8M0.504.68N/AN/A3,147,2841,565,22826,412,93224,386,824
2007-01-25$3.08$3.2130.1%8.6%52.6%0.0%30.6%-0.1%2.5%17.5M-1.20B-21.9M0.985.22N/AN/A2,424,8562,370,45226,975,45224,802,036
2007-01-26$3.05$3.2130.7%8.8%51.0%0.0%31.5%-0.8%1.6%10.2M-999.2M-22.1M0.905.97N/AN/A1,924,9161,729,08427,427,48425,470,228
2007-01-29$3.07$3.0431.4%9.0%49.5%0.0%32.0%0.0%1.6%18.5M-1.20B-22.3M0.888.68N/AN/A2,612,4842,311,56827,922,44025,549,524
2007-01-30$3.06$3.0430.1%8.6%48.0%0.0%30.4%0.6%2.0%14.1M-1.10B-22.5M0.507.60N/AN/A1,266,804637,42028,539,64426,344,556
2007-01-31$3.06$3.0428.8%8.3%46.7%0.0%29.3%0.8%1.6%15.0M-1.16B-22.2M0.994.02N/AN/A1,812,5801,794,38028,675,94826,333,384