AAPL Options History — February 2007

In February 2007, AAPL traded between $2.97 and $3.20. ATM implied volatility averaged 27.9%. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 2.9% (HV 20d: 30.8%). Max pain ranged from $3.04 to $3.04. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.85.

Notable Days

  • 2007-02-22: Highest Volume — 7,042,196 contracts
  • 2007-02-27: Largest IV spike — 29.7% change
  • 2007-02-27: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.06$2.97$3.20$3.03$3.02
Max Pain$3.04$3.04$3.04$3.04$3.04
ATM IV27.9%24.2%32.5%28.1%28.8%
Expected Move8.1%6.9%9.3%8.1%8.3%
HV 20d30.8%20.1%45.7%45.7%30.7%
Term Structure4.1%-0.4%7.0%1.7%1.3%
VWIV28.6%25.1%33.0%28.5%29.3%
Skew 25d1.3%-0.6%2.5%-0.6%1.8%
Skew 10d2.6%-0.7%4.9%-0.7%2.7%
Call IV 25d28.2%24.7%32.2%29.4%28.5%
Put IV 25d29.5%25.9%34.7%28.8%30.4%
Bid-Ask Spread %6.873.4113.244.086.25
Gamma HHI0.140.100.200.130.15
Net GEX27.3M-26.4M82.5M1.6M30.1M
Net DEX-1.39B-2.56B-440.6M-847.3M-1.05B
Net VEX-21.9M-22.4M-20.6M-21.8M-22.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.451.870.620.78
Total Volume4,395,053.8952,349,2847,042,1962,682,1484,275,376
Total OI55,861,796.42147,061,02862,015,21255,381,45253,005,540

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-02-01$3.03$3.0428.1%8.1%45.7%0.0%28.5%-0.6%1.7%1.6M-847.3M-21.8M0.624.08N/AN/A1,658,5801,023,56828,690,00426,691,448
2007-02-02$3.03$3.0427.4%8.2%45.0%0.0%29.2%0.1%6.1%3.2M-850.0M-21.9M0.476.52N/AN/A1,969,352931,95229,157,60426,506,816
2007-02-05$3.00$3.0429.6%8.5%45.0%0.0%30.3%0.5%5.7%-1.1M-777.7M-21.6M0.869.08N/AN/A1,569,2321,355,11629,679,10426,206,936
2007-02-06$3.01$3.0429.4%8.6%45.0%0.0%30.4%0.9%5.3%-1.6M-769.7M-21.8M0.886.54N/AN/A2,540,6082,226,42030,079,11226,724,096
2007-02-07$3.08$3.0428.0%8.9%34.9%0.0%30.9%1.9%4.8%32.9M-1.56B-22.3M0.719.21N/AN/A3,082,9962,201,47230,792,46826,992,252
2007-02-08$3.08$3.0430.2%8.6%29.5%0.0%30.0%1.3%4.7%28.9M-1.55B-22.4M1.056.75N/AN/A1,644,4121,734,85231,068,77227,605,984
2007-02-09$2.97$3.0430.4%8.7%31.1%0.0%30.5%1.1%5.0%-26.4M-440.6M-21.8M0.676.70N/AN/A3,633,8962,451,54031,153,41628,118,692
2007-02-12$3.03$3.0430.1%8.6%32.4%0.0%29.9%2.0%4.9%6.2M-1.11B-22.0M0.556.31N/AN/A2,990,3721,632,73631,838,66028,530,376
2007-02-13$3.02$3.0429.8%8.5%30.3%0.0%29.7%1.8%4.7%10.8M-1.14B-22.0M1.226.41N/AN/A1,705,1442,082,33232,884,48828,693,084
2007-02-14$3.05$3.0427.9%8.0%30.1%0.0%28.6%2.2%6.2%22.8M-1.46B-21.7M1.8710.09N/AN/A1,537,2002,871,93232,755,12828,719,600
2007-02-15$3.04$3.0427.0%7.7%20.6%0.0%27.6%1.6%6.8%36.2M-1.49B-22.1M1.3913.24N/AN/A983,3041,365,98032,980,64029,034,572
2007-02-16$3.03$3.0426.3%7.5%20.6%0.0%27.0%1.7%7.0%27.2M-1.23B-21.9M0.858.10N/AN/A2,520,9242,148,32832,812,72428,883,260
2007-02-20$3.07$3.0425.4%7.3%20.1%0.0%25.7%1.6%3.3%26.8M-1.40B-20.6M0.704.04N/AN/A2,782,4721,957,08822,929,53624,131,492
2007-02-21$3.19$3.0425.1%7.2%23.7%0.0%26.0%0.6%3.1%62.9M-2.44B-21.2M0.454.48N/AN/A4,817,5402,186,43624,058,77624,646,496
2007-02-22$3.20$3.0424.9%7.1%23.4%0.0%25.7%1.3%2.7%71.0M-2.56B-21.5M0.514.26N/AN/A4,666,9842,375,21224,872,00824,849,580
2007-02-23$3.18$3.0424.2%6.9%23.4%0.0%25.1%1.2%3.7%82.5M-2.51B-22.4M0.945.68N/AN/A1,431,5281,346,77226,420,40825,187,624
2007-02-26$3.17$3.0425.1%7.2%23.2%0.0%25.9%1.7%2.2%77.3M-2.31B-22.1M0.873.41N/AN/A1,647,2681,429,70826,738,34825,397,456
2007-02-27$3.00$3.0432.5%9.3%30.5%0.0%33.0%2.5%-0.4%27.3M-928.1M-22.3M0.759.38N/AN/A3,844,0082,883,38427,000,48425,537,148
2007-02-28$3.02$3.0428.8%8.3%30.7%0.0%29.3%1.8%1.3%30.1M-1.05B-22.3M0.786.25N/AN/A2,405,3121,870,06427,196,56825,808,972