AAPL Options History — March 2007 In March 2007, AAPL traded between $3.05 and $3.42. ATM implied volatility averaged 25.9%. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 4.2% (HV 20d: 30.1%). Max pain ranged from $3.04 to $3.04. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.88.
Notable Days 2007-03-28 : Highest Volume — 8,770,608 contracts2007-03-15 : Largest IV spike — 19.6% change2007-03-05 : Largest Expected Move — 9.1%Monthly Statistics Metric Avg Min Max Open Close Price $3.24 $3.05 $3.42 $3.11 $3.32 Max Pain $3.04 $3.04 $3.04 $3.04 $3.04 ATM IV 25.9% 22.7% 31.7% 29.9% 25.3% Expected Move 7.7% 6.6% 9.1% 8.6% 7.2% HV 20d 30.1% 21.9% 33.7% 32.4% 21.9% HV 60d 35.8% 34.4% 37.4% 37.4% 34.4% Term Structure 6.9% 0.9% 10.0% 1.2% 10.0% VWIV 27.5% 23.9% 32.0% 30.2% 25.8% Skew 25d 1.7% 0.4% 2.6% 2.6% 1.0% Skew 10d 3.5% 0.3% 4.8% 4.5% 2.4% Call IV 25d 26.8% 23.3% 30.7% 28.9% 25.7% Put IV 25d 28.5% 25.0% 32.4% 31.6% 26.7% Bid-Ask Spread % 5.06 2.47 8.96 3.47 2.47 Gamma HHI 0.24 0.16 0.56 0.18 0.21 Net GEX 101.9M 42.6M 257.8M 58.8M 98.8M Net DEX -2.98B -4.59B -1.44B -1.91B -3.49B Net VEX -23.5M -25.9M -22.5M -23.1M -25.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.46 3.14 0.62 0.69 Total Volume 3,929,226 1,611,904 8,770,608 5,206,740 1,904,056 Total OI 56,169,238.364 51,476,432 60,527,236 53,595,444 60,521,580
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 2007-03-01 $3.11 $3.04 29.9% 8.6% 32.4% 0.0% 30.2% 2.6% 1.2% 58.8M -1.91B -23.1M 0.62 3.47 N/A N/A 3,219,048 1,987,692 27,558,328 26,037,116 2007-03-02 $3.05 $3.04 30.1% 8.6% 32.9% 0.0% 30.3% 1.7% 0.9% 42.6M -1.44B -23.3M 1.59 6.17 N/A N/A 1,105,328 1,758,372 28,251,104 26,467,812 2007-03-05 $3.08 $3.04 31.7% 9.1% 33.1% 0.0% 32.0% 1.7% 4.5% 50.1M -1.64B -22.9M 0.57 7.25 N/A N/A 2,265,676 1,290,996 28,123,732 26,399,380 2007-03-06 $3.15 $3.04 27.5% 8.4% 33.6% 0.0% 29.8% 2.4% 5.4% 74.4M -2.35B -23.4M 0.64 8.96 N/A N/A 1,677,312 1,067,528 28,714,952 26,744,480 2007-03-07 $3.13 $3.04 26.6% 8.3% 33.7% 0.0% 29.5% 2.0% 5.9% 71.4M -2.21B -23.3M 0.80 8.73 N/A N/A 1,212,820 969,052 28,969,332 26,736,584 2007-03-08 $3.14 $3.04 24.8% 8.0% 32.7% 0.0% 28.6% 2.2% 6.5% 77.8M -2.31B -23.1M 0.55 6.01 N/A N/A 1,038,940 572,964 29,218,476 27,036,352 2007-03-09 $3.14 $3.04 22.7% 7.8% 32.8% 0.0% 27.7% 1.9% 6.7% 84.7M -2.33B -22.5M 1.23 6.12 N/A N/A 1,033,312 1,272,208 29,349,348 26,953,808 2007-03-12 $3.21 $3.04 24.3% 7.8% 30.7% 0.0% 27.8% 2.2% 6.2% 125.0M -3.11B -22.6M 0.47 4.85 N/A N/A 2,972,116 1,403,948 29,525,524 27,530,524 2007-03-13 $3.16 $3.04 26.4% 8.3% 30.9% 0.0% 29.2% 2.2% 5.4% 89.4M -2.49B -23.2M 0.65 8.87 N/A N/A 2,839,032 1,848,980 29,858,780 27,832,616 2007-03-14 $3.21 $3.04 23.0% 8.3% 31.4% 0.0% 29.1% 2.1% 5.7% 147.0M -3.08B -23.2M 0.52 5.14 N/A N/A 2,471,476 1,278,676 30,101,540 28,055,272 2007-03-15 $3.20 $3.04 27.5% 7.9% 31.5% 0.0% 28.3% 1.6% 6.8% 198.4M -2.85B -22.9M 0.68 4.60 N/A N/A 2,110,920 1,429,624 30,030,672 28,323,428 2007-03-16 $3.20 $3.04 26.7% 7.7% 31.4% 0.0% 27.1% 1.5% 7.5% 257.8M -2.70B -23.3M 0.78 4.79 N/A N/A 2,173,080 1,701,616 30,249,072 28,635,684 2007-03-19 $3.25 $3.04 26.3% 7.5% 31.7% 0.0% 27.0% 1.1% 7.0% 67.1M -2.83B -22.9M 0.70 4.20 N/A N/A 2,836,064 1,992,312 25,862,004 25,614,428 2007-03-20 $3.27 $3.04 25.2% 7.2% 31.6% 0.0% 25.3% 1.5% 8.0% 74.5M -3.00B -22.9M 1.10 6.44 N/A N/A 1,407,868 1,545,152 26,657,036 26,291,216 2007-03-21 $3.35 $3.04 24.0% 6.9% 30.1% 0.0% 24.9% 1.8% 7.7% 95.2M -3.74B -22.9M 0.53 3.79 N/A N/A 2,483,152 1,310,848 26,933,956 26,305,580 2007-03-22 $3.36 $3.04 23.8% 6.8% 30.1% 0.0% 24.8% 1.7% 9.0% 93.6M -3.76B -23.4M 0.70 4.41 N/A N/A 2,226,588 1,569,176 27,342,140 26,651,156 2007-03-23 $3.34 $3.04 23.2% 6.6% 30.1% 0.0% 23.9% 1.8% 9.7% 94.1M -3.68B -23.8M 1.00 2.78 N/A N/A 2,341,220 2,348,164 28,024,584 27,181,420 2007-03-26 $3.42 $3.04 24.9% 7.2% 30.9% 0.0% 25.6% 1.7% 9.5% 122.1M -4.59B -23.7M 0.46 3.76 N/A N/A 4,135,376 1,913,604 28,573,468 27,399,456 2007-03-27 $3.41 $3.04 25.5% 7.3% 22.2% 0.0% 25.8% 1.4% 9.4% 117.8M -4.50B -24.4M 0.65 2.70 N/A N/A 3,007,732 1,958,544 29,056,496 28,173,880 2007-03-28 $3.33 $3.04 26.3% 7.5% 24.6% 0.0% 26.5% 0.4% 8.9% 99.2M -3.70B -25.0M 3.14 2.75 N/A N/A 2,119,964 6,650,644 29,284,248 28,619,444 2007-03-29 $3.35 $3.04 25.2% 7.2% 23.0% 0.0% 26.7% 1.5% 10.0% 101.3M -3.77B -25.9M 1.19 3.07 N/A N/A 1,824,340 2,167,452 29,598,128 30,929,108 2007-03-30 $3.32 $3.04 25.3% 7.2% 21.9% 0.0% 25.8% 1.0% 10.0% 98.8M -3.49B -25.4M 0.69 2.47 N/A N/A 1,123,584 780,472 29,678,068 30,843,512
« Feb 2007 | All History | Apr 2007 » Home AAPL History March 2007