AAPL Options History — April 2007

In April 2007, AAPL traded between $3.22 and $3.57. ATM implied volatility averaged 28.9%. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 7.9% (HV 20d: 21.1%). Max pain ranged from $3.04 to $3.39. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2007-04-26: Highest Volume — 16,368,548 contracts
  • 2007-04-26: Largest IV drop — 36.4% change
  • 2007-04-25: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.35$3.22$3.57$3.34$3.56
Max Pain$3.25$3.04$3.39$3.04$3.39
ATM IV28.9%21.3%35.8%25.6%21.3%
Expected Move8.7%6.1%10.2%7.3%6.1%
HV 20d21.1%18.8%23.2%21.8%22.8%
HV 60d27.5%24.4%34.1%34.1%26.0%
Term Structure1.4%-4.4%11.0%9.4%3.0%
VWIV30.7%22.2%36.1%26.1%22.2%
Skew 25d1.3%0.1%2.8%0.7%1.4%
Skew 10d2.4%0.9%3.9%2.3%3.6%
Call IV 25d30.2%21.8%35.3%25.8%21.8%
Put IV 25d31.5%22.8%37.3%26.5%23.2%
Bid-Ask Spread %6.232.0512.132.215.71
Gamma HHI0.200.120.270.220.19
Net GEX79.8M16.3M123.2M109.2M95.2M
Net DEX-3.27B-4.28B-2.23B-3.74B-4.22B
Net VEX-24.0M-25.0M-23.2M-25.0M-24.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.411.121.120.93
Total Volume4,476,739.41,813,02816,368,5482,834,6084,327,848
Total OI59,203,611.643,165,38866,006,36060,410,50453,675,160

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$3.34$3.0425.6%7.3%21.8%0.0%26.1%0.7%9.4%109.2M-3.74B-25.0M1.122.21N/AN/A1,334,1721,500,43629,732,10830,678,396
2007-04-03$3.38$3.0424.6%7.1%20.9%0.0%25.4%1.4%9.7%119.1M-4.07B-24.8M1.034.49N/AN/A1,977,5562,036,46830,151,96831,534,748
2007-04-04$3.37$3.0423.7%6.8%20.8%0.0%24.3%0.8%9.7%113.7M-3.91B-24.6M0.833.01N/AN/A993,300819,72830,123,15631,991,736
2007-04-05$3.38$3.0422.0%6.3%20.8%0.0%22.2%1.8%11.0%123.2M-4.07B-24.5M0.712.05N/AN/A1,238,076879,22830,338,98032,074,588
2007-04-09$3.34$3.3925.3%9.7%21.4%0.0%34.5%1.5%-0.3%111.9M-3.68B-24.0M0.738.72N/AN/A1,209,796884,96830,461,11632,533,620
2007-04-10$3.37$3.3923.8%9.7%20.3%0.0%34.0%1.7%-0.4%121.7M-3.91B-24.0M0.599.05N/AN/A1,195,068709,21230,880,75232,717,272
2007-04-11$3.31$3.3925.2%9.8%20.5%0.0%34.7%1.7%-0.5%93.7M-3.21B-24.2M0.467.29N/AN/A1,996,596919,29630,857,14832,884,236
2007-04-12$3.29$3.3933.2%9.5%19.7%0.0%33.2%1.2%0.1%83.4M-3.03B-23.7M0.5512.13N/AN/A2,198,5041,198,98830,725,80032,912,740
2007-04-13$3.22$3.3933.3%9.5%21.2%0.0%33.5%0.1%-0.2%48.4M-2.23B-23.4M1.095.81N/AN/A2,489,3402,705,52830,620,57632,976,720
2007-04-16$3.27$3.3933.6%9.6%21.7%0.0%33.8%1.0%-0.9%67.2M-2.79B-23.6M0.606.51N/AN/A2,242,7441,356,32031,102,45633,753,216
2007-04-17$3.23$3.2134.6%9.9%21.3%0.0%34.5%0.8%-1.3%47.4M-2.39B-23.7M0.988.32N/AN/A2,624,9442,574,06831,079,55233,767,020
2007-04-18$3.23$3.2134.6%9.9%21.2%0.0%34.4%1.0%-1.3%57.9M-2.45B-24.0M0.807.18N/AN/A1,616,4961,285,28431,500,39234,089,608
2007-04-19$3.22$3.2133.3%9.5%18.8%0.0%33.6%1.5%-0.5%77.0M-2.46B-23.8M0.706.28N/AN/A1,602,6081,119,55231,647,67234,358,688
2007-04-20$3.25$3.2134.3%9.8%19.1%0.0%34.3%0.8%-1.8%16.3M-3.08B-23.5M0.416.98N/AN/A2,191,476897,73631,415,02034,382,096
2007-04-23$3.34$3.2135.5%10.2%21.7%0.0%35.6%1.7%-4.4%27.7M-2.39B-23.2M0.484.62N/AN/A3,290,2801,581,72020,083,44823,081,940
2007-04-24$3.33$3.2135.0%10.0%19.6%0.0%35.5%2.8%-4.2%34.7M-2.41B-23.9M0.516.10N/AN/A3,835,7481,948,52021,366,74423,637,740
2007-04-25$3.41$3.2135.8%10.2%21.3%0.0%36.1%2.0%-3.4%49.8M-2.95B-24.6M0.706.91N/AN/A5,828,5644,064,28422,457,73624,403,680
2007-04-26$3.53$3.2122.7%6.5%23.0%0.0%23.4%0.7%2.4%101.7M-4.19B-23.6M0.565.05N/AN/A10,467,7445,900,80424,661,16826,091,016
2007-04-27$3.57$3.3921.6%6.2%23.2%0.0%22.4%1.0%2.1%96.6M-4.28B-24.5M1.046.18N/AN/A2,200,5202,291,26825,800,06827,522,152
2007-04-30$3.56$3.3921.3%6.1%22.8%0.0%22.2%1.4%3.0%95.2M-4.22B-24.3M0.935.71N/AN/A2,239,8602,087,98825,718,95227,956,208