AAPL Options History — May 2007 In May 2007, AAPL traded between $3.55 and $4.33. ATM implied volatility averaged 26.2%. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 4.7% (HV 20d: 21.4%). Max pain ranged from $3.39 to $3.93. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.72.
Notable Days 2007-05-30 : Highest Volume — 17,639,188 contracts2007-05-30 : Largest IV spike — 18.6% change2007-05-30 : Largest Expected Move — 9.3%Monthly Statistics Metric Avg Min Max Open Close Price $3.89 $3.55 $4.33 $3.55 $4.33 Max Pain $3.61 $3.39 $3.93 $3.39 $3.93 ATM IV 26.2% 20.8% 32.4% 21.4% 30.8% Expected Move 7.6% 6.1% 9.3% 6.1% 8.8% HV 20d 21.4% 19.1% 24.2% 22.9% 23.0% HV 60d 24.3% 21.4% 26.2% 26.0% 22.4% Term Structure 5.0% -1.0% 7.9% 4.0% 2.2% VWIV 27.2% 21.8% 33.3% 22.1% 31.6% Skew 25d 1.1% -1.4% 2.3% -0.4% -1.4% Skew 10d 2.4% -2.4% 5.2% -0.0% -2.4% Call IV 25d 26.8% 21.7% 33.2% 22.5% 32.7% Put IV 25d 27.9% 22.1% 33.8% 22.1% 31.4% Bid-Ask Spread % 5.33 3.10 8.32 3.13 5.37 Gamma HHI 0.23 0.15 0.91 0.19 0.22 Net GEX 169.7M 66.6M 1.60B 90.5M 98.4M Net DEX -5.90B -8.27B -4.04B -4.04B -8.27B Net VEX -24.1M -26.3M -12.5M -24.5M -25.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.34 1.85 0.60 0.46 Total Volume 7,017,552.182 2,260,048 17,639,188 3,991,736 14,824,824 Total OI 57,174,339.091 39,438,896 64,060,500 54,582,444 62,204,996
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 2007-05-01 $3.55 $3.39 21.4% 6.1% 22.9% 0.0% 22.1% -0.4% 4.0% 90.5M -4.04B -24.5M 0.60 3.13 N/A N/A 2,498,132 1,493,604 26,014,128 28,568,316 2007-05-02 $3.59 $3.39 21.3% 6.1% 22.9% 0.0% 21.8% 1.0% 3.8% 92.8M -4.30B -24.7M 0.50 3.35 N/A N/A 1,890,924 953,176 26,279,316 28,888,636 2007-05-03 $3.59 $3.39 21.9% 6.3% 22.8% 0.0% 22.2% 1.6% 3.7% 90.4M -4.24B -24.7M 0.89 3.10 N/A N/A 1,940,764 1,722,952 26,383,952 28,983,472 2007-05-04 $3.60 $3.57 20.8% 7.2% 22.8% 0.0% 25.1% 1.6% 5.9% 96.7M -4.43B -24.6M 0.72 4.29 N/A N/A 1,316,812 943,236 26,668,600 29,536,584 2007-05-07 $3.71 $3.57 23.7% 7.6% 24.1% 0.0% 27.0% 1.9% 5.3% 112.0M -5.42B -23.6M 0.76 5.90 N/A N/A 5,403,832 4,079,656 26,664,876 29,750,560 2007-05-08 $3.75 $3.57 24.8% 7.8% 24.2% 0.0% 27.2% 1.5% 4.6% 113.2M -5.70B -23.9M 0.46 6.77 N/A N/A 4,346,440 1,995,700 26,932,976 30,611,532 2007-05-09 $3.82 $3.57 24.9% 7.7% 22.9% 0.0% 27.2% 1.5% 4.8% 118.9M -6.23B -24.1M 0.57 4.86 N/A N/A 3,621,632 2,051,924 27,579,412 30,956,912 2007-05-10 $3.83 $3.57 29.1% 8.3% 22.5% 0.0% 29.0% 0.9% 4.7% 106.0M -6.25B -24.9M 0.53 5.58 N/A N/A 6,178,732 3,268,972 27,638,156 31,511,648 2007-05-11 $3.88 $3.57 27.1% 7.8% 19.8% 0.0% 27.7% 1.1% 5.5% 117.9M -6.75B -25.0M 0.56 4.94 N/A N/A 2,774,716 1,543,808 28,663,404 32,266,360 2007-05-14 $3.91 $3.57 27.2% 7.8% 19.8% 0.0% 28.0% 1.4% 4.7% 105.1M -4.61B -12.5M 0.69 5.34 N/A N/A 3,054,044 2,122,176 18,968,152 20,470,744 2007-05-15 $3.84 $3.57 26.7% 7.6% 20.5% 0.0% 27.5% 1.8% 5.4% 104.9M -6.21B -24.6M 0.85 6.84 N/A N/A 3,714,396 3,171,644 29,008,168 33,047,840 2007-05-16 $3.83 $3.57 27.4% 7.8% 20.7% 0.0% 27.7% 2.3% 5.7% 95.3M -6.08B -25.3M 1.21 5.79 N/A N/A 3,449,768 4,159,764 29,516,032 33,677,364 2007-05-17 $3.91 $3.57 26.4% 7.6% 20.7% 0.0% 27.5% 2.2% 5.8% 160.0M -6.91B -25.0M 0.53 6.10 N/A N/A 3,919,776 2,094,176 29,809,864 34,235,124 2007-05-18 $3.93 $3.57 27.8% 8.0% 20.7% 0.0% 28.2% 1.8% 5.3% 1.60B -7.13B -24.8M 0.52 5.41 N/A N/A 3,878,840 2,007,684 29,711,276 34,349,224 2007-05-21 $4.00 $3.57 27.2% 7.8% 19.8% 0.0% 27.7% 1.5% 5.9% 83.5M -5.76B -23.7M 0.58 4.28 N/A N/A 3,996,636 2,322,964 24,443,048 27,043,268 2007-05-22 $4.05 $3.75 26.6% 7.6% 19.4% 0.0% 27.6% 0.9% 6.5% 89.3M -6.21B -23.4M 1.85 4.85 N/A N/A 2,571,212 4,760,308 24,996,972 27,713,084 2007-05-23 $4.03 $3.75 27.6% 7.9% 19.6% 0.0% 28.3% 0.6% 6.4% 83.3M -5.97B -24.2M 1.11 6.27 N/A N/A 5,942,636 6,589,184 25,195,408 28,814,128 2007-05-24 $3.95 $3.75 28.0% 8.0% 19.1% 0.0% 28.1% 0.5% 6.4% 66.6M -5.21B -26.3M 0.76 8.32 N/A N/A 4,567,892 3,478,664 26,006,848 30,726,780 2007-05-25 $4.06 $3.75 25.2% 7.2% 20.4% 0.0% 25.8% 0.4% 7.9% 94.8M -6.16B -25.2M 0.44 5.60 N/A N/A 2,298,772 1,009,064 26,562,032 30,816,800 2007-05-29 $4.08 $3.75 27.3% 7.8% 20.2% 0.0% 27.9% 0.6% 6.1% 98.6M -6.28B -25.2M 0.34 6.20 N/A N/A 3,572,492 1,215,032 26,783,008 31,096,324 2007-05-30 $4.24 $3.75 32.4% 9.3% 22.6% 0.0% 33.3% 0.7% -1.0% 112.5M -7.61B -24.1M 0.97 5.01 N/A N/A 8,936,200 8,702,988 27,390,468 31,349,668 2007-05-31 $4.33 $3.93 30.8% 8.8% 23.0% 0.0% 31.6% -1.4% 2.2% 98.4M -8.27B -25.1M 0.46 5.37 N/A N/A 10,137,232 4,687,592 28,260,512 33,944,484
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