AAPL Options History — June 2007 In June 2007, AAPL traded between $4.20 and $4.47. ATM implied volatility averaged 35.8%. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 6.7% (HV 20d: 29.2%). Max pain ranged from $3.57 to $3.93. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.48.
Notable Days 2007-06-11 : Highest Volume — 16,563,204 contracts2007-06-14 : Largest IV spike — 22.4% change2007-06-26 : Largest Expected Move — 11.9%Monthly Statistics Metric Avg Min Max Open Close Price $4.35 $4.20 $4.47 $4.23 $4.36 Max Pain $3.78 $3.57 $3.93 $3.93 $3.93 ATM IV 35.8% 30.2% 41.7% 33.3% 38.7% Expected Move 10.7% 9.5% 11.9% 9.5% 11.1% HV 20d 29.2% 24.8% 33.0% 25.6% 28.9% HV 60d 24.5% 22.6% 25.9% 23.0% 25.9% Term Structure 2.1% -1.5% 4.8% 1.0% 3.7% VWIV 37.9% 34.0% 42.5% 34.0% 39.3% Skew 25d -1.0% -2.9% 0.4% -2.9% 0.4% Skew 10d -1.7% -5.1% 1.3% -4.4% 0.6% Call IV 25d 38.4% 35.0% 43.0% 35.0% 39.3% Put IV 25d 37.4% 32.2% 42.4% 32.2% 39.7% Bid-Ask Spread % 7.58 3.02 41.63 5.76 6.33 Gamma HHI 0.13 0.09 0.20 0.19 0.11 Net GEX 105.2M 47.3M 141.2M 107.9M 117.8M Net DEX -7.65B -9.16B -6.07B -7.39B -7.37B Net VEX -31.7M -35.9M -26.6M -27.2M -35.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.48 0.28 0.69 0.55 0.52 Total Volume 7,949,956 3,456,460 16,563,204 7,401,940 8,025,892 Total OI 70,387,777.333 63,256,256 77,294,056 63,713,104 75,413,632
Daily Data (21 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 2007-06-01 $4.23 $3.93 33.3% 9.5% 25.6% 0.0% 34.0% -2.9% 1.0% 107.9M -7.39B -27.2M 0.55 5.76 N/A N/A 4,783,688 2,618,252 29,691,536 34,021,568 2007-06-04 $4.33 $3.57 34.5% 10.1% 26.2% 0.0% 35.5% -0.9% 0.6% 130.3M -8.42B -26.6M 0.32 3.26 N/A N/A 5,541,396 1,790,012 30,714,208 34,134,520 2007-06-05 $4.38 $3.57 34.1% 10.2% 25.0% 0.0% 35.8% -1.0% 0.5% 138.2M -8.80B -27.0M 0.60 4.17 N/A N/A 3,654,728 2,192,428 31,214,148 34,366,136 2007-06-06 $4.42 $3.57 31.2% 10.0% 25.0% 0.0% 35.2% -0.3% 2.2% 141.2M -9.11B -27.6M 0.47 12.96 N/A N/A 7,172,900 3,353,084 31,764,488 35,300,944 2007-06-07 $4.43 $3.57 37.7% 11.2% 24.8% 0.0% 39.2% -1.4% 0.7% 116.6M -9.04B -30.0M 0.56 3.02 N/A N/A 10,514,532 5,922,784 32,443,712 36,146,936 2007-06-08 $4.45 $3.75 35.1% 10.9% 24.8% 0.0% 38.4% -1.0% 0.1% 118.2M -9.16B -30.2M 0.44 41.63 N/A N/A 6,610,576 2,883,608 33,910,352 37,142,196 2007-06-11 $4.29 $3.75 33.7% 10.8% 28.9% 0.0% 38.3% -1.4% -1.5% 84.5M -7.42B -30.5M 0.49 4.72 N/A N/A 11,095,028 5,468,176 34,681,080 37,972,312 2007-06-12 $4.30 $3.75 30.2% 10.9% 28.9% 0.0% 39.7% -2.1% -0.4% 85.5M -7.37B -30.9M 0.69 9.07 N/A N/A 6,232,828 4,328,352 36,571,304 38,728,956 2007-06-13 $4.20 $3.75 30.8% 11.1% 29.8% 0.0% 40.2% -2.5% -0.7% 47.3M -6.07B -31.7M 0.59 5.69 N/A N/A 7,922,012 4,656,120 36,668,940 38,949,988 2007-06-14 $4.24 $3.75 37.6% 10.8% 29.7% 0.0% 38.0% -0.9% 0.3% 89.4M -6.86B -31.4M 0.56 8.39 N/A N/A 4,043,340 2,270,604 38,049,144 39,244,912 2007-06-15 $4.30 $3.75 34.8% 10.0% 29.5% 0.0% 35.8% -0.1% 2.5% 124.6M -7.69B -31.0M 0.56 6.41 N/A N/A 4,716,012 2,646,112 37,942,044 39,201,344 2007-06-18 $4.47 $3.75 35.2% 10.1% 31.7% 0.0% 35.8% -1.2% 4.4% 100.4M -7.90B -30.5M 0.48 5.10 N/A N/A 5,231,660 2,500,820 30,855,804 32,400,452 2007-06-19 $4.42 $3.75 36.6% 10.5% 32.0% 0.0% 36.9% -1.5% 3.4% 96.2M -7.56B -32.0M 0.47 4.51 N/A N/A 3,264,940 1,527,316 32,232,256 33,320,756 2007-06-20 $4.34 $3.75 35.6% 10.2% 32.7% 0.0% 36.4% -1.0% 4.4% 92.1M -6.98B -33.4M 0.29 5.81 N/A N/A 3,718,204 1,069,880 33,361,804 33,825,120 2007-06-21 $4.42 $3.75 35.7% 10.2% 33.0% 0.0% 36.2% -0.5% 4.8% 106.1M -7.82B -33.4M 0.33 5.02 N/A N/A 3,662,512 1,225,392 33,874,764 34,064,688 2007-06-22 $4.39 $3.93 37.7% 10.8% 32.1% 0.0% 38.6% -1.4% 3.6% 103.4M -7.58B -34.3M 0.39 5.00 N/A N/A 2,480,296 976,164 34,972,392 34,578,460 2007-06-25 $4.37 $3.93 40.1% 11.5% 31.3% 0.0% 40.7% -1.3% 3.8% 106.3M -7.41B -34.9M 0.28 8.03 N/A N/A 4,503,660 1,276,604 35,952,784 34,872,236 2007-06-26 $4.27 $3.93 41.7% 11.9% 32.6% 0.0% 42.5% -0.6% 3.9% 91.9M -6.54B -35.9M 0.47 5.11 N/A N/A 4,474,568 2,094,428 36,810,648 35,321,048 2007-06-27 $4.35 $3.93 40.5% 11.6% 30.4% 0.0% 40.5% -0.3% 3.1% 109.1M -7.33B -35.6M 0.56 5.05 N/A N/A 3,090,696 1,744,120 37,573,984 35,838,432 2007-06-28 $4.31 $3.93 37.5% 10.8% 29.9% 0.0% 38.1% 0.3% 4.2% 102.4M -6.78B -35.3M 0.40 4.15 N/A N/A 4,059,020 1,606,332 37,833,628 36,179,668 2007-06-29 $4.36 $3.93 38.7% 11.1% 28.9% 0.0% 39.3% 0.4% 3.7% 117.8M -7.37B -35.9M 0.52 6.33 N/A N/A 5,268,228 2,757,664 38,803,660 36,609,972
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