AAPL Options History — July 2007 In July 2007, AAPL traded between $4.33 and $5.21. ATM implied volatility averaged 41.9%, placing in the 55.8% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 7.1% (HV 20d: 34.9%). Max pain ranged from $3.93 to $4.82. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.50.
Notable Days 2007-07-26 : Highest Volume — 23,045,904 contracts2007-07-12 : Largest IV spike — 33.2% change2007-07-25 : Highest IV Rank — 84.6%2007-07-25 : Largest Expected Move — 15.6%Monthly Statistics Metric Avg Min Max Open Close Price $4.86 $4.33 $5.21 $4.33 $4.71 Max Pain $4.49 $3.93 $4.82 $3.93 $4.82 ATM IV 41.9% 31.1% 54.5% 32.3% 47.3% Expected Move 12.5% 9.0% 15.6% 9.3% 13.5% HV 20d 34.9% 27.7% 51.1% 27.7% 51.1% HV 60d 29.0% 25.9% 36.7% 25.9% 36.7% IV Rank 55.8% 25.9% 84.6% 30.1% 66.4% IV Percentile 86.2% 60.6% 97.9% 69.0% 91.0% Term Structure -3.1% -11.3% 9.2% 7.8% -4.2% VWIV 44.3% 32.2% 54.5% 32.8% 48.0% Skew 25d -0.8% -3.7% 2.1% 1.2% -0.5% Skew 10d -1.3% -7.5% 5.3% 2.7% 1.3% Call IV 25d 44.8% 31.6% 56.4% 32.4% 48.3% Put IV 25d 44.0% 33.0% 54.0% 33.6% 47.8% Bid-Ask Spread % 6.29 3.81 12.41 6.20 6.45 Gamma HHI 0.14 0.07 0.32 0.11 0.08 Net GEX 171.9M 80.5M 242.0M 110.4M 80.5M Net DEX -10.56B -14.73B -5.49B -6.95B -5.49B Net VEX -39.3M -48.7M -33.1M -35.2M -48.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.50 0.35 0.77 0.46 0.75 Total Volume 10,809,401.333 5,493,460 23,045,904 7,189,504 14,905,632 Total OI 80,991,421.333 66,567,452 90,134,520 77,408,016 80,862,460
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 2007-07-02 $4.33 $3.93 32.3% 9.3% 27.7% 0.0% 32.8% 1.2% 7.8% 110.4M -6.95B -35.2M 0.46 6.20 N/A N/A 4,910,444 2,279,060 39,664,436 37,743,580 2007-07-03 $4.54 $3.93 31.5% 9.0% 32.3% 0.0% 32.2% 1.4% 9.2% 174.7M -9.29B -34.6M 0.50 3.81 N/A N/A 7,470,764 3,756,340 40,199,488 38,320,744 2007-07-05 $4.74 $3.93 32.8% 9.4% 35.4% 30.1% 33.7% 0.0% 6.7% 215.3M -11.58B -33.1M 0.45 4.09 N/A N/A 10,763,200 4,802,448 40,729,892 38,869,740 2007-07-06 $4.72 $4.29 31.1% 11.3% 35.5% 25.9% 40.4% -1.5% -1.7% 191.7M -11.06B -34.4M 0.47 6.55 N/A N/A 5,871,852 2,772,028 40,612,964 40,071,864 2007-07-09 $4.65 $4.46 33.4% 12.0% 36.1% 31.6% 42.8% -2.0% -2.6% 170.6M -10.03B -35.6M 0.39 8.71 N/A N/A 5,451,208 2,146,312 40,606,720 40,545,064 2007-07-10 $4.73 $4.46 33.6% 12.3% 33.5% 32.1% 43.2% -1.3% -2.9% 183.0M -10.80B -36.5M 0.44 5.29 N/A N/A 7,088,004 3,134,768 41,023,836 40,985,952 2007-07-11 $4.73 $4.46 31.5% 11.8% 33.5% 26.8% 41.8% -1.7% -2.6% 190.5M -10.76B -36.5M 0.63 12.41 N/A N/A 3,977,764 2,520,924 41,853,168 41,665,568 2007-07-12 $4.79 $4.46 41.9% 12.0% 31.8% 53.0% 42.2% -1.5% -3.2% 198.2M -11.33B -36.1M 0.45 5.54 N/A N/A 3,786,636 1,706,824 41,454,952 42,006,244 2007-07-13 $4.92 $4.46 41.4% 11.9% 32.6% 51.8% 42.0% -1.5% -2.0% 217.5M -12.90B -36.3M 0.45 5.92 N/A N/A 6,422,976 2,921,604 41,904,772 42,467,208 2007-07-16 $4.93 $4.46 45.3% 13.0% 32.5% 61.5% 46.0% -1.8% -5.0% 200.4M -12.92B -35.8M 0.44 6.50 N/A N/A 8,776,264 3,843,336 41,870,332 42,963,872 2007-07-17 $4.96 $4.46 47.7% 13.7% 30.4% 67.7% 48.2% -1.6% -5.8% 198.5M -12.92B -37.0M 0.47 4.83 N/A N/A 5,711,664 2,699,564 42,732,480 43,810,256 2007-07-18 $4.93 $4.64 49.4% 14.2% 30.1% 71.8% 49.8% -2.2% -7.1% 180.5M -12.63B -38.8M 0.52 4.97 N/A N/A 3,988,460 2,055,200 44,027,984 44,623,544 2007-07-19 $5.00 $4.64 50.6% 14.5% 29.0% 74.9% 51.2% -1.3% -6.9% 242.0M -13.40B -39.2M 0.35 4.59 N/A N/A 5,779,228 1,997,688 44,435,412 44,889,124 2007-07-20 $5.13 $4.64 54.1% 15.5% 29.5% 83.8% 54.5% -1.2% -9.9% 166.7M -14.73B -40.2M 0.44 6.27 N/A N/A 8,225,392 3,630,144 45,069,164 45,065,356 2007-07-23 $5.13 $4.64 53.4% 15.3% 29.1% 82.0% 54.3% -3.7% -10.7% 124.9M -9.64B -40.9M 0.36 7.44 N/A N/A 8,107,316 2,942,044 34,284,796 32,282,656 2007-07-24 $4.82 $4.64 52.0% 14.9% 38.4% 78.3% 52.8% -1.6% -10.0% 102.7M -7.22B -43.1M 0.53 6.32 N/A N/A 8,714,804 4,604,964 36,601,796 33,526,192 2007-07-25 $4.90 $4.64 54.5% 15.6% 37.2% 84.6% 54.1% -0.2% -11.3% 112.3M -7.79B -44.2M 0.44 7.16 N/A N/A 11,720,828 5,164,740 38,311,364 35,135,912 2007-07-26 $5.21 $4.64 37.6% 10.8% 41.9% 42.1% 38.6% 2.1% -1.2% 220.2M -11.41B -43.8M 0.77 6.21 N/A N/A 13,010,312 10,035,592 42,111,048 36,633,324 2007-07-27 $5.14 $4.82 39.3% 11.3% 42.1% 46.4% 40.2% 0.4% -0.3% 174.0M -9.94B -47.2M 0.67 7.59 N/A N/A 6,442,604 4,312,084 41,869,492 37,965,928 2007-07-30 $5.05 $4.82 40.3% 11.6% 43.1% 49.0% 41.3% 1.6% -0.6% 155.9M -8.87B -48.7M 0.53 5.25 N/A N/A 5,604,200 2,942,212 42,415,296 38,605,868 2007-07-31 $4.71 $4.82 47.3% 13.5% 51.1% 66.4% 48.0% -0.5% -4.2% 80.5M -5.49B -48.5M 0.75 6.45 N/A N/A 8,506,176 6,399,456 42,594,888 38,267,572
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