AAPL Options History — August 2007 In August 2007, AAPL traded between $4.18 and $4.95. ATM implied volatility averaged 40.3%, placing in the 48.9% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 11.5% (HV 20d: 51.8%). Max pain ranged from $4.64 to $5.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.64.
Notable Days 2007-08-16 : Highest Volume — 17,623,620 contracts2007-08-09 : Largest IV spike — 31.5% change2007-08-16 : Highest IV Rank — 64.9%2007-08-16 : Largest Expected Move — 13.4%Monthly Statistics Metric Avg Min Max Open Close Price $4.64 $4.18 $4.95 $4.82 $4.95 Max Pain $4.75 $4.64 $5.00 $4.82 $4.64 ATM IV 40.3% 34.6% 46.6% 44.0% 38.5% Expected Move 11.5% 9.9% 13.4% 12.6% 11.0% HV 20d 51.8% 47.0% 55.9% 49.1% 50.6% HV 60d 40.7% 36.5% 44.7% 36.5% 44.7% IV Rank 48.9% 34.6% 64.9% 58.3% 44.4% IV Percentile 80.8% 63.0% 91.0% 89.0% 74.9% Term Structure 4.1% -0.9% 6.8% -0.9% 2.9% VWIV 40.4% 35.4% 46.4% 44.9% 38.8% Skew 25d 2.9% -0.3% 5.7% 2.4% 2.4% Skew 10d 6.0% 2.4% 11.7% 5.2% 4.6% Call IV 25d 39.2% 33.3% 43.8% 43.7% 37.6% Put IV 25d 42.1% 36.6% 49.4% 46.1% 40.1% Bid-Ask Spread % 6.93 4.79 12.22 5.70 5.60 Gamma HHI 0.08 0.06 0.11 0.09 0.09 Net GEX 69.2M -36.0M 134.0M 105.9M 134.0M Net DEX -4.99B -8.09B -415.5M -6.60B -8.09B Net VEX -47.4M -50.2M -44.8M -49.7M -49.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.34 1.06 0.65 0.64 Total Volume 7,299,548.87 3,676,372 17,623,620 12,000,884 6,054,832 Total OI 81,971,395.13 70,910,028 90,414,100 83,508,516 79,027,088
Daily Data (23 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 2007-08-01 $4.82 $4.82 44.0% 12.6% 49.1% 58.3% 44.9% 2.4% -0.9% 105.9M -6.60B -49.7M 0.65 5.70 N/A N/A 7,253,204 4,747,680 43,984,500 39,524,016 2007-08-02 $4.87 $4.82 42.4% 12.1% 47.0% 54.1% 42.9% 2.3% -0.2% 126.3M -7.21B -50.2M 0.81 6.39 N/A N/A 3,499,076 2,820,972 44,694,300 39,823,896 2007-08-03 $4.71 $4.82 41.7% 12.0% 48.7% 52.5% 43.3% -0.3% 0.7% 84.4M -5.42B -50.2M 0.62 6.08 N/A N/A 3,386,292 2,107,616 45,341,856 40,387,956 2007-08-06 $4.83 $5.00 41.4% 11.8% 49.1% 51.7% 41.7% 2.1% 4.1% 117.2M -6.51B -49.6M 0.65 8.14 N/A N/A 4,339,188 2,838,696 45,545,052 40,593,000 2007-08-07 $4.82 $5.00 36.5% 10.6% 48.9% 39.5% 36.2% 4.3% 5.9% 125.3M -6.55B -48.4M 0.34 9.89 N/A N/A 5,759,908 1,983,856 45,806,404 40,681,256 2007-08-08 $4.79 $4.82 35.3% 10.5% 49.0% 36.5% 36.9% 2.6% 5.6% 118.4M -6.17B -47.5M 0.44 12.22 N/A N/A 3,904,796 1,700,020 46,569,152 40,643,876 2007-08-09 $4.51 $4.82 46.5% 12.6% 53.0% 64.5% 43.3% 2.5% 4.0% 32.8M -3.46B -48.3M 0.55 10.04 N/A N/A 5,332,852 2,932,300 46,652,900 40,630,072 2007-08-10 $4.46 $4.82 42.1% 12.1% 51.9% 53.5% 41.9% 4.6% 3.7% 11.8M -2.67B -46.7M 0.53 7.84 N/A N/A 9,114,084 4,797,184 47,688,060 40,851,748 2007-08-13 $4.56 $4.82 38.9% 10.9% 52.7% 45.3% 38.3% 4.4% 5.3% 48.8M -3.93B -45.6M 0.71 6.19 N/A N/A 3,025,064 2,135,812 48,198,248 40,827,024 2007-08-14 $4.43 $4.82 38.3% 11.1% 53.3% 43.9% 38.8% 3.0% 5.8% -10.2M -2.49B -44.9M 0.94 5.89 N/A N/A 3,007,928 2,833,656 48,188,504 40,749,604 2007-08-15 $4.28 $4.82 42.8% 11.8% 54.3% 55.3% 40.7% 3.4% 4.2% -36.0M -1.13B -44.8M 0.93 6.47 N/A N/A 3,662,176 3,405,360 48,305,656 40,258,316 2007-08-16 $4.18 $4.82 46.6% 13.4% 54.0% 64.9% 46.4% 5.7% 2.8% -34.3M -415.5M -45.2M 1.06 7.49 N/A N/A 8,542,800 9,080,820 48,639,724 39,819,444 2007-08-17 $4.36 $4.64 39.0% 11.2% 55.6% 45.7% 39.4% 2.6% 5.9% 30.4M -2.71B -46.0M 0.83 6.89 N/A N/A 5,099,584 4,216,240 49,921,648 40,492,452 2007-08-20 $4.37 $4.64 40.8% 11.7% 55.7% 50.1% 40.4% 4.8% 4.3% 36.8M -3.23B -44.9M 0.65 6.14 N/A N/A 2,545,060 1,658,272 36,623,692 34,286,336 2007-08-21 $4.56 $4.64 39.7% 11.4% 54.4% 47.5% 40.8% 1.9% 5.6% 64.1M -4.82B -46.7M 0.50 4.79 N/A N/A 5,245,828 2,622,200 37,211,832 34,545,952 2007-08-22 $4.73 $4.64 37.8% 10.8% 55.9% 42.8% 38.8% 1.4% 6.8% 86.8M -6.23B -47.2M 0.49 7.20 N/A N/A 3,588,200 1,773,324 37,673,720 35,184,492 2007-08-23 $4.68 $4.64 38.1% 10.9% 50.7% 43.3% 38.4% 1.9% 5.2% 80.5M -5.74B -47.0M 0.48 5.88 N/A N/A 2,906,484 1,400,868 38,339,980 35,509,404 2007-08-24 $4.83 $4.64 34.6% 9.9% 52.2% 34.6% 35.4% 3.3% 5.7% 106.3M -6.96B -47.6M 0.69 5.73 N/A N/A 3,319,764 2,276,344 38,937,920 35,797,972 2007-08-27 $4.72 $4.64 38.6% 11.1% 52.5% 44.6% 38.3% 2.9% 3.7% 88.2M -6.01B -46.7M 0.54 5.26 N/A N/A 2,388,708 1,287,664 39,309,424 36,315,608 2007-08-28 $4.53 $4.64 43.1% 12.3% 48.4% 55.9% 42.7% 2.8% 3.4% 58.2M -4.46B -47.5M 0.69 6.72 N/A N/A 3,464,216 2,375,184 39,886,784 36,678,684 2007-08-29 $4.79 $4.64 38.0% 10.9% 51.8% 43.3% 38.9% 3.6% 5.1% 104.2M -6.67B -47.5M 0.49 6.68 N/A N/A 3,304,868 1,627,836 40,357,128 37,066,008 2007-08-30 $4.87 $4.64 41.6% 11.9% 52.0% 52.3% 41.8% 2.8% 4.5% 113.1M -7.40B -48.1M 0.41 6.08 N/A N/A 6,036,576 2,486,232 40,505,640 37,265,760 2007-08-31 $4.95 $4.64 38.5% 11.0% 50.6% 44.4% 38.8% 2.4% 2.9% 134.0M -8.09B -49.4M 0.64 5.60 N/A N/A 3,701,852 2,352,980 41,111,868 37,915,220
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