AAPL Options History — September 2007 In September 2007, AAPL traded between $4.71 and $5.52. ATM implied volatility averaged 39.9%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 7.0% (HV 20d: 46.9%). Max pain ranged from $4.64 to $4.82. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.67.
Notable Days 2007-09-05 : Highest Volume — 15,999,676 contracts2007-09-06 : Largest IV drop — 12.7% change2007-09-05 : Highest IV Rank — 64.9%2007-09-05 : Largest Expected Move — 13.4%Monthly Statistics Metric Avg Min Max Open Close Price $5.07 $4.71 $5.52 $5.15 $5.48 Max Pain $4.72 $4.64 $4.82 $4.64 $4.82 ATM IV 39.9% 34.4% 46.6% 45.6% 34.4% Expected Move 11.7% 9.9% 13.4% 13.1% 9.9% HV 20d 46.9% 35.3% 55.6% 51.7% 35.5% HV 60d 46.0% 44.7% 46.8% 45.4% 44.7% IV Rank 47.9% 34.1% 64.9% 62.2% 34.1% IV Percentile 74.9% 53.8% 91.1% 90.5% 53.8% Term Structure 4.1% -1.3% 8.6% -1.3% 7.0% VWIV 41.2% 35.3% 46.7% 45.8% 35.3% Skew 25d 2.1% 0.4% 3.6% 0.7% 2.3% Skew 10d 4.5% 0.9% 7.4% 0.9% 6.1% Call IV 25d 40.2% 34.2% 46.6% 45.5% 34.2% Put IV 25d 42.3% 36.5% 47.3% 46.1% 36.5% Bid-Ask Spread % 6.53 2.45 10.30 5.32 2.45 Gamma HHI 0.12 0.08 0.35 0.10 0.11 Net GEX 156.0M 81.7M 282.1M 157.5M 168.3M Net DEX -8.78B -11.64B -5.40B -10.12B -11.30B Net VEX -47.1M -49.8M -43.4M -47.1M -47.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.43 1.80 0.48 1.80 Total Volume 7,938,897.474 3,360,616 15,999,676 11,005,848 6,642,076 Total OI 83,761,189.474 74,354,420 87,976,840 79,290,400 82,186,300
Daily Data (19 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 2007-09-04 $5.15 $4.64 45.6% 13.1% 51.7% 62.2% 45.8% 0.7% -1.3% 157.5M -10.12B -47.1M 0.48 5.32 N/A N/A 7,418,012 3,587,836 40,945,352 38,345,048 2007-09-05 $4.88 $4.64 46.6% 13.4% 55.4% 64.9% 46.7% 0.7% 0.8% 106.0M -7.27B -49.8M 0.52 8.45 N/A N/A 10,537,632 5,462,044 41,246,884 39,057,564 2007-09-06 $4.82 $4.82 40.7% 11.7% 55.6% 50.0% 40.8% 1.9% 4.7% 94.4M -6.40B -49.3M 0.43 6.60 N/A N/A 6,872,040 2,988,468 42,607,320 40,294,632 2007-09-07 $4.71 $4.64 41.2% 13.1% 52.0% 51.3% 45.9% 1.8% 1.5% 81.7M -5.40B -49.1M 0.50 6.21 N/A N/A 6,295,520 3,173,184 44,211,020 40,524,064 2007-09-10 $4.88 $4.64 42.6% 13.0% 53.1% 54.7% 45.4% 2.9% 2.4% 133.5M -7.35B -49.7M 0.59 10.30 N/A N/A 5,956,384 3,529,988 44,415,028 40,886,804 2007-09-11 $4.84 $4.64 42.0% 13.1% 52.9% 53.2% 45.5% 2.2% 2.7% 118.7M -6.85B -49.2M 0.67 7.28 N/A N/A 3,044,720 2,035,068 44,790,088 41,033,692 2007-09-12 $4.89 $4.64 38.9% 12.7% 51.5% 45.5% 44.4% 3.1% 3.4% 136.3M -7.35B -49.7M 0.49 5.84 N/A N/A 3,620,624 1,792,084 45,032,736 41,358,604 2007-09-13 $4.90 $4.64 43.1% 12.4% 49.4% 56.0% 43.0% 2.1% 3.6% 140.7M -7.52B -48.8M 0.46 8.59 N/A N/A 2,598,904 1,184,344 45,042,536 41,589,212 2007-09-14 $4.96 $4.64 41.4% 11.9% 48.1% 51.8% 43.0% 3.3% 4.5% 163.1M -8.19B -48.2M 0.71 5.10 N/A N/A 1,961,652 1,398,964 45,519,544 41,784,624 2007-09-17 $4.94 $4.64 43.5% 12.5% 46.6% 56.9% 44.2% 3.6% 2.3% 160.7M -8.03B -46.5M 0.61 7.61 N/A N/A 2,805,236 1,718,108 45,321,472 41,894,972 2007-09-18 $5.03 $4.64 39.8% 11.4% 46.7% 47.8% 40.4% 3.3% 4.3% 206.3M -9.00B -46.2M 0.52 8.21 N/A N/A 4,707,220 2,447,872 45,218,992 41,946,408 2007-09-19 $5.03 $4.64 39.3% 11.3% 44.8% 46.5% 39.5% 1.7% 3.9% 193.8M -8.86B -44.6M 0.77 5.42 N/A N/A 4,286,296 3,313,856 45,152,128 42,246,120 2007-09-20 $5.01 $4.82 37.8% 10.8% 43.1% 42.7% 38.4% 1.4% 4.8% 191.9M -8.64B -44.2M 0.71 8.69 N/A N/A 2,856,224 2,019,052 45,283,560 42,671,076 2007-09-21 $5.15 $4.82 36.8% 10.6% 43.6% 40.2% 37.5% 2.0% 5.6% 282.1M -10.25B -43.5M 0.51 7.09 N/A N/A 5,458,124 2,775,668 45,190,656 42,786,184 2007-09-24 $5.30 $4.82 36.9% 10.6% 43.4% 40.5% 37.8% 0.4% 5.9% 138.4M -9.92B -43.4M 0.61 5.53 N/A N/A 6,521,284 3,964,520 37,225,020 37,129,400 2007-09-25 $5.47 $4.82 35.5% 10.2% 43.2% 36.9% 36.7% 2.9% 8.6% 161.3M -11.39B -45.2M 0.66 5.44 N/A N/A 6,357,316 4,225,984 38,552,136 38,781,652 2007-09-26 $5.46 $4.82 36.1% 10.4% 39.3% 38.5% 36.9% 1.6% 6.7% 162.5M -11.26B -45.3M 1.17 5.81 N/A N/A 5,517,820 6,469,372 39,341,344 39,699,996 2007-09-27 $5.52 $4.82 35.1% 10.1% 35.3% 35.9% 36.1% 2.5% 7.1% 166.6M -11.64B -46.7M 0.46 4.21 N/A N/A 3,619,308 1,676,248 40,202,960 41,947,472 2007-09-28 $5.48 $4.82 34.4% 9.9% 35.5% 34.1% 35.3% 2.3% 7.0% 168.3M -11.30B -47.3M 1.80 2.45 N/A N/A 2,375,800 4,266,276 40,624,500 41,561,800
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