AAPL Options History — October 2007 In October 2007, AAPL traded between $5.58 and $6.78. ATM implied volatility averaged 41.6%, placing in the 52.2% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 11.4% (HV 20d: 30.2%). Max pain ranged from $4.82 to $6.07. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.60.
Notable Days 2007-10-11 : Highest Volume — 21,611,492 contracts2007-10-11 : Largest IV spike — 41.7% change2007-10-15 : Highest IV Rank — 92.9%2007-10-15 : Largest Expected Move — 16.6%Monthly Statistics Metric Avg Min Max Open Close Price $6.14 $5.58 $6.78 $5.58 $6.78 Max Pain $5.67 $4.82 $6.07 $4.82 $6.07 ATM IV 41.6% 28.6% 57.8% 33.6% 31.6% Expected Move 12.5% 9.0% 16.6% 9.6% 9.1% HV 20d 30.2% 23.9% 35.8% 35.6% 35.0% HV 60d 43.8% 40.4% 46.2% 44.8% 40.4% IV Rank 52.2% 19.6% 92.9% 32.0% 27.2% IV Percentile 68.8% 30.9% 99.0% 50.8% 40.2% Term Structure -1.7% -10.0% 10.2% 8.1% 1.3% VWIV 44.3% 32.1% 58.2% 34.5% 32.1% Skew 25d 1.1% -3.1% 5.3% 3.2% 1.5% Skew 10d 2.1% -6.3% 8.7% 7.6% 2.9% Call IV 25d 43.9% 31.4% 58.5% 32.4% 31.4% Put IV 25d 44.9% 32.8% 58.7% 35.6% 32.8% Bid-Ask Spread % 2.38 1.44 3.58 2.89 2.32 Gamma HHI 0.11 0.08 0.22 0.11 0.12 Net GEX 181.6M 117.7M 210.1M 175.4M 208.0M Net DEX -15.24B -17.82B -11.96B -12.18B -17.78B Net VEX -52.1M -55.8M -45.8M -46.3M -52.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.40 1.12 0.44 0.67 Total Volume 10,582,791.13 4,523,120 21,611,492 8,382,640 9,092,692 Total OI 90,958,155.826 80,477,908 102,475,800 83,709,276 89,943,952
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 2007-10-01 $5.58 $4.82 33.6% 9.6% 35.6% 32.0% 34.5% 3.2% 8.1% 175.4M -12.18B -46.3M 0.44 2.89 N/A N/A 5,802,356 2,580,284 40,695,592 43,013,684 2007-10-02 $5.66 $5.00 31.4% 9.0% 33.4% 26.7% 33.2% 2.4% 9.0% 191.4M -13.00B -45.8M 1.06 2.35 N/A N/A 4,200,952 4,432,876 41,013,476 43,240,344 2007-10-03 $5.64 $5.00 32.2% 9.2% 25.9% 28.6% 33.2% 1.8% 9.2% 174.4M -12.61B -47.7M 0.71 2.53 N/A N/A 3,481,912 2,455,068 41,506,416 45,057,096 2007-10-04 $5.58 $5.00 33.4% 9.6% 25.6% 31.6% 33.9% 1.2% 10.2% 165.0M -11.96B -49.0M 0.53 2.60 N/A N/A 3,747,212 1,967,504 41,956,040 45,665,368 2007-10-05 $5.77 $5.54 28.6% 12.1% 24.3% 19.6% 42.4% 1.5% -2.1% 207.6M -13.90B -47.5M 0.49 2.82 N/A N/A 7,202,216 3,548,664 42,562,688 46,029,452 2007-10-08 $6.00 $5.54 35.3% 13.8% 24.6% 36.4% 48.5% -0.6% -6.4% 203.0M -16.07B -47.4M 0.48 2.42 N/A N/A 8,990,156 4,351,704 42,681,660 46,458,524 2007-10-09 $6.00 $5.54 38.9% 14.0% 23.9% 45.5% 49.3% -1.1% -5.9% 184.5M -15.76B -48.7M 0.48 2.21 N/A N/A 10,602,536 5,059,012 42,960,820 48,086,976 2007-10-10 $5.96 $5.71 39.1% 14.8% 24.7% 46.0% 52.4% -2.1% -6.6% 164.4M -14.96B -51.7M 0.49 2.22 N/A N/A 3,939,460 1,946,868 43,852,368 50,111,992 2007-10-11 $5.79 $5.71 55.4% 15.9% 28.0% 87.0% 56.3% -3.1% -6.9% 138.4M -13.03B -53.7M 0.58 3.58 N/A N/A 13,665,876 7,945,616 44,217,152 49,876,316 2007-10-12 $5.97 $5.71 54.6% 15.6% 29.1% 84.8% 55.0% -0.9% -6.3% 169.2M -15.24B -54.9M 0.41 1.52 N/A N/A 6,594,728 2,702,896 45,774,596 51,423,792 2007-10-15 $5.96 $5.71 57.8% 16.6% 29.0% 92.9% 58.2% 0.0% -7.8% 159.1M -14.94B -54.7M 0.40 2.13 N/A N/A 7,083,104 2,852,444 45,741,192 51,578,268 2007-10-16 $6.06 $5.71 56.4% 16.2% 28.9% 89.3% 56.9% 2.3% -8.7% 195.0M -16.29B -53.7M 0.65 2.18 N/A N/A 5,259,380 3,425,828 46,906,972 51,948,120 2007-10-17 $6.17 $5.71 54.9% 15.8% 28.8% 85.8% 55.4% 2.1% -8.8% 198.0M -17.46B -53.1M 0.52 1.81 N/A N/A 8,671,012 4,543,952 46,870,796 52,674,496 2007-10-18 $6.20 $5.71 53.0% 15.2% 28.5% 80.9% 53.8% 3.4% -7.2% 210.1M -17.82B -54.1M 0.40 2.28 N/A N/A 6,639,500 2,639,784 47,723,004 53,791,024 2007-10-19 $6.09 $5.71 57.2% 16.4% 29.5% 91.3% 57.4% 2.4% -10.0% 204.5M -16.31B -55.8M 0.74 2.58 N/A N/A 6,447,672 4,741,100 48,108,760 54,367,040 2007-10-22 $6.23 $5.89 50.8% 14.6% 29.1% 75.3% 51.7% 5.3% -6.2% 117.7M -12.80B -54.4M 0.53 2.94 N/A N/A 10,440,248 5,521,348 38,220,028 42,257,880 2007-10-23 $6.65 $5.89 35.9% 10.3% 34.6% 37.9% 36.6% 0.5% 0.8% 201.3M -17.42B -51.9M 0.60 2.58 N/A N/A 13,220,704 7,998,340 41,003,172 44,461,032 2007-10-24 $6.64 $6.07 35.5% 10.2% 34.5% 37.0% 36.0% 1.2% 1.1% 179.5M -16.58B -54.3M 0.67 1.44 N/A N/A 7,933,800 5,325,348 40,944,512 45,195,276 2007-10-25 $6.53 $6.07 37.4% 10.7% 35.8% 41.7% 38.3% 0.9% -0.4% 163.4M -15.33B -55.6M 1.12 3.09 N/A N/A 3,530,184 3,970,428 41,206,480 45,794,840 2007-10-26 $6.60 $6.07 34.9% 10.0% 35.4% 35.3% 35.4% 1.6% 1.3% 180.2M -15.99B -55.8M 0.59 2.43 N/A N/A 3,345,076 1,963,640 41,937,840 46,870,460 2007-10-29 $6.61 $6.07 34.1% 9.8% 35.3% 33.4% 34.6% 0.7% 1.5% 190.7M -16.20B -54.4M 0.54 1.79 N/A N/A 2,937,508 1,585,612 41,971,160 46,901,064 2007-10-30 $6.68 $6.07 34.6% 9.9% 35.2% 34.8% 34.9% 0.9% 1.3% 195.5M -16.87B -54.4M 0.64 2.12 N/A N/A 5,512,836 3,504,760 42,207,536 47,228,328 2007-10-31 $6.78 $6.07 31.6% 9.1% 35.0% 27.2% 32.1% 1.5% 1.3% 208.0M -17.78B -52.6M 0.67 2.32 N/A N/A 5,436,788 3,655,904 42,255,304 47,688,648
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