AAPL Options History — November 2007 In November 2007, AAPL traded between $5.49 and $6.85. ATM implied volatility averaged 46.5%, placing in the 52.3% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 6.4% (HV 20d: 52.9%). Max pain ranged from $6.07 to $6.61. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.65.
Notable Days 2007-11-08 : Highest Volume — 20,999,244 contracts2007-11-12 : Largest IV spike — 41.7% change2007-11-12 : Highest IV Rank — 100.0%2007-11-15 : Largest Expected Move — 15.8%Monthly Statistics Metric Avg Min Max Open Close Price $6.24 $5.49 $6.85 $6.69 $6.51 Max Pain $6.39 $6.07 $6.61 $6.07 $6.43 ATM IV 46.5% 33.4% 74.1% 36.3% 44.0% Expected Move 12.9% 9.6% 15.8% 10.4% 12.6% HV 20d 52.9% 32.5% 63.9% 35.2% 61.1% HV 60d 43.7% 38.2% 48.2% 40.5% 43.2% IV Rank 52.3% 29.7% 100.0% 38.9% 43.5% IV Percentile 80.5% 46.4% 100.0% 61.9% 82.2% Term Structure 6.1% 0.2% 10.7% 0.2% 9.4% VWIV 45.0% 34.5% 55.3% 36.9% 43.6% Skew 25d 4.2% -0.7% 7.5% 1.8% 7.5% Skew 10d 8.2% -2.0% 14.2% 5.0% 14.2% Call IV 25d 43.1% 33.0% 53.3% 35.9% 39.8% Put IV 25d 47.3% 35.8% 58.0% 37.7% 47.3% Bid-Ask Spread % 3.99 2.26 7.34 3.15 2.32 Gamma HHI 0.08 0.06 0.13 0.11 0.08 Net GEX 99.8M -23.2M 228.7M 178.4M 130.3M Net DEX -11.10B -18.48B -2.96B -16.59B -13.07B Net VEX -62.2M -66.4M -54.4M -55.9M -63.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.42 1.22 0.65 0.54 Total Volume 9,972,860 2,418,976 20,999,244 6,074,992 9,286,172 Total OI 93,450,454.667 86,854,180 100,308,656 91,041,300 92,753,780
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 2007-11-01 $6.69 $6.07 36.3% 10.4% 35.2% 38.9% 36.9% 1.8% 0.2% 178.4M -16.59B -55.9M 0.65 3.15 N/A N/A 3,672,480 2,402,512 42,632,464 48,408,836 2007-11-02 $6.71 $6.07 33.4% 9.6% 34.2% 31.5% 34.5% 2.8% 2.8% 191.8M -16.70B -56.1M 0.66 2.63 N/A N/A 4,620,112 3,034,920 43,019,144 48,580,420 2007-11-05 $6.65 $6.61 38.0% 10.9% 32.5% 43.2% 38.1% 0.7% 6.9% 181.1M -16.03B -56.3M 0.49 3.93 N/A N/A 4,453,512 2,185,008 43,309,588 49,204,820 2007-11-06 $6.85 $6.61 34.8% 10.3% 33.6% 35.1% 36.0% 0.5% 8.4% 228.7M -18.48B -54.4M 0.49 3.89 N/A N/A 6,009,276 2,940,252 43,701,084 49,604,016 2007-11-07 $6.65 $6.61 40.5% 11.1% 35.6% 49.3% 39.0% -0.7% 8.7% 184.0M -16.12B -57.4M 0.55 4.84 N/A N/A 6,076,084 3,344,320 44,102,296 49,885,976 2007-11-08 $6.27 $6.61 47.8% 13.6% 41.0% 67.7% 46.3% 0.9% 4.7% 96.5M -11.47B -61.2M 1.22 7.34 N/A N/A 9,445,688 11,553,556 45,041,640 50,309,672 2007-11-09 $5.91 $6.61 52.3% 14.6% 45.5% 79.1% 50.7% 2.9% 3.4% 23.9M -7.14B -64.7M 0.59 3.06 N/A N/A 8,664,124 5,143,824 46,069,856 51,870,532 2007-11-12 $5.49 $6.61 74.1% 15.8% 52.2% 100.0% 54.2% 5.0% 2.1% -23.2M -2.96B -62.7M 0.63 3.81 N/A N/A 11,236,652 7,043,036 46,383,232 52,254,328 2007-11-13 $6.07 $6.43 57.5% 14.1% 63.8% 69.0% 49.2% 5.3% 5.6% 84.3M -9.38B -64.3M 0.66 3.42 N/A N/A 10,308,816 6,829,144 47,293,344 52,086,188 2007-11-14 $5.93 $6.43 57.4% 15.2% 63.9% 68.7% 52.1% 5.6% 4.0% 45.4M -7.65B -66.4M 0.45 3.04 N/A N/A 8,120,504 3,693,144 47,506,088 52,584,420 2007-11-15 $5.87 $6.43 55.1% 15.8% 63.9% 64.3% 55.3% 4.7% 4.2% 20.4M -6.98B -66.2M 1.15 5.01 N/A N/A 4,912,292 5,664,904 47,862,752 52,292,324 2007-11-16 $5.94 $6.43 51.3% 14.7% 63.9% 57.3% 51.4% 4.6% 4.8% 20.1M -8.15B -66.0M 1.22 5.67 N/A N/A 7,265,496 8,873,816 48,230,504 52,078,152 2007-11-19 $5.86 $6.43 52.2% 15.0% 63.4% 59.0% 52.5% 4.6% 4.9% 43.4M -7.45B -65.7M 0.65 5.40 N/A N/A 3,747,436 2,442,412 39,641,420 47,212,760 2007-11-20 $6.03 $6.25 45.2% 13.0% 59.4% 45.8% 46.1% 6.6% 7.0% 68.4M -8.93B -64.6M 0.64 4.81 N/A N/A 4,883,032 3,119,676 40,614,224 47,455,968 2007-11-21 $6.02 $6.25 46.6% 13.4% 59.4% 48.4% 47.2% 7.0% 6.6% 65.7M -8.66B -64.8M 0.62 5.79 N/A N/A 3,739,652 2,335,704 40,782,000 47,540,500 2007-11-23 $6.13 $6.25 45.8% 13.1% 59.7% 46.9% 45.7% 5.0% 8.1% 81.2M -9.73B -65.0M 0.42 2.37 N/A N/A 1,708,280 710,696 41,347,516 47,866,084 2007-11-26 $6.16 $6.25 46.1% 13.2% 59.6% 47.4% 46.5% 5.2% 8.2% 84.5M -10.01B -64.3M 0.48 3.96 N/A N/A 5,120,808 2,469,600 41,461,308 48,081,824 2007-11-27 $6.24 $6.25 43.0% 12.3% 59.9% 41.6% 43.3% 6.3% 8.8% 100.5M -10.78B -63.2M 0.51 4.08 N/A N/A 4,421,900 2,260,328 42,009,464 48,413,204 2007-11-28 $6.44 $6.25 38.1% 10.9% 60.9% 32.5% 38.8% 5.9% 9.0% 136.1M -12.71B -60.3M 0.51 3.00 N/A N/A 5,224,912 2,672,572 42,297,556 48,548,640 2007-11-29 $6.58 $6.25 36.6% 10.5% 61.2% 29.7% 37.9% 5.9% 10.7% 153.8M -14.02B -62.2M 0.50 2.26 N/A N/A 5,208,700 2,584,708 42,902,972 49,218,652 2007-11-30 $6.51 $6.43 44.0% 12.6% 61.1% 43.5% 43.6% 7.5% 9.4% 130.3M -13.07B -63.9M 0.54 2.32 N/A N/A 6,044,248 3,241,924 43,217,216 49,536,564
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