APD Options History — January 2007

In January 2007, APD traded between $63.93 and $69.07. ATM implied volatility averaged 16.2%. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 4.7% (HV 20d: 20.9%). Max pain ranged from $64.75 to $64.75. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.24.

Notable Days

  • 2007-01-24: Highest Volume — 1,750 contracts
  • 2007-01-11: Largest IV spike — 21.4% change
  • 2007-01-17: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.17$63.93$69.07$66.52$69.07
Max Pain$64.75$64.75$64.75$64.75$64.75
ATM IV16.2%14.5%18.2%16.0%14.8%
Expected Move4.8%4.2%5.2%4.6%4.2%
HV 20d20.9%20.3%22.0%22.0%20.5%
Term Structure0.7%-0.1%3.2%2.7%0.4%
VWIV16.7%14.8%18.1%16.0%14.8%
Skew 25d2.1%0.9%2.6%2.2%1.9%
Skew 10d5.2%-1.2%9.4%5.2%2.1%
Call IV 25d16.5%14.7%17.9%16.6%14.7%
Put IV 25d18.6%16.6%19.7%18.8%16.6%
Bid-Ask Spread %29.2813.3340.5934.9213.51
Gamma HHI0.520.460.710.460.71
Net GEX155.2K-573.0K1.1M197.5K1.1M
Net DEX-6.7M-15.1M-999.7K-6.7M-15.1M
Net VEX-46.3K-51.5K-40.4K-42.9K-49.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.006.952.800.17
Total Volume353.55401,750123260
Total OI5,780.554,7276,5134,7276,076

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$66.52$64.7516.0%4.6%0.0%0.0%16.0%2.2%2.7%197.5K-6.7M-42.9K2.8034.9232912,9301,797
2007-01-04$65.06$64.7515.1%4.3%0.0%0.0%15.1%2.3%3.2%-71.3K-3.4M-43.3K0.7913.3346372,9481,866
2007-01-05$64.15$64.7514.7%5.0%0.0%0.0%17.5%2.6%0.3%-169.5K-999.7K-40.4K0.8622.304543902,9501,896
2007-01-08$64.07$64.7515.7%5.2%0.0%0.0%18.1%2.3%0.0%-219.0K-1.6M-42.3K1.1026.041081193,3252,191
2007-01-09$63.93$64.7514.9%5.1%0.0%0.0%17.8%2.5%-0.0%-280.9K-1.3M-42.1K6.9532.49231583,3282,202
2007-01-10$64.45$64.7514.7%5.1%0.0%0.0%17.9%2.0%-0.1%-331.6K-2.6M-43.3K0.9228.02106973,3512,263
2007-01-11$65.60$64.7517.8%5.1%0.0%0.0%17.7%2.1%0.4%-203.2K-6.2M-44.5K2.9424.462517373,3982,341
2007-01-12$66.00$64.7517.8%5.1%0.0%0.0%16.1%2.1%0.6%-167.8K-6.7M-50.9K0.1732.11123213,5722,877
2007-01-16$65.74$64.7517.9%5.1%0.0%0.0%17.3%1.9%0.8%-396.7K-5.7M-49.6K0.0035.0310103,6272,886
2007-01-17$65.76$64.7518.2%5.2%0.0%0.0%17.5%2.3%0.6%-104.1K-6.7M-47.6K0.1732.4668123,5912,886
2007-01-18$65.37$64.7517.6%5.1%0.0%0.0%17.7%1.3%0.6%-573.0K-5.7M-46.2K0.5033.7067343,5802,886
2007-01-19$65.92$64.7518.1%5.2%0.0%0.0%18.0%2.3%0.6%-42.7K-7.0M-45.9K0.8338.7831263,5762,908
2007-01-22$65.54$64.7517.8%5.1%0.0%0.0%17.2%2.4%0.7%97.6K-3.1M-45.2K0.4340.59226973,0182,247
2007-01-23$65.93$64.7517.2%4.9%0.0%0.0%17.2%2.2%1.0%176.5K-4.2M-46.3K0.4624.9894433,1912,324
2007-01-24$68.41$64.7515.6%4.5%0.0%0.0%15.7%0.9%0.1%638.7K-10.9M-43.2K0.4031.011,2475033,2282,324
2007-01-25$67.91$64.7515.4%4.4%22.0%0.0%15.5%1.9%0.2%755.1K-11.3M-50.9K3.6224.251776413,8522,180
2007-01-26$67.81$64.7515.2%4.4%21.3%0.0%15.5%2.1%0.5%828.3K-11.1M-51.5K1.0027.801251253,9602,004
2007-01-29$68.27$64.7515.4%4.4%20.7%0.0%15.4%2.2%0.1%935.4K-12.5M-50.1K0.0335.80350113,9961,986
2007-01-30$67.92$64.7514.5%4.2%20.3%0.0%0.0%2.1%0.9%931.1K-11.5M-51.2K0.6834.0124164,0531,997
2007-01-31$69.07$64.7514.8%4.2%20.5%0.0%14.8%1.9%0.4%1.1M-15.1M-49.6K0.1713.51222384,0632,013