APD Options History — March 2007

In March 2007, APD traded between $67.37 and $70.41. ATM implied volatility averaged 17.2%. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 5.3% (HV 20d: 22.5%). Max pain ranged from $64.75 to $69.38. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.75.

Notable Days

  • 2007-03-16: Highest Volume — 1,587 contracts
  • 2007-03-15: Largest IV spike — 20.2% change
  • 2007-03-05: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.61$67.37$70.41$68.33$68.42
Max Pain$68.96$64.75$69.38$64.75$69.38
ATM IV17.2%15.0%21.8%18.8%16.0%
Expected Move4.9%4.5%5.6%5.4%4.6%
HV 20d22.5%15.7%25.2%22.0%15.7%
HV 60d20.0%19.3%20.7%20.4%19.3%
Term Structure1.1%-0.8%2.5%-0.7%2.5%
VWIV17.5%12.2%20.9%18.9%16.9%
Skew 25d2.4%-1.3%5.5%5.5%0.3%
Skew 10d3.6%-1.5%9.3%9.3%0.4%
Call IV 25d18.4%16.5%21.6%16.5%17.3%
Put IV 25d20.8%16.3%25.1%22.1%17.6%
Bid-Ask Spread %27.6210.2758.5239.1124.39
Gamma HHI0.540.410.800.610.41
Net GEX1.0M630.1K2.4M1.2M719.5K
Net DEX-10.4M-14.4M-6.6M-11.3M-9.3M
Net VEX-88.9K-128.0K-55.5K-56.5K-125.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.004.580.494.58
Total Volume433.182861,587495145
Total OI7,451.2276,3448,3546,3538,148

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$68.33$64.7518.8%5.4%22.0%0.0%18.9%5.5%-0.7%1.2M-11.3M-56.5K0.4939.113321634,4611,892
2007-03-02$67.45$64.7518.6%5.3%22.4%0.0%19.3%3.1%-0.4%1.0M-8.9M-55.8K0.6458.5290574,5431,996
2007-03-05$67.39$69.3821.8%5.6%22.4%0.0%20.9%3.5%-0.8%884.8K-8.0M-55.5K1.0421.811621694,5462,025
2007-03-06$68.38$69.3819.7%5.1%23.1%0.0%17.8%3.2%0.4%1.3M-10.5M-58.5K0.0320.3920454,5862,146
2007-03-07$68.08$69.3818.1%5.1%23.1%0.0%18.4%2.7%0.7%1.3M-9.8M-58.6K0.7518.822391784,6352,143
2007-03-08$68.86$69.3818.4%5.1%23.5%0.0%17.8%-1.3%0.9%1.6M-12.5M-63.0K0.0817.00141114,8222,286
2007-03-09$69.19$69.3816.8%5.0%23.6%0.0%17.5%0.3%1.1%2.0M-13.9M-63.9K0.1719.71216364,8802,297
2007-03-12$69.20$69.3816.3%5.0%23.6%0.0%12.2%0.0%1.2%2.4M-13.6M-61.9K0.1521.437511144,9232,333
2007-03-13$67.59$69.3818.2%5.2%24.9%0.0%18.4%0.0%0.4%1.6M-8.4M-60.8K0.0030.651,01605,4872,427
2007-03-14$67.37$69.3815.0%5.3%24.4%0.0%20.2%0.0%1.0%632.4K-6.6M-59.9K0.7510.272111585,5942,427
2007-03-15$67.78$69.3818.1%5.2%24.3%0.0%17.9%0.0%0.9%1.1M-7.4M-61.8K0.2725.485101385,8052,510
2007-03-16$67.62$69.3818.0%5.2%24.3%0.0%19.6%0.0%0.9%723.6K-7.0M-66.6K0.8011.368807075,7222,632
2007-03-19$68.69$69.3816.2%4.6%25.1%0.0%16.4%0.0%1.4%630.1K-8.9M-110.7K0.5613.126233514,1552,189
2007-03-20$69.04$69.3816.2%4.6%24.8%0.0%16.1%0.0%1.1%667.6K-10.0M-118.6K0.5031.433701864,6192,421
2007-03-21$69.84$69.3815.9%4.5%25.2%0.0%15.9%0.0%2.0%764.4K-12.4M-125.2K1.1336.321852104,9092,594
2007-03-22$69.79$69.3815.7%4.5%24.8%0.0%15.2%0.0%1.6%758.2K-12.4M-126.3K0.0542.51227115,0442,779
2007-03-23$69.91$69.3815.5%4.5%23.6%0.0%17.6%0.0%1.9%807.6K-13.2M-128.0K0.4858.3758285,1502,784
2007-03-26$70.41$69.3816.1%4.6%23.5%0.0%14.8%0.0%1.7%830.4K-14.4M-125.1K0.0145.5512415,1472,807
2007-03-27$69.47$69.3816.2%4.6%16.1%0.0%17.2%0.0%1.8%787.2K-12.1M-125.1K2.9730.2434995,1552,807
2007-03-28$68.45$69.3816.7%4.8%17.0%0.0%16.6%0.0%1.9%663.0K-8.6M-124.6K0.5620.8776425,1492,857
2007-03-29$68.22$69.3816.1%4.6%16.4%0.0%19.1%0.0%2.3%701.0K-8.7M-124.0K0.5210.34179935,1992,896
2007-03-30$68.42$69.3816.0%4.6%15.7%0.0%16.9%0.0%2.5%719.5K-9.3M-125.2K4.5824.39261195,2222,926