APD Options History — June 2007 In June 2007, APD traded between $71.51 and $76.42. ATM implied volatility averaged 16.9%. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.7% (HV 20d: 15.1%). Max pain ranged from $69.38 to $74.01. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.59.
Notable Days 2007-06-14 : Highest Volume — 1,211 contracts2007-06-08 : Largest IV drop — 17.9% change2007-06-07 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $74.28 $71.51 $76.42 $72.79 $74.35 Max Pain $71.36 $69.38 $74.01 $69.38 $74.01 ATM IV 16.9% 14.9% 19.8% 16.0% 17.0% Expected Move 4.9% 4.3% 5.5% 4.6% 4.9% HV 20d 15.1% 12.1% 17.7% 12.6% 17.5% HV 60d 16.2% 15.2% 16.8% 16.0% 16.8% Term Structure 1.7% 0.6% 3.5% 0.6% 2.5% VWIV 17.1% 15.7% 19.0% 16.6% 15.7% Skew 25d 2.4% -0.1% 7.5% 1.6% 2.5% Skew 10d 4.5% 1.4% 10.9% 3.8% 4.5% Call IV 25d 17.3% 15.2% 18.8% 15.2% 17.9% Put IV 25d 19.8% 16.8% 23.3% 16.8% 20.4% Bid-Ask Spread % 25.65 14.12 38.95 19.05 33.52 Gamma HHI 0.75 0.59 0.93 0.85 0.67 Net GEX 1.8M 1.2M 3.5M 2.0M 1.5M Net DEX -24.4M -38.4M -17.5M -22.5M -19.7M Net VEX -123.6K -128.2K -119.7K -124.3K -126.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.59 0.02 2.77 0.20 0.60 Total Volume 338.81 26 1,211 132 26 Total OI 9,259.095 7,827 10,690 9,673 8,449
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 Vol Put Vol Call OI Put OI 2007-06-01 $72.79 $69.38 16.0% 4.6% 12.6% 0.0% 16.6% 1.6% 0.6% 2.0M -22.5M -124.3K 0.20 19.05 110 22 6,603 3,070 2007-06-04 $72.54 $69.38 16.3% 4.7% 12.7% 0.0% 17.2% 1.7% 1.4% 2.1M -21.6M -123.4K 0.04 25.40 91 3 6,700 3,081 2007-06-05 $72.31 $69.38 16.2% 4.8% 12.4% 0.0% 17.1% 2.2% 1.4% 2.0M -20.4M -122.8K 0.09 28.08 183 16 6,712 3,081 2007-06-06 $72.10 $69.38 17.1% 4.9% 12.4% 0.0% 19.0% 2.9% 1.2% 2.0M -20.1M -122.1K 0.14 28.59 106 15 6,822 3,081 2007-06-07 $71.51 $69.38 19.8% 5.5% 12.1% 0.0% 17.8% -0.1% 0.7% 1.6M -17.5M -120.5K 0.12 27.90 503 63 6,818 3,085 2007-06-08 $73.46 $69.38 16.3% 5.0% 15.1% 0.0% 17.1% 7.5% 1.3% 2.6M -26.2M -125.5K 0.35 21.98 348 122 7,011 3,102 2007-06-11 $73.23 $69.38 17.5% 5.2% 14.9% 0.0% 18.4% 2.2% 0.7% 2.7M -25.5M -127.0K 0.12 20.48 430 53 7,083 3,191 2007-06-12 $72.97 $69.38 17.3% 5.2% 14.6% 0.0% 18.3% 2.8% 1.1% 2.5M -23.7M -128.2K 0.06 28.33 117 8 7,265 3,222 2007-06-13 $74.76 $69.38 15.2% 5.3% 16.7% 0.0% 19.0% 2.5% 0.7% 3.5M -34.8M -124.1K 0.22 38.95 536 120 7,308 3,224 2007-06-14 $75.36 $69.38 17.9% 5.1% 15.9% 0.0% 17.8% 1.9% 1.3% 1.4M -37.9M -120.0K 0.11 18.00 1,092 119 7,225 3,325 2007-06-15 $75.58 $69.38 17.4% 5.0% 15.9% 0.0% 17.1% 1.9% 1.2% 1.6M -38.4M -122.4K 0.02 20.30 1,155 28 7,332 3,358 2007-06-18 $75.49 $69.38 17.6% 5.0% 15.8% 0.0% 17.7% 2.4% 1.6% 1.3M -23.1M -119.7K 2.25 14.12 86 195 5,355 2,472 2007-06-19 $75.60 $74.01 17.3% 5.0% 15.4% 0.0% 16.6% 2.3% 2.1% 1.3M -23.3M -123.3K 0.36 20.72 110 40 5,426 2,626 2007-06-20 $75.25 $74.01 17.1% 4.9% 15.6% 0.0% 15.9% 2.2% 2.4% 1.3M -22.6M -123.4K 0.23 22.64 373 88 5,449 2,642 2007-06-21 $76.42 $74.01 14.9% 4.3% 16.1% 0.0% 16.0% 2.3% 2.6% 1.2M -24.7M -123.1K 1.72 29.33 105 181 5,609 2,717 2007-06-22 $76.09 $74.01 16.6% 4.8% 15.9% 0.0% 16.6% 2.5% 3.5% 1.3M -25.0M -121.9K 2.13 29.34 42 90 5,577 2,683 2007-06-25 $75.23 $74.01 16.6% 4.8% 16.2% 0.0% 16.6% 2.4% 2.5% 1.4M -22.0M -123.4K 0.22 21.66 246 54 5,577 2,757 2007-06-26 $75.57 $74.01 17.0% 4.9% 16.3% 0.0% 16.1% 2.7% 2.6% 1.4M -23.3M -124.1K 0.14 31.36 88 12 5,682 2,771 2007-06-27 $75.40 $74.01 16.8% 4.8% 16.3% 0.0% 16.9% 2.2% 2.5% 1.4M -22.2M -125.4K 2.77 29.03 24 66 5,686 2,781 2007-06-28 $73.99 $74.01 16.9% 4.9% 17.7% 0.0% 16.2% 2.7% 2.3% 1.4M -18.9M -126.0K 0.45 29.91 34 15 5,681 2,802 2007-06-29 $74.35 $74.01 17.0% 4.9% 17.5% 0.0% 15.7% 2.5% 2.5% 1.5M -19.7M -126.1K 0.60 33.52 16 10 5,696 2,753
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