APD Options History — July 2007

In July 2007, APD traded between $74.36 and $83.35. ATM implied volatility averaged 22.5%, placing in the 81.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 1.4% (HV 20d: 21.1%). Max pain ranged from $74.01 to $78.63. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.27.

Notable Days

  • 2007-07-12: Highest Volume — 5,833 contracts
  • 2007-07-12: Largest IV spike — 31.0% change
  • 2007-07-12: Highest IV Rank — 100.0%
  • 2007-07-23: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.17$74.36$83.35$74.78$79.90
Max Pain$76.87$74.01$78.63$74.01$78.63
ATM IV22.5%16.3%26.6%16.9%25.2%
Expected Move6.6%4.7%7.6%4.9%7.2%
HV 20d21.1%14.5%28.9%17.5%28.9%
HV 60d18.1%16.2%20.5%16.7%20.5%
IV Rank81.6%38.1%100.0%44.0%89.0%
IV Percentile91.9%60.2%100.0%69.8%95.8%
Term Structure-0.9%-3.2%2.8%2.4%-0.6%
VWIV22.7%15.2%27.1%15.2%24.9%
Skew 25d1.0%-1.8%2.8%2.8%0.1%
Skew 10d1.7%-3.1%5.3%5.3%-0.8%
Call IV 25d22.1%17.3%27.0%17.4%25.1%
Put IV 25d23.1%19.4%27.1%20.2%25.1%
Bid-Ask Spread %28.3812.0841.4634.7241.46
Gamma HHI0.420.260.710.670.29
Net GEX1.4M883.6K1.8M1.5M1.5M
Net DEX-36.9M-56.2M-20.6M-21.0M-34.6M
Net VEX-156.8K-195.9K-106.0K-122.8K-193.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.020.890.110.45
Total Volume862.095415,83342361
Total OI11,042.7628,44814,1458,44812,616

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$74.78$74.0116.9%4.9%17.5%0.0%15.2%2.8%2.4%1.5M-21.0M-122.8K0.1134.723845,6902,758
2007-07-03$74.86$74.0116.3%4.7%17.4%0.0%16.3%2.1%2.8%1.6M-21.8M-122.4K0.1926.033565,7222,758
2007-07-05$74.99$74.0117.3%5.0%17.3%44.0%17.3%2.3%2.0%1.6M-22.2M-120.5K0.3224.6934115,7282,752
2007-07-06$74.98$74.0116.9%5.4%16.9%38.8%17.7%2.4%-0.3%1.6M-22.1M-120.2K0.5222.7950265,7342,763
2007-07-09$75.65$74.0116.9%5.6%14.5%38.1%18.5%1.9%-0.3%1.6M-25.1M-114.1K0.3323.0284285,7532,772
2007-07-10$74.36$74.0118.2%5.5%15.9%54.4%19.2%2.1%-0.5%1.8M-20.6M-119.0K0.8915.55107955,7742,795
2007-07-11$76.17$74.0118.6%5.8%17.8%59.2%19.5%2.5%-1.0%1.4M-26.3M-113.2K0.1728.80384645,7922,848
2007-07-12$79.47$74.0124.3%7.0%21.6%100.0%24.2%1.7%-1.4%883.6K-34.7M-106.0K0.1124.545,2475865,9672,895
2007-07-13$80.34$78.6324.2%6.9%21.7%99.0%24.5%-1.8%-1.4%1.4M-47.6M-155.2K0.2823.991,1983388,8833,098
2007-07-16$80.93$78.6324.9%7.1%21.7%100.0%25.3%0.8%-1.4%1.1M-42.6M-128.4K0.1833.948271467,6772,793
2007-07-17$81.30$78.6325.6%7.4%21.7%100.0%25.2%-0.7%-2.7%1.4M-51.8M-165.8K0.1833.835771039,4773,367
2007-07-18$81.23$78.6325.5%7.3%21.7%98.7%25.1%0.0%-3.2%1.4M-52.2M-170.3K0.1633.291,2712049,7323,425
2007-07-19$82.27$78.6324.8%7.1%21.7%92.6%24.7%-0.6%-1.8%1.4M-56.2M-190.0K0.0235.939191610,3753,611
2007-07-20$81.87$78.6325.6%7.3%21.5%99.6%25.6%0.3%-2.5%1.4M-54.8M-193.7K0.0617.058014510,5333,612
2007-07-23$81.73$78.6326.6%7.6%21.4%100.0%26.4%-0.5%-2.9%1.4M-40.8M-192.7K0.3436.563331148,9573,185
2007-07-24$80.80$78.6326.6%7.6%21.4%99.4%27.1%0.1%-2.4%1.4M-38.9M-193.3K0.1834.41493909,0223,217
2007-07-25$83.35$78.6322.9%6.6%23.5%70.9%22.9%2.2%-0.0%1.6M-47.1M-187.9K0.3012.081,0603189,2003,226
2007-07-26$82.70$78.6325.0%7.2%23.8%87.3%25.1%2.0%-0.9%1.5M-43.3M-194.7K0.2737.017041919,0893,336
2007-07-27$79.62$78.6325.4%7.3%27.1%90.0%25.9%-0.5%-0.3%1.4M-33.9M-195.9K0.3628.005441988,9993,363
2007-07-30$81.32$78.6325.1%7.2%27.8%88.4%25.3%1.5%-1.7%1.5M-38.0M-192.3K0.3028.333491059,1903,414
2007-07-31$79.90$78.6325.2%7.2%28.9%89.0%24.9%0.1%-0.6%1.5M-34.6M-193.5K0.4541.462501119,2133,403