APD Options History — August 2007

In August 2007, APD traded between $75.74 and $83.89. ATM implied volatility averaged 24.7%, placing in the 70.7% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 8.1% (HV 20d: 32.8%). Max pain ranged from $69.38 to $78.63. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.63.

Notable Days

  • 2007-08-16: Highest Volume — 1,952 contracts
  • 2007-08-16: Largest IV spike — 36.9% change
  • 2007-08-16: Highest IV Rank — 100.0%
  • 2007-08-16: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.78$75.74$83.89$80.99$83.27
Max Pain$74.41$69.38$78.63$78.63$74.01
ATM IV24.7%22.2%32.4%24.9%23.2%
Expected Move7.1%6.4%9.3%7.1%6.7%
HV 20d32.8%28.5%36.9%29.1%34.7%
HV 60d24.5%20.6%28.0%20.6%28.0%
IV Rank70.7%45.7%100.0%86.7%50.5%
IV Percentile90.5%81.4%100.0%93.8%81.4%
Term Structure-0.5%-3.6%0.8%-0.9%0.8%
VWIV25.1%22.1%30.8%26.4%25.4%
Skew 25d3.6%-0.6%7.4%6.0%3.8%
Skew 10d7.7%1.5%14.6%14.6%11.8%
Call IV 25d23.2%20.7%27.4%21.0%22.0%
Put IV 25d26.8%22.7%34.8%26.9%25.9%
Bid-Ask Spread %37.0916.6855.3350.9516.68
Gamma HHI0.290.200.430.300.28
Net GEX1.2M556.2K1.9M1.5M1.3M
Net DEX-33.4M-46.0M-12.9M-36.6M-39.9M
Net VEX-191.5K-204.0K-177.5K-198.0K-194.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.023.250.991.15
Total Volume703.4781871,952397436
Total OI13,242.65212,13414,41612,71814,119

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$80.99$78.6324.9%7.1%29.1%86.7%26.4%6.0%-0.9%1.5M-36.6M-198.0K0.9950.951991989,2793,439
2007-08-02$80.84$78.6324.4%7.0%29.1%82.6%22.1%2.0%-1.0%1.5M-35.7M-193.4K0.5455.332861549,2363,486
2007-08-03$78.97$78.6324.4%7.0%30.7%82.4%24.3%-0.6%-1.2%1.4M-30.6M-194.1K1.4136.54981389,2463,550
2007-08-06$80.01$69.3823.5%6.7%30.8%75.6%25.5%2.1%0.1%1.5M-33.1M-192.9K3.2540.131013269,2973,604
2007-08-07$82.33$74.0123.2%6.6%31.2%72.9%23.1%3.7%-0.1%1.7M-40.3M-192.1K0.2440.87150379,2723,875
2007-08-08$83.89$74.0122.2%6.7%30.8%65.5%23.2%2.8%-0.3%1.8M-46.0M-186.2K0.1049.091,019999,2703,879
2007-08-09$82.08$74.0126.6%7.1%28.7%100.0%25.4%1.8%-0.0%1.5M-40.4M-195.5K0.6134.222271399,2773,908
2007-08-10$81.92$74.0125.3%7.2%28.5%89.9%27.4%4.4%-0.3%1.6M-39.5M-194.6K0.4027.137523029,3443,983
2007-08-13$82.07$74.0124.9%7.3%28.5%86.6%24.0%3.5%-1.1%1.9M-41.4M-204.0K0.0229.561,494359,8954,129
2007-08-14$80.22$74.0124.9%7.7%29.6%86.4%26.3%2.9%-2.7%1.2M-31.2M-184.9K0.0642.36201138,8934,143
2007-08-15$76.80$74.0123.7%7.6%33.3%76.8%27.0%4.8%-1.6%761.9K-19.1M-182.6K0.7437.195664178,8994,106
2007-08-16$75.74$74.0132.4%9.3%33.0%100.0%30.8%7.4%-3.6%556.2K-12.9M-184.4K0.7142.541,1408128,8544,323
2007-08-17$78.63$74.0125.7%7.4%36.1%64.0%28.7%5.7%-0.4%613.2K-24.8M-189.7K0.8332.145284379,3004,569
2007-08-20$79.74$74.0125.7%7.4%36.6%63.9%24.2%6.5%-0.1%879.1K-26.8M-184.9K0.1746.17343588,0434,091
2007-08-21$79.57$74.0125.4%7.3%36.4%62.4%25.1%4.0%-0.3%899.3K-26.9M-182.9K0.9736.982802718,0844,102
2007-08-22$82.13$74.0122.4%6.4%36.5%46.3%22.6%4.1%0.8%1.0M-34.5M-177.5K0.3053.121,2133628,2044,242
2007-08-23$80.73$74.0124.8%7.1%36.9%58.9%23.1%3.5%-0.5%1.1M-31.9M-192.3K0.5422.244252318,8674,457
2007-08-24$82.37$74.0122.3%6.4%34.9%45.7%22.3%2.5%0.1%1.2M-36.6M-191.7K0.1634.71551868,9494,478
2007-08-27$82.04$74.0123.4%6.7%34.2%51.4%23.1%2.4%-0.2%1.3M-37.3M-194.0K0.1733.59196329,2364,494
2007-08-28$79.95$74.0125.9%7.4%34.9%65.2%26.2%2.7%-0.4%1.1M-30.8M-194.3K1.0332.942842939,2354,509
2007-08-29$81.76$74.0124.1%6.9%35.4%55.4%26.0%4.1%0.6%1.1M-34.5M-197.8K0.1328.817961079,2724,727
2007-08-30$81.80$74.0124.5%7.0%35.4%57.5%25.0%3.6%-0.1%1.3M-36.8M-202.7K0.0529.71331179,6364,780
2007-08-31$83.27$74.0123.2%6.7%34.7%50.5%25.4%3.8%0.8%1.3M-39.9M-194.9K1.1516.682032339,3424,777