APD Options History — September 2007

In September 2007, APD traded between $81.52 and $90.49. ATM implied volatility averaged 24.9%, placing in the 59.5% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 4.8% (HV 20d: 29.7%). Max pain ranged from $74.01 to $83.26. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.53.

Notable Days

2007-09-18: Highest Volume — 1,552 contracts
2007-09-18: Largest IV drop — 16.6% change
2007-09-10: Highest IV Rank — 75.6%
2007-09-07: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$84.95	$81.52	$90.49	$83.91	$90.43
Max Pain	$81.80	$74.01	$83.26	$74.01	$83.26
ATM IV	24.9%	20.9%	27.9%	26.2%	22.1%
Expected Move	7.2%	6.0%	8.2%	7.5%	6.3%
HV 20d	29.7%	24.9%	34.6%	34.6%	26.1%
HV 60d	28.8%	27.5%	30.1%	27.6%	30.1%
IV Rank	59.5%	38.1%	75.6%	66.3%	44.5%
IV Percentile	87.3%	70.3%	99.4%	97.6%	71.0%
Term Structure	1.0%	-0.8%	3.0%	0.5%	2.2%
VWIV	25.6%	22.8%	28.7%	24.4%	22.8%
Skew 25d	4.3%	3.0%	5.4%	4.6%	3.4%
Skew 10d	8.3%	4.5%	13.7%	12.6%	7.3%
Call IV 25d	23.4%	21.1%	26.3%	23.5%	21.5%
Put IV 25d	27.7%	24.9%	30.9%	28.0%	24.9%
Bid-Ask Spread %	25.37	13.52	37.69	33.29	35.18
Gamma HHI	0.27	0.22	0.33	0.28	0.22
Net GEX	1.2M	947.7K	1.5M	1.4M	1.0M
Net DEX	-42.3M	-57.9M	-31.6M	-42.7M	-49.9M
Net VEX	-199.5K	-206.3K	-190.7K	-190.7K	-191.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.07	1.27	0.90	0.07
Total Volume	673.684	181	1,552	1,448	505
Total OI	15,412.211	13,244	17,605	14,102	14,306

Daily Data (19 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
2007-09-04	$83.91	$74.01	26.2%	7.5%	34.6%	66.3%	24.4%	4.6%	0.5%	1.4M	-42.7M	-190.7K	0.90	33.29	763	685	9,399	4,703
2007-09-05	$84.01	$74.01	26.1%	7.5%	33.2%	66.1%	24.9%	5.3%	1.0%	1.2M	-42.1M	-196.9K	0.15	17.44	160	24	9,590	5,208
2007-09-06	$84.96	$74.01	26.2%	7.5%	32.7%	66.6%	24.9%	4.8%	1.0%	1.3M	-45.9M	-195.9K	0.41	21.18	671	272	9,653	5,220
2007-09-07	$82.17	$83.26	26.8%	8.2%	34.0%	70.0%	26.6%	4.6%	-0.8%	1.1M	-35.0M	-204.8K	0.36	13.52	431	155	9,654	5,459
2007-09-10	$81.66	$83.26	27.9%	8.0%	34.1%	75.6%	28.4%	4.3%	-0.5%	1.1M	-33.5M	-201.4K	0.82	17.08	454	373	9,962	5,534
2007-09-11	$81.52	$83.26	26.8%	7.7%	34.1%	69.7%	27.3%	4.5%	-0.1%	1.1M	-31.6M	-203.7K	0.61	18.09	173	106	10,115	5,754
2007-09-12	$81.54	$83.26	26.9%	7.6%	33.0%	70.4%	28.4%	4.1%	-0.3%	1.1M	-33.1M	-198.2K	0.30	23.56	163	50	10,105	5,713
2007-09-13	$81.79	$83.26	26.2%	7.5%	28.6%	66.5%	28.7%	4.6%	0.5%	1.1M	-33.4M	-198.0K	0.82	25.45	343	280	10,168	5,726
2007-09-14	$81.66	$83.26	26.4%	7.6%	27.9%	67.4%	28.6%	4.8%	0.2%	1.1M	-32.7M	-204.2K	0.25	25.22	145	36	10,342	5,941
2007-09-17	$81.66	$83.26	26.6%	7.6%	24.9%	68.8%	27.1%	4.4%	-0.2%	1.1M	-33.3M	-203.7K	0.28	25.15	197	55	10,469	5,973
2007-09-18	$85.62	$83.26	22.2%	6.4%	29.5%	44.9%	24.9%	4.9%	1.9%	1.5M	-50.7M	-198.4K	0.94	27.85	802	750	10,529	6,015
2007-09-19	$86.34	$83.26	23.6%	6.8%	29.4%	52.3%	24.2%	3.0%	1.6%	1.4M	-54.5M	-200.6K	0.22	28.63	1,046	233	10,691	6,403
2007-09-20	$85.92	$83.26	23.3%	6.7%	27.7%	51.1%	24.7%	3.8%	1.3%	1.4M	-54.4M	-206.3K	0.25	28.81	273	67	11,011	6,549
2007-09-21	$86.73	$83.26	22.4%	6.4%	26.8%	45.8%	24.1%	3.2%	1.5%	1.2M	-57.9M	-200.6K	0.38	25.16	565	215	11,058	6,547
2007-09-24	$85.55	$83.26	24.7%	7.1%	26.7%	58.6%	25.5%	3.8%	2.4%	947.7K	-34.1M	-204.8K	1.27	37.69	322	409	8,390	4,854
2007-09-25	$88.24	$83.26	23.3%	6.7%	28.5%	51.0%	23.7%	5.4%	2.7%	1.0M	-42.1M	-201.8K	0.54	21.99	541	291	8,536	5,052
2007-09-26	$89.87	$83.26	24.5%	7.0%	26.7%	57.5%	24.6%	3.5%	1.6%	1.1M	-47.3M	-197.7K	0.59	29.43	538	316	8,728	5,243
2007-09-27	$90.49	$83.26	20.9%	6.0%	26.0%	38.1%	23.1%	4.3%	3.0%	1.0M	-50.4M	-191.1K	0.91	27.36	205	186	8,785	5,447
2007-09-28	$90.43	$83.26	22.1%	6.3%	26.1%	44.5%	22.8%	3.4%	2.2%	1.0M	-49.9M	-191.5K	0.07	35.18	471	34	8,804	5,502