APD Options History — October 2007

In October 2007, APD traded between $87.66 and $91.44. ATM implied volatility averaged 26.3%, placing in the 66.9% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 2.0% (HV 20d: 24.3%). Max pain ranged from $83.26 to $92.51. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.42.

Notable Days

  • 2007-10-25: Highest Volume — 1,028 contracts
  • 2007-10-02: Largest IV spike — 18.1% change
  • 2007-10-23: Highest IV Rank — 92.5%
  • 2007-10-23: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.76$87.66$91.44$91.44$90.52
Max Pain$89.29$83.26$92.51$83.26$87.88
ATM IV26.3%21.8%31.0%21.8%23.4%
Expected Move7.7%6.3%8.9%6.3%6.7%
HV 20d24.3%21.0%28.7%25.7%21.5%
HV 60d29.1%27.7%30.6%30.1%27.7%
IV Rank66.9%42.9%92.5%42.9%51.3%
IV Percentile87.5%68.9%99.5%70.6%69.9%
Term Structure-0.3%-2.4%2.8%2.8%-0.4%
VWIV26.5%23.0%29.9%23.0%24.2%
Skew 25d4.3%2.5%8.0%4.4%8.0%
Skew 10d9.3%4.3%17.6%10.8%17.6%
Call IV 25d24.8%19.4%28.6%20.8%19.4%
Put IV 25d29.1%25.2%34.2%25.2%27.4%
Bid-Ask Spread %28.4116.8567.8936.3867.89
Gamma HHI0.230.180.260.230.22
Net GEX1.4M1.1M1.9M1.1M1.7M
Net DEX-49.1M-57.0M-38.8M-52.7M-49.1M
Net VEX-205.9K-219.3K-188.4K-188.4K-215.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.041.030.340.37
Total Volume521.871191,028463383
Total OI15,511.1314,01917,19614,46015,710

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$91.44$83.2621.8%6.3%25.7%42.9%23.0%4.4%2.8%1.1M-52.7M-188.4K0.3436.383451188,9335,527
2007-10-02$89.21$83.2625.8%7.4%27.7%64.2%24.6%3.8%1.1%1.1M-45.3M-198.4K0.2244.266581459,0185,618
2007-10-03$87.66$83.2624.8%7.1%28.7%59.0%26.3%2.7%1.9%1.1M-41.0M-208.7K0.6924.48134929,3155,678
2007-10-04$88.58$83.2624.8%7.1%28.6%59.2%25.9%4.0%2.2%1.1M-43.4M-207.1K0.7727.36123959,3365,674
2007-10-05$89.55$92.5124.2%7.4%25.5%55.6%24.6%4.3%0.1%1.2M-48.5M-200.9K0.1120.68688759,3975,701
2007-10-08$90.07$92.5125.5%7.9%25.2%62.7%25.0%3.7%-1.8%1.4M-52.8M-199.1K0.1320.67377509,8015,714
2007-10-09$90.63$92.5122.1%7.3%25.1%44.4%25.0%4.1%-0.1%1.5M-55.8M-197.0K1.0316.851381439,9935,737
2007-10-10$90.19$92.5124.4%7.8%25.3%57.1%25.9%3.8%-1.0%1.4M-53.5M-198.6K0.3223.583381089,9965,810
2007-10-11$89.98$92.5128.2%8.1%25.4%77.2%26.4%3.7%-1.3%1.5M-52.4M-200.8K0.7324.1739729010,2115,843
2007-10-12$89.96$92.5127.7%7.9%25.4%74.6%27.8%3.6%-1.3%1.6M-52.6M-197.0K0.0724.164793110,2235,780
2007-10-15$90.19$92.5129.8%8.5%25.3%86.0%29.4%4.4%-0.4%1.6M-53.5M-201.3K0.4917.5531915810,4855,816
2007-10-16$88.63$92.5129.2%8.4%21.0%82.8%27.7%5.1%-1.0%1.4M-47.9M-204.1K0.5019.7625012410,6525,778
2007-10-17$89.57$92.5129.7%8.5%21.1%85.3%28.2%4.5%-1.6%1.5M-51.5M-202.3K0.3425.8659820410,7585,814
2007-10-18$90.96$92.5126.8%7.7%21.5%69.9%28.1%6.2%-0.2%1.9M-57.0M-210.4K0.6324.2717410911,1205,963
2007-10-19$88.64$92.5129.6%8.5%23.6%84.7%29.5%2.6%-0.8%1.2M-48.4M-211.3K0.1631.855308411,1166,080
2007-10-22$87.67$87.8829.3%8.4%23.4%83.2%28.8%4.3%-1.4%1.3M-38.8M-208.9K0.6125.711711059,5654,454
2007-10-23$89.88$87.8831.0%8.9%22.5%92.5%29.9%7.0%-2.4%1.3M-45.4M-207.7K0.3516.987052509,6054,493
2007-10-24$88.47$87.8827.3%7.8%22.2%72.4%27.4%5.1%-0.8%1.5M-41.8M-212.0K0.9828.815115029,9594,580
2007-10-25$90.87$87.8824.7%7.1%24.2%58.3%27.0%5.9%-0.5%1.4M-48.3M-215.6K0.0729.13957719,9955,029
2007-10-26$90.87$87.8823.3%6.7%24.2%51.0%23.9%3.2%1.5%1.5M-50.0M-219.3K0.0429.036422610,3275,054
2007-10-29$91.01$87.8824.3%7.0%23.8%56.1%25.9%2.5%-0.1%1.6M-51.4M-213.6K0.5652.651206710,3375,054
2007-10-30$89.96$87.8826.7%7.7%22.4%69.3%25.5%3.0%-1.2%1.7M-48.5M-218.4K0.1321.361051410,6415,066
2007-10-31$90.52$87.8823.4%6.7%21.5%51.3%24.2%8.0%-0.4%1.7M-49.1M-215.4K0.3767.8928010310,6425,068