APD Options History — November 2007

In November 2007, APD traded between $85.27 and $93.02. ATM implied volatility averaged 28.4%, placing in the 77.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 1.1% (HV 20d: 29.5%). Max pain ranged from $83.26 to $87.88. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.44.

Notable Days

  • 2007-11-26: Highest Volume — 1,391 contracts
  • 2007-11-07: Largest IV spike — 12.9% change
  • 2007-11-12: Highest IV Rank — 100.0%
  • 2007-11-19: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.85$85.27$93.02$88.51$91.62
Max Pain$83.70$83.26$87.88$87.88$83.26
ATM IV28.4%25.1%32.9%26.2%25.1%
Expected Move8.0%7.2%8.7%7.5%7.2%
HV 20d29.5%22.8%32.8%22.8%32.1%
HV 60d27.4%26.7%28.5%27.9%27.7%
IV Rank77.1%59.4%100.0%66.7%59.4%
IV Percentile93.0%74.8%100.0%90.0%74.8%
Term Structure-0.1%-1.6%0.9%0.2%0.9%
VWIV27.5%23.7%31.9%26.1%25.9%
Skew 25d4.6%1.2%6.4%1.9%4.2%
Skew 10d9.5%3.7%14.4%7.8%11.3%
Call IV 25d25.5%22.4%29.4%25.5%23.5%
Put IV 25d30.1%27.4%32.6%27.4%27.6%
Bid-Ask Spread %43.1830.2254.8353.9930.22
Gamma HHI0.210.180.330.210.21
Net GEX1.7M1.3M2.4M1.6M1.9M
Net DEX-42.6M-60.7M-29.5M-42.7M-52.7M
Net VEX-224.0K-231.6K-213.5K-222.0K-213.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.051.200.950.48
Total Volume500.7621141,391788114
Total OI16,625.85715,73717,55915,87716,747

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$88.51$87.8826.2%7.5%22.8%66.7%26.1%1.9%0.2%1.6M-42.7M-222.0K0.9553.9940338510,7855,092
2007-11-02$89.53$87.8826.9%7.7%22.9%70.2%23.7%6.0%0.9%1.6M-44.5M-231.6K0.0554.834452210,8905,383
2007-11-05$89.41$83.2627.5%7.8%22.8%73.7%24.9%4.7%0.4%1.7M-45.7M-227.3K0.1752.494167110,9675,379
2007-11-06$92.68$83.2626.1%7.4%26.1%66.1%26.6%6.1%0.7%1.8M-58.3M-224.4K0.5644.2733919011,1395,415
2007-11-07$90.84$83.2629.5%8.1%27.1%84.3%27.1%4.6%-0.6%1.7M-52.7M-229.1K0.1746.514978511,2615,455
2007-11-08$93.02$83.2628.2%8.2%28.3%77.3%29.6%6.1%0.5%1.9M-60.7M-231.2K0.3038.9353116111,4475,486
2007-11-09$89.97$83.2629.7%8.6%30.9%85.2%28.7%5.4%-0.4%1.7M-48.5M-229.0K0.5333.0577841011,3995,431
2007-11-12$88.22$83.2632.9%8.4%31.7%100.0%31.9%4.4%-0.3%1.6M-39.8M-230.3K0.4045.6648119511,5875,686
2007-11-13$89.85$83.2632.6%8.3%31.8%98.9%26.4%5.3%-0.3%1.8M-44.2M-229.8K0.1439.743204511,5865,736
2007-11-14$89.94$83.2628.8%8.0%31.5%78.6%26.6%4.0%-0.2%1.8M-47.2M-226.0K0.3545.042047111,6855,730
2007-11-15$88.41$83.2629.5%8.5%31.6%82.2%27.6%5.9%-0.7%1.6M-39.3M-230.0K0.1346.831061411,7815,778
2007-11-16$87.72$83.2627.3%7.8%30.4%70.8%26.4%5.3%0.1%2.4M-35.8M-225.5K0.1447.161652411,7865,756
2007-11-19$85.27$83.2630.4%8.7%31.7%87.0%29.4%4.5%-1.1%1.3M-29.5M-217.8K1.2031.6026531710,6015,136
2007-11-20$86.97$83.2627.1%7.8%31.2%69.9%28.6%6.4%-0.0%1.4M-33.3M-219.9K0.5151.6620110210,6465,320
2007-11-21$85.49$83.2628.3%8.1%31.3%76.1%27.3%2.9%0.8%1.3M-30.0M-221.3K0.2843.942697510,6825,359
2007-11-23$86.43$83.2627.7%7.9%29.9%72.6%28.3%3.5%-0.4%1.3M-32.0M-217.1K0.6544.3916110510,6735,380
2007-11-26$85.69$83.2629.7%8.5%29.9%83.5%29.7%1.2%-1.3%1.3M-30.8M-218.5K0.6831.5682956210,7275,414
2007-11-27$86.48$83.2627.9%8.0%30.2%73.9%27.9%3.8%0.5%1.4M-32.8M-221.2K0.3446.6943914710,9835,519
2007-11-28$89.53$83.2629.0%8.3%32.7%79.6%29.4%6.4%-1.6%1.7M-45.1M-221.3K0.5741.9418810711,0765,589
2007-11-29$90.22$83.2625.8%7.4%32.8%62.9%24.7%3.6%0.1%1.8M-48.8M-216.6K0.7436.2615911811,0455,606
2007-11-30$91.62$83.2625.1%7.2%32.1%59.4%25.9%4.2%0.9%1.9M-52.7M-213.5K0.4830.22773711,0715,676