APD Options History — December 2007

In December 2007, APD traded between $90.75 and $95.36. ATM implied volatility averaged 25.0%, placing in the 58.5% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 1.8% (HV 20d: 26.8%). Max pain ranged from $78.63 to $87.88. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.43.

Notable Days

  • 2007-12-14: Highest Volume — 4,999 contracts
  • 2007-12-12: Largest IV spike — 14.9% change
  • 2007-12-04: Highest IV Rank — 74.0%
  • 2007-12-04: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.26$90.75$95.36$91.32$91.24
Max Pain$81.87$78.63$87.88$83.26$87.88
ATM IV25.0%21.1%27.9%26.9%26.7%
Expected Move7.2%6.6%8.0%7.7%7.7%
HV 20d26.8%24.1%31.9%31.9%26.8%
HV 60d26.7%25.6%27.2%26.7%27.1%
IV Rank58.5%38.3%74.0%68.6%67.5%
IV Percentile72.9%55.5%91.8%87.4%86.0%
Term Structure1.2%-1.9%3.8%-0.8%0.7%
VWIV25.5%23.6%27.9%27.5%27.3%
Skew 25d3.2%-3.6%5.9%2.8%-3.6%
Skew 10d8.5%0.0%15.6%10.9%8.7%
Call IV 25d23.7%21.5%28.9%25.7%28.9%
Put IV 25d26.9%25.0%29.1%28.5%25.3%
Bid-Ask Spread %49.7926.3569.7369.7331.42
Gamma HHI0.230.160.420.210.16
Net GEX1.9M1.4M2.9M1.9M1.4M
Net DEX-56.3M-71.2M-29.6M-53.3M-29.6M
Net VEX-228.9K-268.8K-189.4K-209.8K-257.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.071.060.420.47
Total Volume956.051824,999301443
Total OI17,234.5514,50120,27716,76114,594

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-12-03$91.32$83.2626.9%7.7%31.9%68.6%27.5%2.8%-0.8%1.9M-53.3M-209.8K0.4269.732128911,0815,680
2007-12-04$91.33$83.2627.9%8.0%31.9%74.0%27.9%2.8%-1.9%1.9M-52.9M-208.1K0.2332.761483411,0565,742
2007-12-05$92.74$83.2624.4%7.0%29.7%55.3%24.7%5.2%0.8%1.9M-57.4M-202.4K0.8526.3513711711,0095,768
2007-12-06$94.53$83.2624.5%7.0%29.4%55.9%24.6%3.5%1.9%1.9M-64.9M-195.9K0.2643.5669417811,0455,816
2007-12-07$94.14$78.6323.5%7.2%28.3%50.7%25.0%3.0%0.8%2.0M-64.4M-195.7K0.5341.3733117511,1125,815
2007-12-10$95.36$78.6321.1%6.6%25.6%38.3%26.8%4.9%2.6%1.9M-70.1M-189.4K0.4351.8727511911,2215,929
2007-12-11$94.83$78.6322.8%7.1%24.4%47.2%24.7%4.9%1.7%2.0M-67.3M-192.3K0.5768.6555932011,2145,872
2007-12-12$94.11$78.6326.2%7.3%24.1%65.1%25.1%3.5%1.6%2.1M-65.7M-196.7K1.0662.3458561711,4135,877
2007-12-13$95.20$78.6324.8%7.1%24.3%57.4%26.1%3.9%1.3%2.1M-71.2M-197.0K0.3057.893139411,5946,133
2007-12-14$93.79$78.6324.4%7.0%24.1%55.5%24.6%3.6%0.1%2.3M-67.1M-197.2K0.6645.373,0031,99611,6786,215
2007-12-17$91.56$78.6325.4%7.3%25.7%60.9%25.6%2.3%-0.0%2.4M-60.5M-268.8K0.3648.6076327613,4936,645
2007-12-18$94.26$78.6326.5%7.6%24.7%66.5%25.6%5.5%0.9%2.0M-67.5M-255.9K0.2753.1661316812,6756,821
2007-12-19$91.79$83.2624.6%7.1%26.5%56.7%24.6%3.0%1.9%2.2M-56.4M-251.6K0.6461.3241126512,8186,876
2007-12-20$90.75$83.2625.3%7.2%26.0%60.0%26.2%3.7%1.8%2.1M-47.7M-251.7K0.2047.491,52730912,8816,857
2007-12-21$93.27$83.2625.0%7.2%27.3%58.7%24.6%2.7%0.8%2.9M-67.7M-261.2K0.1946.9473714213,3406,937
2007-12-24$93.32$83.2624.0%6.9%26.9%53.6%23.6%2.6%1.5%1.4M-40.9M-260.6K0.4758.842511189,8524,951
2007-12-26$94.63$83.2625.4%7.3%27.1%60.6%25.2%5.9%3.8%1.5M-43.7M-261.7K0.1965.83421819,9585,009
2007-12-27$93.29$83.2625.2%7.2%25.4%59.5%25.2%1.7%1.8%1.5M-42.0M-262.2K0.0744.182,00014310,1675,046
2007-12-28$93.75$87.8824.7%7.1%25.3%57.1%24.5%2.9%1.9%1.5M-36.1M-262.5K0.3738.063341239,3845,117
2007-12-31$91.24$87.8826.7%7.7%26.8%67.5%27.3%-3.6%0.7%1.4M-29.6M-257.7K0.4731.423011429,4405,154