APD Options History — January 2008

In January 2008, APD traded between $77.83 and $90.16. ATM implied volatility averaged 34.0%, placing in the 83.5% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 2.0% (HV 20d: 32.0%). Max pain ranged from $83.26 to $87.88. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2008-01-17: Highest Volume — 883 contracts
  • 2008-01-07: Largest IV spike — 20.1% change
  • 2008-01-07: Highest IV Rank — 100.0%
  • 2008-01-22: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.27$77.83$90.16$89.34$82.95
Max Pain$86.56$83.26$87.88$87.88$83.26
ATM IV34.0%27.9%42.6%28.8%31.5%
Expected Move9.8%8.1%12.2%8.3%9.0%
HV 20d32.0%26.5%36.7%27.8%35.7%
HV 60d29.8%27.3%31.7%27.3%31.5%
IV Rank83.5%60.9%100.0%78.8%61.5%
IV Percentile97.1%91.3%100.0%94.0%92.9%
Term Structure-2.5%-5.4%0.8%0.6%-2.4%
VWIV33.7%27.8%42.7%28.9%33.3%
Skew 25d3.9%-1.9%11.8%1.3%4.9%
Skew 10d4.9%-9.1%15.3%-3.1%8.4%
Call IV 25d31.6%27.0%44.3%28.8%29.5%
Put IV 25d35.5%28.8%47.7%30.1%34.4%
Bid-Ask Spread %42.8013.5780.5535.2771.47
Gamma HHI0.160.120.520.160.15
Net GEX599.8K-1.3M1.3M1.2M687.4K
Net DEX-7.5M-23.0M9.5M-21.4M-6.4M
Net VEX-218.8K-252.9K-180.1K-252.5K-208.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.053.640.363.64
Total Volume532.524221883759441
Total OI14,220.28611,89916,17714,70813,194

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-01-02$89.34$87.8828.8%8.3%27.8%78.8%28.9%1.3%0.6%1.2M-21.4M-252.5K0.3635.275592009,5085,200
2008-01-03$90.16$87.8828.4%8.1%28.0%76.7%27.8%1.3%-1.3%1.3M-23.0M-250.9K0.6947.28137959,5315,253
2008-01-04$89.20$87.8827.9%8.8%27.5%73.9%29.9%0.7%-1.4%1.2M-21.2M-252.9K0.3113.574881509,5555,310
2008-01-07$89.44$87.8833.5%9.3%26.5%100.0%30.7%6.3%-2.0%1.1M-20.1M-247.8K0.5217.524722449,7135,315
2008-01-08$87.26$87.8831.9%9.3%27.6%92.2%31.9%-1.9%-2.8%906.3K-15.3M-243.3K0.5628.71142809,6255,386
2008-01-09$87.56$87.8831.2%9.6%27.0%88.5%33.4%10.0%-3.1%915.4K-13.8M-239.5K0.2822.225551589,7375,424
2008-01-10$85.15$87.8835.3%10.1%28.3%100.0%35.1%2.1%-2.2%731.5K-7.9M-233.1K0.6126.893862379,8945,441
2008-01-11$83.61$87.8836.0%10.3%28.7%100.0%34.8%-1.2%-3.3%522.1K-3.0M-222.7K0.3832.433601389,9195,560
2008-01-14$86.84$87.8832.1%9.2%32.1%82.4%32.4%4.6%-2.3%837.4K-10.6M-230.5K0.3524.4945516010,0005,565
2008-01-15$84.08$87.8833.6%9.6%33.4%89.0%34.3%3.9%-1.9%651.3K-5.6M-227.8K0.6133.601378410,2025,598
2008-01-16$82.24$87.8836.0%10.3%33.3%99.9%35.3%4.0%-4.4%434.9K-287.0K-210.7K0.6235.4018111210,1655,551
2008-01-17$78.30$87.8841.9%12.0%34.1%100.0%42.2%-1.8%-5.4%-4.9K7.5M-186.8K1.4243.1636551810,2115,584
2008-01-18$78.77$87.8839.9%11.4%33.9%93.0%39.2%4.2%-3.7%-1.3M9.5M-185.7K1.2038.8731838310,2905,887
2008-01-22$77.83$87.8842.6%12.2%33.9%100.0%42.7%7.2%-4.9%202.4K4.0M-180.1K3.0742.161354157,8844,031
2008-01-23$80.26$87.8839.3%11.3%34.4%88.4%37.0%11.8%-3.1%269.1K2.6M-181.4K0.5164.562761417,9273,972
2008-01-24$82.13$83.2633.7%9.7%36.0%69.0%33.7%6.6%-3.1%425.1K-3.3M-203.6K0.5951.943522088,0573,935
2008-01-25$82.71$83.2633.3%9.6%35.5%67.7%31.4%5.5%-3.1%486.1K-5.4M-204.9K0.6463.032611668,1364,001
2008-01-28$84.41$83.2632.6%9.3%36.7%65.2%32.0%4.5%-1.4%577.4K-6.9M-210.1K0.0560.42702358,2384,097
2008-01-29$84.57$83.2632.9%9.4%36.6%66.1%32.4%4.7%-1.8%774.1K-10.6M-215.6K0.4065.333691498,6504,107
2008-01-30$82.85$83.2631.4%9.0%36.1%60.9%29.9%3.7%0.8%700.3K-7.2M-206.4K0.7480.552411788,7744,199
2008-01-31$82.95$83.2631.5%9.0%35.7%61.5%33.3%4.9%-2.4%687.4K-6.4M-208.2K3.6471.47953468,9364,258