APD Options History — March 2008

In March 2008, APD traded between $78.25 and $87.22. ATM implied volatility averaged 31.4%, placing in the 60.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 5.2% (HV 20d: 36.6%). Max pain ranged from $83.26 to $83.26. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2008-03-06: Highest Volume — 2,199 contracts
  • 2008-03-10: Largest IV spike — 23.2% change
  • 2008-03-10: Highest IV Rank — 78.9%
  • 2008-03-10: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.08$78.25$87.22$85.64$85.11
Max Pain$83.26$83.26$83.26$83.26$83.26
ATM IV31.4%26.2%36.6%26.2%33.0%
Expected Move9.0%7.5%10.6%7.5%9.5%
HV 20d36.6%24.2%44.2%24.2%42.1%
HV 60d33.1%29.9%35.3%29.9%34.8%
IV Rank60.3%41.9%78.9%41.9%65.8%
IV Percentile88.5%69.0%98.4%69.0%92.9%
Term Structure0.5%-2.9%3.3%0.1%2.6%
VWIV31.7%26.1%36.3%27.0%31.4%
Skew 25d5.3%1.6%8.4%3.3%6.3%
Skew 10d7.6%0.6%12.2%6.1%9.7%
Call IV 25d29.5%25.6%34.0%26.7%31.2%
Put IV 25d34.8%30.0%41.1%30.0%37.5%
Bid-Ask Spread %41.3024.9354.9835.2352.75
Gamma HHI0.190.160.540.160.17
Net GEX478.2K-2.8M1.4M581.7K1.0M
Net DEX-9.8M-22.8M8.5M-9.6M-13.5M
Net VEX-245.5K-279.8K-199.4K-221.8K-253.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.045.130.260.21
Total Volume713.41052,199105732
Total OI17,27814,94619,84714,95315,824

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$85.64$83.2626.2%7.5%24.2%41.9%27.0%3.3%0.1%581.7K-9.6M-221.8K0.2635.2383229,6855,268
2008-03-04$83.75$83.2627.4%7.8%25.2%45.9%27.5%3.3%2.4%361.0K-5.8M-215.2K0.2639.28320839,6885,258
2008-03-05$85.40$83.2630.8%8.8%25.4%58.0%26.1%6.0%-0.9%672.0K-10.3M-222.5K0.0854.98776639,9275,285
2008-03-06$84.38$83.2628.7%8.2%25.8%50.7%26.3%2.9%1.6%564.9K-9.0M-223.5K0.6238.061,36083910,4355,314
2008-03-07$81.11$83.2629.8%9.2%29.5%54.4%33.5%4.0%0.4%163.2K-55.6K-228.9K1.9626.8932463511,6255,962
2008-03-10$78.25$83.2636.6%10.6%32.0%78.9%35.6%1.6%-2.9%-50.7K8.5M-199.4K1.1637.0570081111,8775,983
2008-03-11$82.57$83.2632.0%9.0%37.2%62.3%33.8%5.4%3.3%137.7K-471.7K-232.8K0.2024.931,02820912,0596,422
2008-03-12$82.69$83.2629.5%8.5%37.0%53.3%30.4%5.8%3.1%342.1K-6.1M-250.5K2.1028.5441787812,7566,414
2008-03-13$83.72$83.2632.8%9.4%37.2%65.0%32.1%8.4%-1.2%545.3K-8.2M-253.9K5.1334.428443212,9476,420
2008-03-14$82.46$83.2635.0%10.0%37.5%72.9%35.0%4.3%-2.5%330.5K-4.5M-255.0K0.6246.7222413813,0046,449
2008-03-17$82.82$83.2635.2%10.1%37.6%73.6%36.3%8.0%-1.7%475.6K-7.5M-255.6K0.6543.161348613,0756,482
2008-03-18$86.60$83.2629.5%8.4%40.7%53.4%32.7%8.4%1.9%1.3M-19.3M-266.1K0.3753.5231511813,1156,521
2008-03-19$83.14$83.2634.1%9.8%42.5%69.9%32.9%6.3%-1.1%336.2K-9.1M-250.2K0.8137.6729123613,2186,511
2008-03-20$83.39$83.2633.5%9.6%41.6%67.7%33.4%5.1%-0.1%-2.8M-8.6M-245.8K1.6026.0334354913,3106,537
2008-03-24$86.95$83.2630.2%8.7%44.2%56.0%30.0%4.7%1.1%1.1M-19.7M-269.9K0.0445.271,0894510,3124,845
2008-03-25$87.22$83.2629.8%8.5%43.0%54.6%32.2%5.9%0.7%1.4M-22.8M-279.8K0.3845.441977511,0534,866
2008-03-26$86.64$83.2631.2%8.9%43.0%59.6%32.1%5.7%-1.2%1.1M-19.5M-265.9K0.1549.342223410,7474,872
2008-03-27$85.71$83.2630.5%8.7%43.2%56.9%34.6%5.4%1.1%1.1M-16.8M-262.8K0.1054.911111110,8514,875
2008-03-28$84.16$83.2633.1%9.5%43.1%66.1%30.9%4.3%2.3%942.9K-13.3M-256.6K0.0651.862401410,8824,886
2008-03-31$85.11$83.2633.0%9.5%42.1%65.8%31.4%6.3%2.6%1.0M-13.5M-253.2K0.2152.7560412810,9494,875