APD Options History — April 2008

In April 2008, APD traded between $87.50 and $94.14. ATM implied volatility averaged 30.0%, placing in the 55.2% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 2.8% (HV 20d: 32.8%). Max pain ranged from $83.26 to $92.51. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.63.

Notable Days

  • 2008-04-22: Highest Volume — 951 contracts
  • 2008-04-29: Largest IV spike — 12.3% change
  • 2008-04-22: Highest IV Rank — 67.7%
  • 2008-04-22: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.65$87.50$94.14$88.52$91.05
Max Pain$88.51$83.26$92.51$83.26$92.51
ATM IV30.0%27.6%33.5%31.9%27.6%
Expected Move8.7%7.9%9.6%9.2%7.9%
HV 20d32.8%24.6%44.1%44.1%28.5%
HV 60d33.4%31.4%35.7%35.7%32.8%
IV Rank55.2%46.6%67.7%62.1%46.7%
IV Percentile79.0%63.5%94.4%88.5%63.5%
Term Structure-1.7%-4.1%2.9%-0.8%-0.8%
VWIV29.1%23.9%32.6%28.5%28.1%
Skew 25d5.2%0.3%10.1%10.1%3.9%
Skew 10d9.5%3.1%17.3%12.1%9.8%
Call IV 25d27.5%24.8%30.0%25.5%26.4%
Put IV 25d32.7%28.8%35.9%35.6%30.3%
Bid-Ask Spread %43.7025.5666.4865.7562.86
Gamma HHI0.210.180.250.190.19
Net GEX2.0M1.5M2.6M1.5M2.0M
Net DEX-33.9M-53.5M-24.4M-25.0M-32.5M
Net VEX-278.2K-289.1K-266.3K-272.8K-281.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.042.570.520.57
Total Volume465.59174951734265
Total OI16,857.36414,96218,24016,17916,964

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-04-01$88.52$83.2631.9%9.2%44.1%62.1%28.5%10.1%-0.8%1.5M-25.0M-272.8K0.5265.7548325111,2534,926
2008-04-02$89.20$83.2630.1%8.6%43.2%55.6%27.2%6.6%1.0%1.7M-29.4M-280.6K0.3259.1257918511,4915,113
2008-04-03$89.47$83.2629.3%8.4%42.8%52.8%28.3%5.1%2.9%1.8M-33.2M-287.2K1.1366.48687711,7305,196
2008-04-04$90.10$87.8828.9%9.1%42.5%51.5%30.9%6.4%-3.1%1.9M-34.1M-282.6K0.7925.56846711,7495,249
2008-04-07$90.27$87.8828.5%8.3%39.4%49.9%30.7%4.8%-2.4%2.0M-35.4M-281.4K0.3831.8032612311,8255,276
2008-04-08$89.87$87.8828.9%9.2%36.5%51.4%30.4%6.2%-3.5%2.0M-32.1M-283.3K0.1630.761602611,8945,373
2008-04-09$89.46$87.8828.5%9.4%32.2%50.0%30.2%5.6%-3.6%2.1M-32.0M-279.9K0.3935.16863411,9685,397
2008-04-10$89.35$87.8831.9%9.2%32.2%62.2%28.9%6.6%-1.7%2.1M-31.1M-279.9K0.7433.46805911,9955,419
2008-04-11$87.50$87.8833.0%9.5%33.2%65.8%31.6%5.9%-1.8%1.8M-24.4M-266.3K1.1934.71344012,0365,468
2008-04-14$87.91$87.8831.1%8.9%32.6%59.2%29.4%5.4%-0.8%2.0M-25.6M-267.4K0.5035.55864312,0415,469
2008-04-15$88.70$87.8830.6%8.8%32.7%57.3%29.8%4.0%-2.0%2.2M-29.3M-270.0K1.4034.3310514712,0865,509
2008-04-16$92.10$87.8829.4%8.4%31.6%53.2%30.5%6.5%-1.9%2.6M-42.2M-273.9K0.1538.645848912,0655,577
2008-04-17$91.86$87.8829.2%8.4%27.2%52.3%27.8%6.6%-1.3%2.3M-44.0M-279.0K2.5743.0523760812,1495,597
2008-04-18$94.11$87.8829.5%8.4%28.0%53.4%28.4%3.6%-1.6%2.0M-53.5M-279.4K0.0437.656382712,2256,015
2008-04-21$94.14$87.8831.4%9.0%24.6%60.1%30.2%4.4%-2.9%1.9M-41.0M-277.8K0.4932.2946522710,9883,980
2008-04-22$93.37$87.8833.5%9.6%25.0%67.7%32.6%5.9%-4.1%1.8M-38.2M-278.6K0.4338.5366328810,9823,980
2008-04-23$89.81$92.5130.5%8.8%29.0%57.2%28.7%2.9%-0.8%1.7M-27.9M-271.8K0.9544.5338836811,5564,313
2008-04-24$91.27$92.5127.6%7.9%29.0%46.7%27.1%6.8%-0.2%1.8M-30.4M-276.8K0.3558.1268223611,6264,445
2008-04-25$93.75$92.5129.5%8.5%29.0%53.5%27.5%3.0%-2.5%2.0M-39.0M-289.1K0.4742.642059711,9464,500
2008-04-28$92.31$92.5127.6%7.9%29.9%46.6%23.9%0.3%-1.4%2.1M-37.0M-282.5K0.0649.586303711,9954,549
2008-04-29$90.10$92.5130.9%8.9%28.4%58.6%29.4%2.6%-3.4%1.9M-29.3M-279.4K0.2460.832957112,3984,549
2008-04-30$91.05$92.5127.6%7.9%28.5%46.7%28.1%3.9%-0.8%2.0M-32.5M-281.0K0.5762.861699612,3634,601