APD Options History — May 2008

In May 2008, APD traded between $89.82 and $95.01. ATM implied volatility averaged 24.5%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 1.3% (HV 20d: 25.9%). Max pain ranged from $83.26 to $92.51. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2008-05-29: Highest Volume — 1,308 contracts
  • 2008-05-21: Largest IV spike — 10.1% change
  • 2008-05-01: Highest IV Rank — 42.4%
  • 2008-05-06: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.51$89.82$95.01$90.65$94.28
Max Pain$86.12$83.26$92.51$92.51$87.88
ATM IV24.5%21.3%26.4%26.4%23.9%
Expected Move7.1%6.1%7.9%7.6%6.8%
HV 20d25.9%20.5%30.2%28.6%20.6%
HV 60d32.4%31.5%33.1%32.6%31.5%
IV Rank35.0%23.1%42.4%42.4%32.4%
IV Percentile34.6%15.1%54.0%54.0%24.6%
Term Structure1.1%-1.4%3.3%-0.3%0.8%
VWIV24.5%21.7%29.2%29.2%21.7%
Skew 25d4.2%2.6%6.5%5.7%3.7%
Skew 10d8.7%2.8%18.6%9.4%6.8%
Call IV 25d23.1%20.5%26.8%26.8%21.3%
Put IV 25d27.4%24.1%32.5%32.5%25.0%
Bid-Ask Spread %34.6616.1857.9844.8525.56
Gamma HHI0.200.190.230.200.21
Net GEX2.2M1.9M2.8M2.0M2.6M
Net DEX-35.8M-46.6M-26.8M-28.5M-42.1M
Net VEX-270.1K-281.6K-260.7K-279.2K-281.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.021.110.460.90
Total Volume389.191181,308162247
Total OI17,352.57116,14218,43617,12318,436

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$90.65$92.5126.4%7.6%28.6%42.4%29.2%5.7%-0.3%2.0M-28.5M-279.2K0.4644.851115112,4644,659
2008-05-02$90.90$92.5126.4%7.6%28.5%42.4%25.9%4.0%-0.7%2.0M-29.4M-274.4K0.0244.05116212,4874,697
2008-05-05$91.22$83.2626.2%7.8%28.5%41.9%26.3%4.6%0.3%2.0M-29.8M-274.9K0.7436.541108112,4954,695
2008-05-06$91.94$83.2626.0%7.9%28.5%41.0%27.2%5.4%0.6%2.1M-32.5M-275.8K0.1634.031041612,5594,724
2008-05-07$89.82$83.2625.0%7.3%29.8%37.4%25.6%2.9%2.7%1.9M-27.1M-266.1K0.6648.861489812,5984,728
2008-05-08$91.06$83.2624.8%7.5%30.2%36.9%26.3%3.4%1.1%2.0M-29.1M-272.3K0.6430.2220513212,6654,805
2008-05-09$90.59$83.2624.4%7.3%29.2%34.1%24.9%4.8%1.4%1.9M-26.8M-265.9K0.1845.071232212,7434,839
2008-05-12$92.08$83.2626.4%7.4%29.6%41.3%25.7%4.5%2.2%2.1M-31.9M-266.0K0.0738.163472412,7814,849
2008-05-13$93.49$83.2624.9%7.3%29.9%35.9%25.2%5.3%2.1%2.6M-40.0M-274.9K0.2836.851744913,0314,844
2008-05-14$94.37$83.2625.3%7.0%27.0%37.4%24.2%3.1%3.2%2.8M-46.6M-277.0K0.5334.4141121712,8884,839
2008-05-15$94.53$83.2624.6%7.0%27.0%34.9%23.2%3.9%1.8%2.3M-45.7M-269.3K0.0228.54259512,9804,941
2008-05-16$94.65$83.2623.0%6.6%25.6%29.1%22.4%4.0%3.3%2.3M-46.1M-264.6K0.0741.395233813,0284,947
2008-05-19$94.04$87.8823.2%6.6%25.7%29.7%22.3%3.6%0.0%2.3M-41.2M-261.6K1.1136.1216418311,8574,285
2008-05-20$95.01$87.8821.3%6.1%25.8%23.1%21.7%4.0%1.7%2.3M-44.1M-268.0K0.2857.9835510111,9414,410
2008-05-21$92.59$87.8823.5%6.7%23.4%30.9%24.2%3.6%0.6%2.3M-36.9M-262.8K0.8918.1533229612,0354,468
2008-05-22$92.42$87.8823.6%6.8%22.8%31.2%21.9%3.6%0.3%2.2M-35.4M-268.1K0.3630.4933111812,2154,659
2008-05-23$91.10$87.8823.4%6.7%21.1%30.8%24.0%2.6%2.6%2.2M-30.4M-266.8K0.7023.4726318412,4484,720
2008-05-27$90.95$87.8823.4%6.7%20.5%30.4%24.3%4.7%1.0%2.1M-28.7M-260.7K0.6316.1826416512,5204,821
2008-05-28$93.50$87.8824.4%7.0%20.9%34.4%25.3%6.5%0.5%2.4M-38.5M-269.8K0.6631.8629819812,6594,902
2008-05-29$93.59$87.8825.5%7.3%20.6%38.2%23.8%4.9%-1.4%2.5M-40.9M-272.4K1.0425.0664166712,7904,952
2008-05-30$94.28$87.8823.9%6.8%20.6%32.4%21.7%3.7%0.8%2.6M-42.1M-281.6K0.9025.5613011713,0695,367