APD Options History — June 2008

In June 2008, APD traded between $91.12 and $98.09. ATM implied volatility averaged 27.3%, placing in the 43.9% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 0.5% (HV 20d: 26.7%). Max pain ranged from $87.88 to $92.51. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2008-06-05: Highest Volume — 2,132 contracts
  • 2008-06-09: Largest IV spike — 13.1% change
  • 2008-06-10: Highest IV Rank — 56.4%
  • 2008-06-24: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.27$91.12$98.09$92.88$91.45
Max Pain$91.63$87.88$92.51$87.88$92.51
ATM IV27.3%22.4%30.9%24.4%29.7%
Expected Move7.8%6.4%8.9%7.0%8.5%
HV 20d26.7%21.4%30.0%21.4%29.5%
HV 60d27.6%25.4%31.5%31.5%26.3%
IV Rank43.9%27.1%56.4%34.3%51.1%
IV Percentile56.4%14.3%82.9%28.6%76.6%
Term Structure2.5%-0.9%6.2%0.2%5.3%
VWIV26.7%21.6%31.1%24.9%28.4%
Skew 25d4.7%2.7%8.1%3.5%6.8%
Skew 10d8.8%3.6%15.7%13.6%10.8%
Call IV 25d25.3%22.1%28.5%22.8%27.5%
Put IV 25d30.0%25.9%34.9%26.3%34.3%
Bid-Ask Spread %26.8216.0050.4918.6425.91
Gamma HHI0.230.160.470.210.22
Net GEX2.4M1.0M4.0M2.4M1.2M
Net DEX-41.7M-61.5M-17.4M-37.6M-19.5M
Net VEX-286.1K-304.6K-272.4K-273.8K-304.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.052.500.350.40
Total Volume786.9522102,132354480
Total OI19,273.1914,95321,50118,48618,858

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$92.88$87.8824.4%7.0%21.4%34.3%24.9%3.5%0.2%2.4M-37.6M-273.8K0.3518.642639113,1225,364
2008-06-03$93.72$87.8824.5%7.0%21.6%34.7%23.8%3.8%-0.9%2.6M-41.6M-274.1K1.0130.8912412513,2355,406
2008-06-04$93.88$87.8825.2%7.2%21.5%37.3%21.8%3.4%0.2%2.6M-43.5M-277.1K0.5532.3747726313,2275,455
2008-06-05$98.09$87.8822.4%6.4%24.4%27.1%21.6%4.2%2.8%2.9M-61.5M-281.6K0.1829.601,80233013,4285,638
2008-06-06$95.34$92.5124.7%7.2%26.8%35.2%24.4%2.7%2.1%2.8M-53.0M-293.5K0.3050.4982425013,9155,838
2008-06-09$95.66$92.5127.9%7.8%26.6%46.8%26.9%5.5%0.9%2.7M-51.7M-292.3K0.2030.4061011914,2155,924
2008-06-10$94.27$92.5130.5%8.1%26.8%56.4%27.4%6.2%2.2%2.6M-44.6M-293.2K1.1216.0031235114,4215,997
2008-06-11$92.68$92.5128.8%8.3%27.0%50.0%27.9%4.2%0.7%2.5M-38.8M-285.5K0.1818.003866814,4676,022
2008-06-12$92.83$92.5128.5%8.2%26.7%48.9%28.2%4.3%2.6%2.6M-37.9M-283.7K0.1018.625035014,6455,762
2008-06-13$95.03$92.5127.3%7.8%28.1%44.7%27.6%4.3%2.1%3.1M-48.5M-290.3K1.1122.1616117914,7555,798
2008-06-16$95.10$92.5126.5%7.6%28.1%41.9%26.4%4.8%1.7%3.2M-50.3M-284.3K0.1019.261921814,7855,928
2008-06-17$96.25$92.5125.4%7.3%28.3%37.9%25.1%4.4%2.7%3.5M-57.7M-282.3K0.1220.022062414,7845,897
2008-06-18$95.41$92.5127.3%7.8%28.3%44.6%25.9%4.9%0.7%3.4M-53.5M-278.6K2.5024.6624661514,8105,907
2008-06-19$95.83$92.5126.3%7.5%26.6%40.9%26.9%5.2%2.7%4.0M-56.0M-276.4K0.7526.4540930714,9736,397
2008-06-20$94.97$92.5125.4%7.3%26.8%37.7%25.4%5.1%3.5%1.8M-48.1M-272.4K0.0531.829174414,9636,538
2008-06-23$96.35$92.5127.5%7.9%26.5%42.5%26.8%5.0%1.7%1.6M-34.3M-278.1K0.0531.951,2125710,5474,406
2008-06-24$93.43$92.5130.9%8.9%29.1%55.6%31.1%4.2%4.5%1.6M-31.0M-284.0K2.3233.435791,34511,3114,436
2008-06-25$94.24$92.5129.7%8.5%27.5%51.0%30.6%5.4%4.5%1.5M-29.8M-300.6K2.1532.494721,01711,7415,382
2008-06-26$91.12$92.5129.8%8.5%30.0%51.1%29.5%3.1%6.2%1.0M-17.4M-298.4K0.4819.9133015811,9836,237
2008-06-27$91.23$92.5130.1%8.6%29.9%52.5%29.5%8.1%5.0%1.1M-19.7M-303.0K0.3930.1544017011,9836,237
2008-06-30$91.45$92.5129.7%8.5%29.5%51.1%28.4%6.8%5.3%1.2M-19.5M-304.6K0.4025.9134413612,4256,433