APD Options History — July 2008

In July 2008, APD traded between $87.72 and $92.04. ATM implied volatility averaged 34.2%, placing in the 63.2% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 6.6% (HV 20d: 27.6%). Max pain ranged from $92.51 to $92.51. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.88.

Notable Days

  • 2008-07-08: Highest Volume — 2,166 contracts
  • 2008-07-10: Largest IV spike — 17.3% change
  • 2008-07-15: Highest IV Rank — 88.6%
  • 2008-07-15: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.36$87.72$92.04$92.04$88.08
Max Pain$92.51$92.51$92.51$92.51$92.51
ATM IV34.2%29.9%40.1%29.9%31.1%
Expected Move9.9%8.6%11.5%8.6%8.9%
HV 20d27.6%22.4%32.7%29.4%22.4%
HV 60d26.5%25.1%28.3%26.3%25.7%
IV Rank63.2%42.5%88.6%51.6%46.8%
IV Percentile88.8%71.8%99.2%78.6%77.4%
Term Structure-1.9%-6.2%6.0%6.0%-0.8%
VWIV33.5%26.5%39.3%33.3%30.3%
Skew 25d4.7%2.6%7.4%6.1%2.6%
Skew 10d9.5%4.7%17.1%12.2%4.7%
Call IV 25d32.2%27.9%37.1%28.6%29.1%
Put IV 25d36.9%31.7%42.4%34.7%31.7%
Bid-Ask Spread %30.0817.3445.8223.9936.98
Gamma HHI0.180.150.240.240.19
Net GEX534.6K-236.6K1.2M1.2M363.3K
Net DEX-5.8M-18.8M2.4M-18.8M2.4M
Net VEX-281.5K-318.0K-198.0K-303.3K-253.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.235.420.540.36
Total Volume759.3641352,166928745
Total OI21,131.95517,59423,49119,03921,425

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$92.04$92.5129.9%8.6%29.4%51.6%33.3%6.1%6.0%1.2M-18.8M-303.3K0.5423.9960432412,5296,510
2008-07-02$88.29$92.5134.0%9.7%32.7%67.2%31.9%3.3%1.9%893.3K-9.4M-288.2K0.7125.411,14080512,8106,654
2008-07-03$89.84$92.5133.5%9.6%28.8%64.5%31.2%7.4%5.1%997.7K-11.2M-298.4K0.4726.6554725913,1156,961
2008-07-07$88.36$92.5135.1%10.6%27.8%70.8%34.9%4.4%-3.1%676.2K-6.6M-282.5K0.3633.4389732512,9157,064
2008-07-08$89.20$92.5133.3%10.6%28.1%64.0%35.0%4.4%-2.5%787.1K-7.6M-290.1K5.4219.063371,82913,3647,188
2008-07-09$87.88$92.5132.5%10.4%28.1%58.5%35.8%3.4%-2.5%199.8K928.0K-293.9K0.2825.1475121113,4898,296
2008-07-10$89.86$92.5138.1%10.9%29.0%81.2%38.0%4.9%-3.1%535.1K-8.4M-313.5K1.1328.7770279513,7638,459
2008-07-11$89.37$92.5137.8%10.8%29.0%77.8%26.5%3.4%-2.1%370.1K-5.7M-318.0K1.0928.29727914,2349,156
2008-07-14$89.13$92.5139.7%11.4%27.4%86.5%38.6%4.6%-4.2%-2.4K-399.3K-198.0K0.2417.341092610,4257,169
2008-07-15$88.75$92.5140.1%11.5%27.4%88.6%39.3%6.6%-6.2%86.7K-3.9M-303.7K0.2345.8247711114,2539,230
2008-07-16$89.29$92.5137.9%10.9%27.0%78.3%37.6%5.6%-4.5%-236.6K-2.3M-297.8K0.4030.041094314,3269,165
2008-07-17$91.03$92.5137.0%10.6%28.1%74.4%37.6%4.8%-4.1%607.6K-13.1M-300.7K1.5226.3413821014,0659,196
2008-07-18$89.94$92.5137.2%10.7%28.2%74.9%35.2%4.2%-4.5%412.0K-7.1M-289.4K0.5930.5329317414,1109,244
2008-07-21$90.66$92.5134.8%10.0%28.4%63.8%34.5%5.1%-3.6%751.3K-10.6M-287.5K0.5538.0234919312,2147,756
2008-07-22$91.29$92.5133.6%9.6%27.9%58.5%32.7%6.4%-2.6%858.5K-13.7M-287.0K0.2936.4562318312,4307,779
2008-07-23$90.38$92.5130.5%8.7%26.1%44.2%32.1%5.8%-1.5%801.7K-9.8M-277.0K1.2444.5427634312,6577,810
2008-07-24$87.72$92.5131.8%9.1%27.6%50.2%31.1%3.4%-1.7%434.7K216.8K-265.3K1.4738.0137755512,7018,092
2008-07-25$88.24$92.5130.8%8.8%25.4%45.3%30.6%6.0%-1.7%462.8K1.5M-262.4K0.2722.9949413512,8898,100
2008-07-28$87.78$92.5130.5%8.8%25.4%44.3%31.4%3.2%-1.2%436.8K1.6M-256.0K0.7326.5814710712,8918,101
2008-07-29$89.07$92.5133.0%9.5%26.0%55.7%30.7%3.9%-4.8%516.8K-2.2M-261.2K0.9926.3031230812,8808,151
2008-07-30$89.76$92.5130.1%8.6%26.1%42.5%29.6%4.6%0.7%565.5K-4.6M-265.0K0.5531.071246813,0208,317
2008-07-31$88.08$92.5131.1%8.9%22.4%46.8%30.3%2.6%-0.8%363.3K2.4M-253.3K0.3636.9854719813,0878,338