APD Options History — August 2008

In August 2008, APD traded between $80.68 and $86.64. ATM implied volatility averaged 29.6%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 3.3% (HV 20d: 26.3%). Max pain ranged from $87.88 to $92.51. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2008-08-11: Highest Volume — 3,836 contracts
  • 2008-08-04: Largest IV spike — 21.0% change
  • 2008-08-13: Highest IV Rank — 67.0%
  • 2008-08-05: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.21$80.68$86.64$85.99$84.97
Max Pain$88.10$87.88$92.51$92.51$87.88
ATM IV29.6%24.7%35.4%27.4%26.3%
Expected Move8.3%7.1%9.1%7.9%7.5%
HV 20d26.3%22.9%29.4%22.9%26.8%
HV 60d26.9%25.8%28.0%25.8%25.9%
IV Rank39.9%17.2%67.0%29.9%24.6%
IV Percentile59.8%17.5%94.4%49.2%32.9%
Term Structure0.9%-1.0%2.3%2.3%1.1%
VWIV28.1%24.7%31.1%28.4%24.7%
Skew 25d3.0%1.5%5.5%3.2%2.1%
Skew 10d5.8%1.8%9.7%3.5%1.8%
Call IV 25d27.3%23.4%29.8%27.3%24.2%
Put IV 25d30.4%26.3%33.6%30.5%26.3%
Bid-Ask Spread %27.3111.6744.1431.8711.67
Gamma HHI0.250.130.560.180.16
Net GEX-386.0K-2.5M692.8K59.0K316.0K
Net DEX12.3M-4.8M41.3M12.4M378.7K
Net VEX-198.0K-230.5K-178.9K-230.5K-190.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.025.710.601.33
Total Volume708.3811883,836723214
Total OI20,600.23817,33825,38021,39719,506

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$85.99$92.5127.4%7.9%22.9%29.9%28.4%3.2%2.3%59.0K12.4M-230.5K0.6031.8745227112,9688,429
2008-08-04$83.92$87.8833.2%9.1%23.7%56.5%28.5%4.8%0.4%-60.4K20.9M-209.7K1.8944.147521,41913,0908,485
2008-08-05$85.06$87.8832.7%9.1%24.0%54.4%28.3%3.7%-0.4%-540.0K19.9M-221.2K0.4435.1235815713,0039,380
2008-08-06$84.39$87.8832.2%8.9%23.7%52.1%31.1%2.9%1.0%-626.5K22.5M-211.4K2.1943.0019342412,6959,339
2008-08-07$82.30$87.8831.6%9.0%23.2%49.1%30.1%2.8%-1.0%-859.6K30.8M-196.7K1.4535.7936653312,7219,574
2008-08-08$83.18$87.8830.3%8.3%23.8%43.2%29.7%4.7%0.5%-907.1K30.3M-196.2K0.8734.6618816412,8469,744
2008-08-11$80.68$87.8835.4%9.0%25.6%66.7%30.8%2.0%-0.1%-932.1K37.9M-178.9K5.7128.775723,26412,8799,769
2008-08-12$81.65$87.8832.0%8.7%26.3%51.0%30.1%1.5%0.8%-2.5M41.3M-193.2K0.0928.362892513,12112,259
2008-08-13$84.47$87.8835.4%8.5%29.4%67.0%28.1%5.5%1.4%-892.9K9.8M-199.5K0.3526.9944815613,0489,529
2008-08-14$83.53$87.8829.4%8.4%28.4%39.0%28.6%1.6%1.4%-1.4M12.2M-195.5K0.8340.7315412813,0699,560
2008-08-15$83.77$87.8828.7%8.2%28.3%35.7%28.8%2.2%1.1%-2.5M8.7M-194.1K0.6324.7123814913,1629,525
2008-08-18$83.90$87.8828.9%8.3%28.1%36.7%28.7%3.4%1.1%111.1K4.1M-189.7K0.5223.3726213510,8416,497
2008-08-19$84.09$87.8829.5%8.5%27.9%39.5%29.4%3.3%1.1%124.3K4.3M-191.3K0.7822.3939930910,8916,570
2008-08-20$84.95$87.8828.4%8.2%28.2%34.7%27.7%1.6%2.2%212.1K2.6M-195.6K0.1726.882624511,1276,676
2008-08-21$84.97$87.8828.9%8.3%26.4%36.6%28.1%3.1%0.5%248.0K1.5M-193.8K0.0229.187211511,3006,699
2008-08-22$85.93$87.8824.9%7.1%26.7%18.4%25.2%4.0%1.1%447.1K-2.1M-201.6K0.2022.531573111,9446,710
2008-08-25$84.04$87.8827.7%7.9%27.7%31.2%26.7%2.8%0.8%172.8K3.8M-189.0K0.1722.412844811,9936,728
2008-08-26$84.75$87.8827.4%7.8%27.3%29.7%25.7%2.9%1.0%286.0K2.5M-189.7K0.0614.592501512,1396,738
2008-08-27$85.28$87.8826.4%7.6%27.2%25.4%25.1%2.3%2.0%416.2K-192.8K-193.4K0.4114.251626712,2446,712
2008-08-28$86.64$87.8824.7%7.1%27.2%17.2%26.9%3.8%1.6%692.8K-4.8M-197.3K1.6312.0030449612,3506,745
2008-08-29$84.97$87.8826.3%7.5%26.8%24.6%24.7%2.1%1.1%316.0K378.7K-190.3K1.3311.679212212,3207,186