APD Options History — September 2008

In September 2008, APD traded between $61.43 and $84.26. ATM implied volatility averaged 37.8%, placing in the 65.7% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 1.9% (HV 20d: 39.7%). Max pain ranged from $69.38 to $87.88. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.85.

Notable Days

  • 2008-09-18: Highest Volume — 2,682 contracts
  • 2008-09-23: Largest IV spike — 22.1% change
  • 2008-09-23: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.81$61.43$84.26$84.26$63.36
Max Pain$80.61$69.38$87.88$87.88$69.38
ATM IV37.8%25.9%58.0%27.1%55.0%
Expected Move10.8%7.4%16.6%7.8%15.8%
HV 20d39.7%22.8%66.1%25.4%66.1%
HV 60d32.1%25.4%43.5%25.4%43.5%
IV Rank65.7%22.7%100.0%28.6%91.7%
IV Percentile81.7%27.8%100.0%40.5%99.6%
Term Structure-1.7%-7.6%2.0%1.1%-6.9%
VWIV37.0%26.2%53.7%26.9%53.7%
Skew 25d4.3%0.3%8.7%2.3%8.7%
Skew 10d6.7%-0.1%14.9%1.3%7.9%
Call IV 25d35.7%25.2%56.4%25.2%52.4%
Put IV 25d40.0%27.5%61.2%27.5%61.1%
Bid-Ask Spread %28.9614.8456.2215.4352.55
Gamma HHI0.200.100.330.170.11
Net GEX-380.4K-910.4K237.0K237.0K-104.0K
Net DEX16.9M3.1M37.6M3.1M20.7M
Net VEX-128.8K-178.8K-84.9K-178.8K-96.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.266.366.361.49
Total Volume1,033.4291482,6826131,572
Total OI17,621.57112,50321,29619,17815,978

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$84.26$87.8827.1%7.8%25.4%28.6%26.9%2.3%1.1%237.0K3.1M-178.8K6.3615.438353012,3376,841
2008-09-03$82.31$87.8825.9%7.4%26.3%22.7%26.2%3.4%2.0%-283.2K11.5M-168.2K2.4415.379322712,3297,126
2008-09-04$80.22$87.8828.7%8.2%27.5%35.9%28.7%1.3%1.0%-495.8K17.1M-155.7K3.0415.0517352512,3637,019
2008-09-05$80.68$83.2629.2%8.6%26.3%38.3%27.5%3.0%0.6%-496.1K15.6M-154.2K0.9016.271,3721,22912,3366,997
2008-09-08$80.79$83.2630.8%8.7%26.0%45.4%29.2%4.3%0.7%-351.8K11.3M-150.8K1.0215.7512913112,4006,295
2008-09-09$78.21$83.2631.8%8.8%26.3%50.0%30.5%2.9%0.4%-486.2K16.9M-139.6K4.1115.1918274612,3826,358
2008-09-10$78.78$83.2632.0%9.0%26.0%50.9%30.1%3.7%-0.5%-764.2K17.4M-141.4K0.5414.8419910712,4026,748
2008-09-11$79.52$83.2631.7%9.1%22.8%49.7%31.1%5.5%-0.2%-778.4K15.8M-142.9K1.6927.32559312,4596,758
2008-09-12$80.48$83.2630.6%8.8%23.2%44.4%30.5%4.6%0.6%-757.1K13.1M-145.5K4.9417.149547012,4796,739
2008-09-15$78.61$83.2632.3%9.3%24.3%52.5%31.7%3.5%-0.9%-910.4K18.0M-139.9K0.3425.8839213212,5277,017
2008-09-16$79.56$83.2633.5%9.6%24.9%58.0%33.8%5.5%-0.8%-909.2K16.4M-143.9K0.8331.7120116812,7397,043
2008-09-17$73.17$83.2640.3%11.5%37.9%89.3%40.2%1.0%-4.1%-471.5K28.3M-117.5K1.1541.181,0801,24612,7017,055
2008-09-18$70.65$78.6337.1%10.7%38.6%74.9%36.4%0.3%-0.6%-460.7K37.6M-102.3K2.2139.828371,84513,3257,971
2008-09-19$77.20$78.6337.1%10.6%51.9%74.6%38.0%6.6%-3.1%-498.0K14.3M-133.4K0.7451.4540529813,3056,737
2008-09-22$74.26$78.6340.4%11.6%52.9%89.9%41.8%5.8%-0.3%-14.8K9.1M-125.2K1.6320.692393898,0624,441
2008-09-23$67.73$78.6349.4%14.2%60.7%100.0%46.4%4.7%-5.2%-130.1K15.6M-100.4K0.3932.707352848,0934,683
2008-09-24$68.08$78.6347.8%13.7%60.6%94.4%47.1%5.2%-4.9%-110.4K16.3M-99.0K0.2620.744301108,3114,773
2008-09-25$65.66$74.0147.5%13.6%60.9%93.6%48.4%6.2%-3.7%-97.8K18.0M-88.0K1.0754.777327828,5074,819
2008-09-26$66.08$74.0147.9%13.7%60.4%94.8%47.4%7.4%-2.6%-66.6K17.4M-95.6K0.7228.181,2278889,0545,417
2008-09-29$61.43$69.3858.0%16.6%63.9%100.0%51.6%4.8%-7.6%-38.9K20.5M-84.9K2.9656.223219509,4655,662
2008-09-30$63.36$69.3855.0%15.8%66.1%91.7%53.7%8.7%-6.9%-104.0K20.7M-96.8K1.4952.556309429,6266,352