APD Options History — October 2008

In October 2008, APD traded between $43.76 and $61.89. ATM implied volatility averaged 73.9%, placing in the 77.5% IV rank vs the trailing year. The 30-day expected move averaged 19.6%. IV traded below realized volatility by 13.0% (HV 20d: 86.9%). Max pain ranged from $50.88 to $69.38. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 1.12.

Notable Days

  • 2008-10-22: Highest Volume — 2,953 contracts
  • 2008-10-13: Largest IV drop — 27.9% change
  • 2008-10-02: Highest IV Rank — 100.0%
  • 2008-10-27: Largest Expected Move — 26.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.55$43.76$61.89$61.89$53.77
Max Pain$58.92$50.88$69.38$69.38$50.88
ATM IV73.9%56.3%100.5%56.3%61.9%
Expected Move19.6%16.1%26.1%16.1%17.7%
HV 20d86.9%65.9%105.3%66.1%105.3%
HV 60d58.6%43.6%72.9%43.6%72.9%
IV Rank77.5%51.3%100.0%95.3%51.3%
IV Percentile97.9%92.1%100.0%99.6%92.1%
Term Structure-7.1%-15.2%-1.3%-6.5%-2.9%
VWIV66.4%53.5%83.9%53.5%64.4%
Skew 25d14.6%2.5%26.8%6.6%18.6%
Skew 10d26.5%1.0%51.2%10.5%33.8%
Call IV 25d60.3%51.3%69.1%52.3%54.6%
Put IV 25d74.9%58.9%94.9%58.9%73.2%
Bid-Ask Spread %52.9131.1769.2831.1754.22
Gamma HHI0.210.130.480.130.28
Net GEX-83.3K-321.1K83.8K-39.4K-182.0K
Net DEX16.9M10.1M22.4M19.8M13.5M
Net VEX-84.1K-114.2K-66.1K-88.8K-114.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.078.650.520.72
Total Volume814.9131642,953379191
Total OI17,48715,21521,46715,79821,467

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-10-01$61.89$69.3856.3%16.1%66.1%95.3%53.5%6.6%-6.5%-39.4K19.8M-88.8K0.5231.172501299,9025,896
2008-10-02$59.21$69.3863.5%18.2%66.8%100.0%63.5%5.4%-12.4%-37.5K18.8M-86.5K1.7349.7319734110,1175,821
2008-10-03$58.62$69.3859.0%16.9%66.4%89.3%57.6%7.3%-3.5%-89.2K19.3M-80.8K0.5740.5225614610,1885,810
2008-10-06$57.29$64.7571.7%19.0%66.1%100.0%62.6%12.8%-10.8%-95.0K20.3M-76.5K0.9753.5874071610,3285,774
2008-10-07$55.50$64.7574.2%18.3%66.1%100.0%61.5%9.0%-6.7%-96.4K19.9M-82.0K0.6346.9817611010,8716,207
2008-10-08$55.71$64.7582.6%19.4%65.9%100.0%61.9%9.7%-8.6%-87.4K18.1M-83.1K0.2642.1954114210,5576,014
2008-10-09$50.93$60.1381.3%19.7%69.8%97.9%65.4%2.5%-7.4%-84.9K18.9M-70.9K1.0366.51818310,9125,910
2008-10-10$50.88$60.13100.5%22.6%69.1%100.0%72.9%10.5%-10.4%-85.4K19.0M-71.2K0.5860.9767239010,8695,880
2008-10-13$58.33$60.1372.5%18.2%89.4%64.7%63.2%19.6%-6.1%-64.5K16.1M-89.5K0.0761.139096211,3545,976
2008-10-14$59.20$60.1389.6%19.0%89.5%86.2%65.6%8.2%-8.6%39.9K12.0M-100.9K0.6537.4126217111,9215,981
2008-10-15$51.91$60.1398.7%20.6%95.8%97.7%74.1%8.8%-7.1%-35.4K16.8M-82.2K0.7454.2620415112,0626,013
2008-10-16$55.76$60.1373.5%21.1%100.5%65.9%69.3%15.3%-15.2%-40.5K14.5M-88.4K0.6651.2952134412,1855,786
2008-10-17$54.03$60.1366.2%19.0%93.4%56.7%68.3%17.5%-1.3%1.2K14.8M-85.9K0.2051.0154411012,4355,983
2008-10-20$57.47$60.1364.0%18.3%97.1%54.0%63.9%22.6%-9.9%83.8K10.1M-90.0K0.4756.2427813010,1825,033
2008-10-21$52.62$55.5067.1%19.2%96.7%57.8%59.1%10.5%-9.1%23.6K13.0M-71.6K0.2261.664389510,3685,071
2008-10-22$50.86$55.5067.0%19.2%96.7%57.7%55.9%18.2%-4.1%12.6K14.6M-66.1K1.7469.281,0791,87410,6245,094
2008-10-23$48.90$55.5066.3%19.0%96.8%56.8%66.1%17.5%-1.9%-104.5K17.8M-75.4K1.0056.5847147110,7436,712
2008-10-24$46.74$50.8879.3%22.7%97.1%73.3%83.9%20.8%-5.0%-115.3K17.5M-77.3K1.1052.9121423510,3657,020
2008-10-27$43.76$50.8891.1%26.1%96.6%88.1%82.5%25.8%-9.0%-129.5K18.0M-68.9K8.6553.852902,50510,4937,211
2008-10-28$47.26$50.8875.7%21.7%100.9%68.7%73.3%19.5%-5.0%-321.1K22.4M-85.8K0.5449.7732517610,7059,370
2008-10-29$49.44$50.8868.5%19.6%103.0%59.6%65.8%26.8%-1.9%-250.1K17.4M-96.4K0.3565.7663022310,9429,377
2008-10-30$51.60$50.8870.1%20.1%103.9%61.7%73.0%22.8%-10.3%-218.5K15.7M-102.3K2.4550.0125261811,1529,520
2008-10-31$53.77$50.8861.9%17.7%105.3%51.3%64.4%18.6%-2.9%-182.0K13.5M-114.2K0.7254.221118011,35610,111