APD Options History — December 2008

In December 2008, APD traded between $40.06 and $49.48. ATM implied volatility averaged 60.0%, placing in the 48.9% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded below realized volatility by 22.5% (HV 20d: 82.6%). Max pain ranged from $46.25 to $55.50. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.52.

Notable Days

  • 2008-12-11: Highest Volume — 1,265 contracts
  • 2008-12-11: Largest IV spike — 15.0% change
  • 2008-12-01: Highest IV Rank — 74.1%
  • 2008-12-01: Largest Expected Move — 22.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.51$40.06$49.48$40.06$46.50
Max Pain$52.35$46.25$55.50$50.88$46.25
ATM IV60.0%44.7%80.0%80.0%44.7%
Expected Move17.2%12.8%22.9%22.9%12.8%
HV 20d82.6%56.0%95.5%92.8%56.0%
HV 60d89.3%87.0%92.2%88.5%87.3%
IV Rank48.9%29.6%74.1%74.1%29.6%
IV Percentile81.9%72.6%96.4%96.4%72.6%
Term Structure2.1%-5.6%6.7%-5.6%5.9%
VWIV58.8%46.3%79.2%79.2%47.7%
Skew 25d11.8%4.3%22.5%11.5%9.3%
Skew 10d24.0%4.9%42.9%42.9%25.3%
Call IV 25d54.7%41.7%72.4%72.4%41.7%
Put IV 25d66.5%51.0%83.8%83.8%51.0%
Bid-Ask Spread %45.868.6071.0765.508.60
Gamma HHI0.240.150.390.210.32
Net GEX-116.5K-172.5K2.4K-160.8K-75.0K
Net DEX17.6M9.7M21.2M20.4M9.7M
Net VEX-72.2K-92.9K-59.5K-64.8K-70.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.021.640.330.66
Total Volume460.409451,265127618
Total OI20,543.95518,38123,37619,75719,061

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$40.06$50.8880.0%22.9%92.8%74.1%79.2%11.5%-5.6%-160.8K20.4M-64.8K0.3365.50963111,2908,467
2008-12-02$42.04$50.8874.5%21.3%95.5%67.1%65.8%16.1%-1.8%-172.5K21.2M-65.1K0.0269.47137211,3168,475
2008-12-03$43.00$50.8872.2%20.7%92.6%64.3%65.8%14.9%-3.2%-165.3K20.2M-69.5K1.3938.6735349111,4018,475
2008-12-04$42.41$46.2572.7%20.8%91.4%64.9%67.7%12.0%-3.7%-158.7K20.7M-72.0K0.2871.07351011,7378,917
2008-12-05$44.04$55.5065.7%17.2%91.1%56.1%64.6%17.4%6.7%-141.2K20.1M-73.0K0.5149.42723711,7668,657
2008-12-08$48.11$55.5066.2%18.7%94.7%56.8%61.6%22.5%0.5%-82.6K15.4M-84.4K0.2057.3451610211,8018,635
2008-12-09$48.93$55.5062.4%17.7%94.9%51.9%63.4%17.8%1.1%-30.4K12.5M-91.0K0.4261.3837315612,2298,692
2008-12-10$49.48$55.5055.9%17.2%92.6%43.7%58.1%13.6%3.5%2.4K11.5M-92.9K0.0558.491991112,3838,759
2008-12-11$45.41$55.5064.3%18.4%95.2%54.3%62.1%13.1%0.1%-65.0K17.0M-81.0K1.5261.2250276312,4908,770
2008-12-12$44.95$55.5063.0%18.1%90.7%52.6%61.1%14.1%1.2%-156.1K19.1M-78.2K0.2250.22901912,7099,333
2008-12-15$44.90$55.5064.0%18.3%89.5%53.9%60.1%12.5%0.5%-163.1K19.3M-75.6K0.0224.226451212,6819,346
2008-12-16$46.64$55.5061.2%17.6%90.5%50.4%59.0%11.5%1.4%-108.7K16.3M-82.2K0.3856.731897213,0299,350
2008-12-17$45.67$55.5057.0%16.3%90.7%45.0%61.1%7.2%3.5%-134.9K17.9M-77.2K0.2726.8898426513,1269,352
2008-12-18$43.91$50.8858.3%16.7%85.8%46.7%59.4%6.2%3.0%-131.9K20.0M-71.6K1.1424.1439144613,8039,413
2008-12-19$43.14$50.8855.0%15.8%73.3%42.6%54.8%9.3%3.3%-137.7K20.6M-66.9K0.6018.9130218114,0539,323
2008-12-22$42.65$50.8853.3%15.3%70.0%40.3%49.0%8.7%3.6%-133.2K18.4M-62.2K0.2924.8545313310,2578,124
2008-12-23$42.09$50.8852.5%15.1%67.7%39.4%51.2%4.3%5.9%-104.1K18.5M-62.0K0.2243.881653710,5848,257
2008-12-24$42.42$50.8851.8%14.9%67.7%38.5%53.2%9.3%3.9%-102.1K18.4M-62.3K0.6951.52312210,6678,260
2008-12-26$43.12$50.8850.0%14.3%67.9%36.3%52.2%8.2%5.6%-116.2K18.6M-59.5K1.6443.34599710,6538,260
2008-12-29$44.34$50.8848.8%14.0%68.0%34.7%49.3%10.6%5.7%-118.2K17.0M-62.4K0.1355.381241610,6828,314
2008-12-30$45.49$50.8846.9%13.5%57.8%32.3%46.3%10.8%5.5%-107.6K14.6M-65.0K0.5147.8158930310,7598,311
2008-12-31$46.50$46.2544.7%12.8%56.0%29.6%47.7%9.3%5.9%-75.0K9.7M-70.1K0.668.6037224611,0837,978