APD Options History — January 2009

In January 2009, APD traded between $46.53 and $54.88. ATM implied volatility averaged 50.4%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 5.9% (HV 20d: 56.4%). Max pain ranged from $46.25 to $50.88. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.89.

Notable Days

  • 2009-01-21: Highest Volume — 2,533 contracts
  • 2009-01-21: Largest IV drop — 18.7% change
  • 2009-01-14: Highest IV Rank — 53.2%
  • 2009-01-20: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.83$46.53$54.88$49.08$46.53
Max Pain$50.65$46.25$50.88$46.25$50.88
ATM IV50.4%42.0%63.4%44.4%47.9%
Expected Move14.6%12.1%17.6%12.7%13.7%
HV 20d56.4%48.5%64.3%58.3%64.3%
HV 60d78.7%72.4%88.4%87.9%73.5%
IV Rank36.7%26.2%53.2%29.1%33.6%
IV Percentile73.0%65.1%82.5%72.2%69.8%
Term Structure-0.4%-5.7%5.4%5.4%0.9%
VWIV50.3%38.8%63.2%45.2%46.6%
Skew 25d12.3%6.3%19.9%19.9%9.8%
Skew 10d26.4%2.6%40.2%40.2%21.7%
Call IV 25d44.4%35.4%51.6%35.4%41.3%
Put IV 25d56.7%48.5%64.1%55.3%51.0%
Bid-Ask Spread %19.5611.8455.7755.7719.79
Gamma HHI0.220.160.400.240.21
Net GEX124.2K-48.8K312.7K-4.0K43.8K
Net DEX674.1K-11.2M7.9M3.9M5.9M
Net VEX-108.4K-146.6K-75.0K-75.0K-132.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.072.810.391.62
Total Volume1,1492842,533914748
Total OI18,892.513,01122,80619,40119,047

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$49.08$46.2544.4%12.7%58.3%29.1%45.2%19.9%5.4%-4.0K3.9M-75.0K0.3955.7765725711,2788,123
2009-01-05$51.20$50.8843.7%15.1%59.1%28.2%53.4%9.5%-5.2%79.1K-1.6M-78.4K0.5615.8464335811,6478,306
2009-01-06$54.88$50.8846.2%14.0%62.1%31.4%49.9%10.7%-1.9%103.8K-11.2M-91.3K0.3315.821,12936812,0388,531
2009-01-07$52.69$50.8854.1%15.9%57.5%41.3%56.7%7.8%-3.9%150.4K-3.0M-93.9K2.8114.014791,34511,6948,568
2009-01-08$53.77$50.8849.3%15.5%57.6%35.3%56.4%8.6%-3.3%98.8K-4.1M-112.3K0.5412.6456530511,7699,570
2009-01-09$52.38$50.8854.3%15.5%58.6%41.6%54.1%6.3%-1.1%104.8K-1.5M-111.1K0.7314.3916412011,8859,623
2009-01-12$51.62$50.8855.8%16.2%48.9%43.5%55.1%12.8%-2.3%166.6K323.6K-104.7K0.9714.6729729011,9669,639
2009-01-13$52.01$50.8854.0%16.0%48.5%41.3%54.3%12.8%-1.7%216.4K-919.3K-105.3K1.0511.8440942812,0479,715
2009-01-14$50.30$50.8863.4%15.8%50.6%53.2%57.3%12.2%-0.2%110.1K4.0M-105.1K0.9614.2540939312,0359,888
2009-01-15$51.87$50.8856.5%16.2%50.0%44.3%55.3%14.7%-0.3%312.7K81.7K-107.4K0.0712.701,69011612,13510,060
2009-01-16$52.75$50.8854.6%15.7%49.2%42.0%53.3%14.3%-1.2%164.4K-4.2M-113.5K0.6215.4070844112,76010,046
2009-01-20$48.70$50.8861.5%17.6%55.9%50.7%63.2%10.7%-5.7%37.4K4.2M-104.1K2.1913.337121,5606,6276,384
2009-01-21$50.05$50.8850.0%14.3%55.8%36.2%50.4%17.0%1.5%-48.8K7.0M-105.8K0.8019.221,4061,1276,5507,368
2009-01-22$48.03$50.8853.7%15.4%58.1%40.9%46.9%11.4%-0.2%35.2K7.9M-104.5K1.7220.602334017,5337,601
2009-01-23$48.91$50.8846.3%13.3%57.8%31.6%39.3%16.1%0.9%70.9K6.8M-109.1K0.4319.642651157,6507,693
2009-01-26$50.09$50.8843.9%12.6%58.1%28.5%40.9%14.1%5.0%135.9K3.8M-112.1K0.6325.464853077,8587,669
2009-01-27$50.65$50.8843.6%12.5%58.0%28.1%42.9%12.8%2.3%194.2K2.4M-115.2K0.3323.851,8156038,2097,779
2009-01-28$51.84$50.8842.9%12.3%57.8%27.3%38.8%12.2%1.6%293.8K-6.2M-146.6K0.6126.855023089,7978,189
2009-01-29$49.30$50.8842.0%12.1%60.9%26.2%45.9%11.6%0.9%218.5K-65.9K-140.6K0.4325.1457324910,1168,457
2009-01-30$46.53$50.8847.9%13.7%64.3%33.6%46.6%9.8%0.9%43.8K5.9M-132.0K1.6219.7928546310,4008,647