APD Options History — March 2009

In March 2009, APD traded between $40.52 and $55.39. ATM implied volatility averaged 49.8%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 2.8% (HV 20d: 52.6%). Max pain ranged from $41.63 to $50.88. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.33.

Notable Days

  • 2009-03-27: Highest Volume — 4,551 contracts
  • 2009-03-30: Largest IV spike — 18.4% change
  • 2009-03-02: Highest IV Rank — 52.0%
  • 2009-03-02: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.36$40.52$55.39$40.74$52.04
Max Pain$46.04$41.63$50.88$50.88$50.88
ATM IV49.8%36.9%62.5%62.5%46.0%
Expected Move14.2%10.6%17.9%17.9%13.2%
HV 20d52.6%45.7%58.3%50.3%48.0%
HV 60d54.7%53.3%57.9%56.7%54.2%
IV Rank35.9%19.7%52.0%52.0%31.1%
IV Percentile63.2%45.6%81.7%81.7%56.0%
Term Structure2.6%-3.5%7.5%-3.5%3.8%
VWIV50.3%38.6%64.4%55.4%41.4%
Skew 25d10.7%7.2%15.3%7.2%10.2%
Skew 10d19.3%8.5%31.6%8.5%31.6%
Call IV 25d45.1%34.3%60.5%60.5%40.2%
Put IV 25d55.8%42.1%67.7%67.7%50.4%
Bid-Ask Spread %25.4812.6553.7524.2639.20
Gamma HHI0.190.140.650.150.22
Net GEX101.2K-2.1M493.0K-49.8K319.3K
Net DEX-10.0M-32.5M11.8M11.8M-16.0M
Net VEX-191.7K-240.5K-152.2K-153.2K-240.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.027.310.670.10
Total Volume1,157.8642244,551964485
Total OI25,34422,95030,40023,86426,832

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$40.74$50.8862.5%17.9%50.3%52.0%55.4%7.2%-3.5%-49.8K11.8M-153.2K0.6724.2657838613,07610,788
2009-03-03$40.52$50.8859.8%17.2%50.3%48.6%59.1%8.6%-3.0%-74.3K11.5M-152.2K0.9024.5329626612,68010,667
2009-03-04$43.10$50.8858.0%16.6%54.1%46.3%55.1%9.8%-1.4%-43.7K7.2M-166.0K0.0412.657072712,74010,617
2009-03-05$41.81$50.8861.0%17.5%54.4%50.1%60.0%8.5%-3.0%-16.9K8.7M-162.1K0.6424.5619612513,26710,601
2009-03-06$42.93$41.6361.6%17.0%54.1%50.9%55.2%11.9%-0.3%13.0K6.6M-166.3K0.3426.6538813113,31110,553
2009-03-09$42.13$41.6361.5%16.8%53.0%50.8%64.4%13.2%-1.3%2.0K7.3M-162.2K0.1922.425229713,63510,586
2009-03-10$44.76$41.6356.0%15.3%58.3%43.8%59.1%15.3%1.8%80.4K2.2M-176.8K1.3319.8329539313,82910,617
2009-03-11$46.08$41.6353.3%15.1%56.7%40.4%51.8%11.6%2.4%107.3K-1.8M-184.4K0.2018.202975813,87110,868
2009-03-12$47.54$41.6350.9%14.6%57.8%37.3%45.4%11.6%1.9%159.7K-5.5M-187.7K0.0216.941,0962314,02110,995
2009-03-13$48.78$41.6343.9%12.6%56.4%28.5%46.6%12.8%5.2%347.3K-12.1M-196.4K1.6821.1413021815,01710,779
2009-03-16$49.31$41.6346.8%13.4%56.5%32.1%51.9%11.1%3.8%367.0K-15.7M-192.4K2.5217.745701,43315,11710,921
2009-03-17$50.53$46.2544.8%12.8%55.4%29.7%50.2%12.2%5.0%241.1K-16.9M-203.9K3.9018.4215259515,34812,232
2009-03-18$51.88$46.2545.6%13.1%55.9%30.7%45.1%10.1%4.9%231.2K-22.3M-204.8K0.1827.924137215,42612,679
2009-03-19$52.54$46.2548.5%13.9%56.0%34.3%47.6%11.9%0.8%294.7K-25.8M-205.6K3.6425.787242,63715,63912,699
2009-03-20$51.06$46.2546.1%13.2%55.5%31.2%46.0%10.6%5.5%-2.1M-18.5M-207.3K7.3129.833182,32315,96314,437
2009-03-23$51.71$46.2545.9%13.2%48.8%31.0%46.9%10.4%4.5%299.8K-18.8M-202.1K0.5830.5351129712,85110,099
2009-03-24$52.21$46.2542.8%12.3%48.5%27.2%43.5%9.7%6.9%362.1K-21.7M-199.8K2.3737.238622,03913,26610,342
2009-03-25$53.31$46.2536.9%10.6%45.7%19.7%39.9%9.7%7.5%414.3K-24.7M-203.2K0.6553.7532821213,68010,795
2009-03-26$55.39$46.2538.0%10.9%46.0%21.1%38.6%7.8%6.6%493.0K-32.5M-204.1K0.1826.284217713,91610,934
2009-03-27$54.37$46.2538.8%11.1%46.6%22.0%58.2%9.5%4.9%484.5K-30.1M-205.9K0.4224.253,1941,35714,12010,978
2009-03-30$51.26$50.8845.9%13.2%48.4%31.0%44.9%10.7%3.7%247.9K-13.2M-239.8K1.3518.499512914,51712,259
2009-03-31$52.04$50.8846.0%13.2%48.0%31.1%41.4%10.2%3.8%319.3K-16.0M-240.5K0.1039.204404514,51112,321