APD Options History — April 2009

In April 2009, APD traded between $52.46 and $60.96. ATM implied volatility averaged 40.3%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 3.0% (HV 20d: 43.3%). Max pain ranged from $50.88 to $50.88. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.28.

Notable Days

  • 2009-04-22: Highest Volume — 5,521 contracts
  • 2009-04-08: Largest IV drop — 20.2% change
  • 2009-04-07: Highest IV Rank — 33.2%
  • 2009-04-07: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.79$52.46$60.96$53.27$60.96
Max Pain$50.88$50.88$50.88$50.88$50.88
ATM IV40.3%32.0%47.6%38.5%35.1%
Expected Move11.9%9.2%15.3%11.0%10.1%
HV 20d43.3%39.7%47.9%44.6%40.1%
HV 60d50.4%47.1%53.7%53.7%47.1%
IV Rank24.0%13.5%33.2%21.7%17.4%
IV Percentile46.0%31.3%59.1%47.2%36.1%
Term Structure-1.0%-5.3%6.5%6.4%1.0%
VWIV42.8%33.3%52.0%46.0%35.6%
Skew 25d7.7%2.9%14.9%9.4%2.9%
Skew 10d15.2%3.2%25.8%16.6%3.2%
Call IV 25d35.9%27.1%42.6%37.8%34.3%
Put IV 25d43.6%36.0%50.3%47.2%37.2%
Bid-Ask Spread %19.389.9046.0832.1913.81
Gamma HHI0.280.200.450.210.27
Net GEX746.6K248.6K1.3M452.5K1.3M
Net DEX-33.9M-64.4M-15.6M-21.3M-64.4M
Net VEX-246.2K-267.0K-233.6K-241.0K-234.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.0610.0410.040.64
Total Volume1,388.857745,5215,0022,176
Total OI29,884.04826,26531,85627,03730,750

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$53.27$50.8838.5%11.0%44.6%21.7%46.0%9.4%6.4%452.5K-21.3M-241.0K10.0432.194534,54914,71512,322
2009-04-02$54.78$50.8840.4%11.6%42.3%24.1%40.2%7.8%6.5%248.6K-23.3M-267.0K0.4023.9497038614,97115,579
2009-04-03$55.99$50.8839.3%13.5%42.1%22.7%47.6%6.9%-4.4%466.2K-29.5M-261.7K1.259.9012515715,70515,077
2009-04-06$54.22$50.8841.1%13.5%43.7%25.0%52.0%5.6%-4.4%429.6K-22.9M-248.9K3.029.9315246115,69613,999
2009-04-07$52.46$50.8847.6%15.3%42.7%33.2%50.7%7.7%-5.3%250.7K-15.6M-246.6K0.3110.751,23638515,77714,314
2009-04-08$53.74$50.8838.0%12.9%42.4%21.0%45.7%12.0%-2.3%370.2K-20.4M-245.8K0.1310.791,43018315,84914,377
2009-04-09$55.58$50.8843.0%12.3%42.6%27.3%43.2%14.9%-0.9%740.8K-33.3M-260.4K0.3911.552309017,07714,559
2009-04-13$55.09$50.8844.9%12.9%42.4%29.8%45.2%10.6%-2.4%727.2K-32.1M-252.5K0.6812.46443017,13914,478
2009-04-14$54.20$50.8845.8%13.1%43.1%30.9%51.7%10.1%-3.3%639.0K-27.7M-250.0K0.7313.09956917,16414,485
2009-04-15$55.31$50.8844.4%12.7%42.9%29.2%41.9%10.3%-2.6%824.6K-33.7M-248.7K0.2911.7152915517,36714,489
2009-04-16$55.95$50.8845.5%13.0%42.2%30.5%47.2%9.9%-4.8%956.4K-37.4M-239.2K0.0615.553912316,77514,093
2009-04-17$56.11$50.8843.9%12.6%42.1%28.5%41.7%9.7%-4.1%1.2M-38.7M-235.9K0.3016.1796729116,83414,093
2009-04-20$53.46$50.8844.9%12.9%44.6%29.8%46.6%8.5%-4.9%337.6K-20.5M-234.3K2.2614.9837284114,90511,360
2009-04-21$53.70$50.8843.8%12.5%44.4%28.3%44.6%9.3%-4.3%316.5K-19.9M-235.7K0.5615.291,29573015,03911,730
2009-04-22$56.60$50.8835.1%10.1%47.9%17.4%36.7%5.2%1.9%700.9K-36.1M-233.6K2.3446.081,6513,87015,64312,020
2009-04-23$56.41$50.8835.9%10.3%47.5%18.4%36.2%3.7%2.7%822.0K-36.0M-242.3K0.4132.682,00883016,37811,852
2009-04-24$57.91$50.8832.0%9.2%46.5%13.5%33.3%4.4%1.5%1.2M-46.5M-251.9K0.3429.4444615417,80012,174
2009-04-27$57.74$50.8836.4%10.4%45.9%19.0%37.5%4.3%3.6%1.2M-46.8M-247.9K1.2627.1728636217,96412,082
2009-04-28$58.16$50.8836.1%10.4%39.7%18.7%38.5%4.1%-0.5%1.2M-48.7M-249.8K0.6927.2819313417,99812,362
2009-04-29$59.85$50.8834.9%10.0%40.4%17.2%37.0%3.6%-0.5%1.3M-58.0M-242.5K0.8022.1423118618,12712,447
2009-04-30$60.96$50.8835.1%10.1%40.1%17.4%35.6%2.9%1.0%1.3M-64.4M-234.8K0.6413.811,33084618,20512,545