APD Options History — May 2009

In May 2009, APD traded between $55.57 and $62.16. ATM implied volatility averaged 36.2%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 1.7% (HV 20d: 37.9%). Max pain ranged from $50.88 to $55.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.74.

Notable Days

  • 2009-05-20: Highest Volume — 2,322 contracts
  • 2009-05-13: Largest IV spike — 11.9% change
  • 2009-05-13: Highest IV Rank — 25.3%
  • 2009-05-13: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.63$55.57$62.16$60.82$59.93
Max Pain$51.34$50.88$55.50$50.88$55.50
ATM IV36.2%30.4%41.3%36.0%30.4%
Expected Move10.3%8.7%11.3%10.3%8.7%
HV 20d37.9%34.6%40.3%39.4%38.3%
HV 60d44.9%41.1%47.1%47.1%41.1%
IV Rank18.4%10.2%25.3%18.5%10.2%
IV Percentile34.8%16.3%45.6%37.3%16.3%
Term Structure1.3%0.4%2.6%1.1%2.4%
VWIV36.2%32.7%41.6%34.9%35.1%
Skew 25d6.2%2.7%7.7%2.7%7.7%
Skew 10d12.5%1.0%20.6%1.0%17.1%
Call IV 25d32.7%27.5%36.4%35.1%27.5%
Put IV 25d38.9%35.2%42.2%37.8%35.2%
Bid-Ask Spread %24.2211.7632.9423.2411.76
Gamma HHI0.280.210.360.260.34
Net GEX1.2M987.3K1.4M1.3M1.2M
Net DEX-45.9M-70.9M-29.5M-64.1M-47.3M
Net VEX-239.8K-246.7K-231.1K-246.3K-234.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.740.0114.680.462.59
Total Volume834.5862,3223901,743
Total OI31,208.7527,47034,39031,74030,498

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$60.82$50.8836.0%10.3%39.4%18.5%34.9%2.7%1.1%1.3M-64.1M-246.3K0.4623.2426812218,90512,835
2009-05-04$62.16$50.8839.8%10.7%39.4%23.3%38.6%7.7%1.7%1.3M-70.9M-236.4K1.3029.6523630718,95412,884
2009-05-05$61.28$50.8837.9%10.9%37.6%20.9%39.0%7.6%0.6%1.4M-66.4M-240.5K3.2332.1230197219,01312,940
2009-05-06$60.66$50.8836.8%10.6%35.3%19.5%39.4%7.4%1.4%1.3M-62.9M-238.0K1.6324.2715024519,13213,416
2009-05-07$58.07$50.8838.0%10.9%39.0%21.1%38.9%6.7%0.9%1.2M-46.1M-244.9K1.6730.0635058419,00513,574
2009-05-08$57.79$50.8838.6%10.6%37.5%21.8%36.5%4.9%2.6%1.3M-43.6M-243.1K1.7531.3322940018,96814,044
2009-05-11$57.90$50.8836.1%10.5%37.3%18.6%41.6%7.0%0.9%1.3M-45.1M-237.7K0.1931.165089718,96414,243
2009-05-12$58.03$50.8836.9%10.3%36.6%19.7%37.3%5.3%1.8%1.4M-45.4M-236.1K0.5626.1684947119,27214,283
2009-05-13$55.57$50.8841.3%11.3%39.5%25.3%39.7%5.8%1.8%1.3M-29.5M-246.7K0.4631.5224611219,77514,615
2009-05-14$56.96$50.8838.5%11.0%40.3%21.6%36.3%7.7%2.0%1.4M-39.1M-243.1K2.9326.24308919,70214,650
2009-05-15$56.98$50.8838.1%10.9%40.3%21.2%34.0%7.0%2.0%1.0M-41.3M-238.5K0.0232.941,4653019,38114,640
2009-05-18$59.48$50.8833.7%9.7%38.6%15.7%33.0%4.3%0.6%1.0M-44.3M-239.1K0.2618.001,16630216,51310,957
2009-05-19$59.12$50.8833.4%9.6%38.8%15.2%34.1%5.1%0.7%1.2M-44.0M-246.3K1.2127.3517220917,37211,183
2009-05-20$58.71$50.8832.8%9.4%34.6%14.5%32.7%5.6%0.8%1.2M-42.1M-242.9K0.3413.341,72959317,38811,292
2009-05-21$56.74$50.8836.0%10.3%36.8%17.3%33.5%6.1%1.3%1.0M-32.4M-238.6K0.2619.3173518917,62911,131
2009-05-22$57.71$50.8835.8%10.3%36.1%17.1%33.4%6.3%1.3%1.1M-37.0M-239.3K0.4814.19653117,48511,393
2009-05-26$59.11$50.8833.4%9.6%37.1%14.0%33.2%6.4%0.7%1.2M-43.3M-236.4K0.0122.84134117,52211,415
2009-05-27$57.53$50.8837.2%10.7%38.3%18.9%36.8%5.7%0.7%1.1M-37.1M-231.1K14.6820.11941,38017,61411,414
2009-05-28$57.99$55.5033.4%9.6%36.9%14.0%36.0%6.3%0.4%987.3K-36.2M-235.8K0.8618.80464017,67012,504
2009-05-29$59.93$55.5030.4%8.7%38.3%10.2%35.1%7.7%2.4%1.2M-47.3M-234.5K2.5911.764851,25817,70012,798