APD Options History — June 2009

In June 2009, APD traded between $57.32 and $63.48. ATM implied volatility averaged 35.0%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 2.9% (HV 20d: 37.8%). Max pain ranged from $50.88 to $64.75. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.89.

Notable Days

  • 2009-06-01: Highest Volume — 3,749 contracts
  • 2009-06-08: Largest IV spike — 16.9% change
  • 2009-06-22: Highest IV Rank — 19.0%
  • 2009-06-22: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.13$57.32$63.48$63.03$59.75
Max Pain$60.34$50.88$64.75$50.88$60.13
ATM IV35.0%30.8%39.1%34.5%31.2%
Expected Move10.0%8.8%11.2%9.9%8.9%
HV 20d37.8%30.4%43.2%42.4%30.7%
HV 60d39.4%37.3%41.4%41.4%37.3%
IV Rank14.1%8.1%19.0%15.5%8.6%
IV Percentile27.2%11.5%42.1%28.6%11.5%
Term Structure2.2%-2.0%6.2%-1.1%4.0%
VWIV35.4%30.0%39.0%34.9%30.5%
Skew 25d5.5%2.9%10.6%5.3%2.9%
Skew 10d12.3%1.6%23.6%9.2%1.6%
Call IV 25d32.6%27.8%36.0%33.6%30.5%
Put IV 25d38.2%33.4%41.4%38.9%33.4%
Bid-Ask Spread %17.157.5527.0214.8212.43
Gamma HHI0.370.200.860.320.25
Net GEX1.6M395.4K6.3M1.4M711.2K
Net DEX-44.5M-68.5M-13.6M-63.6M-22.3M
Net VEX-227.3K-240.0K-211.8K-225.1K-225.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.042.570.382.57
Total Volume960.1361823,7493,749182
Total OI29,531.27321,20433,90829,84123,576

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$63.03$50.8834.5%9.9%42.4%15.5%34.9%5.3%-1.1%1.4M-63.6M-225.1K0.3814.822,7221,02717,76812,073
2009-06-02$63.17$55.5035.1%10.1%41.7%16.2%35.1%5.3%-1.6%1.7M-66.7M-238.7K0.489.8940319219,43612,654
2009-06-03$61.56$55.5037.2%10.7%42.5%19.0%37.0%5.9%-0.2%1.7M-57.3M-240.0K1.907.5522141819,62712,810
2009-06-04$63.20$55.5035.3%10.1%43.2%16.5%36.5%10.6%-2.0%1.7M-66.1M-238.5K0.1517.135628219,55313,050
2009-06-05$63.12$60.1333.1%9.6%39.8%13.6%34.7%4.9%2.5%1.8M-66.3M-235.9K0.8914.5626423619,57813,069
2009-06-08$62.36$64.7538.7%10.8%40.1%18.5%38.2%7.2%0.8%1.7M-61.4M-231.6K0.3917.771907519,44413,171
2009-06-09$63.19$64.7534.7%9.7%40.2%13.2%33.8%9.0%1.5%1.8M-66.6M-224.5K0.0420.127753219,53713,230
2009-06-10$62.65$64.7534.5%9.6%40.5%13.0%39.0%5.8%2.5%1.9M-63.2M-232.4K0.2520.9782020819,94213,263
2009-06-11$63.48$64.7534.2%9.8%36.5%12.6%34.2%6.4%2.3%1.9M-68.5M-227.1K1.7821.5348987019,60013,368
2009-06-12$62.90$64.7533.3%9.6%36.3%11.4%37.6%5.3%2.0%2.0M-63.4M-235.7K0.7125.6360343019,96613,942
2009-06-15$60.83$64.7537.7%10.8%38.7%17.2%39.0%5.9%1.3%1.7M-43.7M-221.3K0.8815.8685775818,72914,099
2009-06-16$59.85$60.1337.1%10.6%36.3%16.3%35.1%4.2%1.5%1.7M-37.0M-227.7K0.3318.4774724518,93014,621
2009-06-17$59.55$60.1337.0%10.6%36.3%16.3%37.7%6.2%2.0%1.5M-33.9M-225.3K0.4022.2971628318,83914,743
2009-06-18$60.62$60.1336.9%10.6%36.7%16.1%36.5%5.7%2.4%2.0M-42.4M-224.7K0.1814.344928818,96214,748
2009-06-19$60.07$60.1334.8%10.0%34.4%13.3%35.1%4.8%3.4%6.3M-37.4M-223.9K0.3316.311,35944319,06214,746
2009-06-22$57.32$60.1339.1%11.2%38.3%19.0%37.2%4.4%2.6%395.4K-13.6M-211.8K0.7313.7162445412,8818,323
2009-06-23$58.50$60.1335.0%10.0%38.0%13.7%35.6%5.1%5.0%491.0K-16.8M-220.2K1.9411.7925248813,3308,595
2009-06-24$58.65$60.1334.0%9.7%36.6%12.3%35.9%4.1%4.3%500.6K-17.3M-221.2K1.2815.2425833013,3988,893
2009-06-25$60.02$60.1332.8%9.4%37.4%10.7%32.5%4.3%4.2%614.5K-21.8M-225.0K0.5817.6647527513,5649,008
2009-06-26$60.31$60.1330.8%8.8%35.6%8.1%30.0%4.1%6.2%721.3K-23.7M-223.4K1.9222.319818913,7089,011
2009-06-29$60.66$60.1332.0%9.2%30.4%9.6%31.9%4.5%4.1%774.0K-25.9M-220.5K1.5727.0234654513,7059,136
2009-06-30$59.75$60.1331.2%8.9%30.7%8.6%30.5%2.9%4.0%711.2K-22.3M-225.2K2.5712.435113113,9639,613