APD Options History — July 2009

In July 2009, APD traded between $56.16 and $69.01. ATM implied volatility averaged 31.8%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 0.1% (HV 20d: 31.7%). Max pain ranged from $60.13 to $60.13. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.85.

Notable Days

  • 2009-07-23: Highest Volume — 2,843 contracts
  • 2009-07-22: Largest IV drop — 19.3% change
  • 2009-07-08: Highest IV Rank — 18.7%
  • 2009-07-08: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.89$56.16$69.01$59.80$69.01
Max Pain$60.13$60.13$60.13$60.13$60.13
ATM IV31.8%25.3%38.9%30.3%28.0%
Expected Move9.3%7.2%11.7%8.7%8.0%
HV 20d31.7%27.3%34.7%29.5%27.3%
HV 60d35.7%34.5%36.9%36.7%34.8%
IV Rank9.4%0.8%18.7%7.4%4.4%
IV Percentile15.9%0.8%41.7%7.5%6.0%
Term Structure-0.3%-2.5%5.1%5.1%-0.2%
VWIV32.6%26.0%40.7%30.2%29.8%
Skew 25d5.2%2.6%8.6%2.6%5.0%
Skew 10d8.9%-5.6%20.7%0.1%9.5%
Call IV 25d30.2%24.0%36.5%30.1%26.4%
Put IV 25d35.4%28.8%41.0%32.7%31.4%
Bid-Ask Spread %21.7012.4765.4915.5622.02
Gamma HHI0.310.210.410.250.39
Net GEX1.1M294.4K1.8M706.1K1.7M
Net DEX-38.3M-70.8M-7.8M-22.0M-70.3M
Net VEX-211.3K-223.6K-190.2K-223.5K-193.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.053.290.590.52
Total Volume9082552,843401663
Total OI25,90423,54128,66323,74028,407

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$59.80$60.1330.3%8.7%29.5%7.4%30.2%2.6%5.1%706.1K-22.0M-223.5K0.5915.5625314814,0029,738
2009-07-02$57.70$60.1333.5%9.6%30.0%11.7%32.0%2.7%4.9%543.4K-15.2M-219.0K3.2965.495919614,1759,768
2009-07-06$58.16$60.1332.6%10.4%30.3%10.5%35.3%4.9%-1.1%535.0K-14.7M-213.4K1.1112.471,0541,16714,1749,820
2009-07-07$56.16$60.1337.3%11.3%32.1%16.7%38.6%2.9%-2.0%294.4K-7.8M-209.7K1.9321.2926350714,45910,065
2009-07-08$57.50$60.1338.9%11.7%33.1%18.7%40.7%5.4%-2.0%395.1K-12.3M-217.4K1.4618.5643563614,36610,348
2009-07-09$58.37$60.1334.0%10.7%33.8%12.4%38.4%4.6%-2.0%537.5K-16.3M-223.6K1.7215.7816027614,64110,706
2009-07-10$58.57$60.1331.8%10.4%33.3%9.4%37.4%5.1%-1.6%568.0K-16.6M-223.6K0.2316.812956814,72210,921
2009-07-13$60.00$60.1335.9%10.3%34.7%14.8%32.7%7.9%-1.1%872.0K-23.1M-223.1K0.0517.185322614,85310,905
2009-07-14$60.18$60.1335.7%10.5%32.7%14.6%35.2%5.7%-2.0%1.1M-25.4M-221.3K0.3315.702498315,30710,926
2009-07-15$62.28$60.1336.7%10.6%34.4%15.8%36.5%8.6%-2.0%1.2M-36.5M-220.7K0.3613.6036113015,38410,940
2009-07-16$63.37$60.1332.9%9.4%34.7%10.9%34.8%7.1%-1.1%1.4M-42.1M-214.4K0.5823.1327215915,43210,984
2009-07-17$62.68$60.1332.2%9.2%34.6%9.9%34.6%6.7%-1.5%821.8K-38.0M-211.7K0.4722.822139915,27610,941
2009-07-20$63.43$60.1332.1%9.2%34.5%9.8%32.6%6.6%-1.5%843.9K-36.7M-204.8K1.9312.9330258213,7919,750
2009-07-21$64.48$60.1333.1%9.5%29.4%11.1%33.6%4.9%-2.5%871.1K-41.0M-203.9K0.5628.881,74497013,89710,087
2009-07-22$64.64$60.1326.7%7.6%28.9%2.7%27.7%5.8%1.7%1.1M-43.7M-209.2K1.1225.2645550814,74610,646
2009-07-23$66.96$60.1327.9%8.0%30.8%4.2%26.0%4.5%0.5%1.2M-55.7M-201.7K0.0817.272,63720614,90410,899
2009-07-24$67.85$60.1325.3%7.2%30.3%0.8%28.2%4.7%0.7%1.6M-62.4M-203.3K0.6919.2528319716,14310,889
2009-07-27$68.53$60.1327.9%8.0%30.3%4.2%29.1%6.5%-0.5%1.6M-66.8M-190.2K0.4623.101,35061916,21710,911
2009-07-28$67.98$60.1327.5%7.9%30.7%3.8%28.0%4.7%0.3%1.8M-64.7M-212.8K0.8418.8323119517,18611,331
2009-07-29$67.02$60.1330.9%8.9%30.7%8.2%28.7%3.7%-0.3%1.7M-60.1M-209.5K0.3626.072258117,25211,316
2009-07-30$68.88$60.1327.7%7.9%31.5%4.0%27.7%3.8%1.1%1.8M-70.8M-198.9K0.0925.481,0018617,28711,376
2009-07-31$69.01$60.1328.0%8.0%27.3%4.4%29.8%5.0%-0.2%1.7M-70.3M-193.5K0.5222.0243622716,95411,453