APD Options History — August 2009

In August 2009, APD traded between $67.56 and $70.90. ATM implied volatility averaged 27.8%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 5.8% (HV 20d: 22.0%). Max pain ranged from $55.50 to $60.13. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2009-08-27: Highest Volume — 2,330 contracts
  • 2009-08-31: Largest IV spike — 7.3% change
  • 2009-08-17: Highest IV Rank — 6.5%
  • 2009-08-17: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.29$67.56$70.90$69.74$69.41
Max Pain$58.59$55.50$60.13$60.13$60.13
ATM IV27.8%26.3%29.6%28.9%28.2%
Expected Move8.0%7.5%8.5%8.3%8.1%
HV 20d22.0%18.7%27.3%27.3%18.7%
HV 60d30.6%26.9%33.6%33.5%26.9%
IV Rank4.1%2.1%6.5%5.6%3.9%
IV Percentile5.7%1.2%12.7%8.3%9.1%
Term Structure1.9%-0.7%4.2%-0.4%1.2%
VWIV28.7%25.5%32.6%30.5%30.3%
Skew 25d5.3%3.3%7.1%4.2%5.4%
Skew 10d12.2%7.3%20.7%7.9%12.3%
Call IV 25d26.1%23.8%28.8%27.7%25.7%
Put IV 25d31.3%28.2%35.1%31.9%31.1%
Bid-Ask Spread %18.338.2931.2827.2713.54
Gamma HHI0.410.300.620.400.37
Net GEX1.8M1.3M2.6M1.7M1.6M
Net DEX-68.6M-85.4M-59.6M-74.0M-59.6M
Net VEX-174.4K-191.2K-152.2K-187.1K-161.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.077.682.170.85
Total Volume624.6671372,330137380
Total OI28,696.8125,90430,00028,54627,864

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$69.74$60.1328.9%8.3%27.3%5.6%30.5%4.2%-0.4%1.7M-74.0M-187.1K2.1727.27439416,97811,568
2009-08-04$69.04$60.1329.2%8.4%23.1%6.0%31.8%3.3%-0.7%1.7M-70.1M-189.0K1.1328.9120322916,96511,589
2009-08-05$68.75$60.1328.4%8.2%23.1%5.0%32.2%4.3%-0.1%1.7M-68.9M-190.5K0.3830.241224617,08411,709
2009-08-06$68.58$60.1328.0%8.0%23.3%4.4%30.1%4.6%-0.1%1.8M-67.9M-187.7K1.2331.2832640217,08311,742
2009-08-07$69.04$55.5027.4%8.3%23.2%3.5%28.9%5.0%2.0%1.8M-71.0M-191.2K0.1416.671,05914717,29312,035
2009-08-10$68.50$55.5028.0%8.1%23.1%4.4%30.5%5.8%2.6%1.9M-67.5M-189.6K0.6919.31845817,37812,120
2009-08-11$68.46$55.5028.3%8.2%23.2%4.8%31.2%6.0%3.1%1.9M-68.0M-188.5K7.6819.416751517,43212,136
2009-08-12$69.74$55.5027.3%8.2%21.3%3.4%26.8%5.6%2.5%1.9M-75.6M-181.7K0.2118.684409217,47312,386
2009-08-13$70.25$55.5028.8%8.3%20.8%5.5%28.1%5.9%2.6%1.9M-78.2M-172.7K0.5320.66975217,35512,303
2009-08-14$68.74$55.5027.9%8.0%22.2%4.3%28.3%5.1%2.9%2.0M-69.6M-174.2K1.0016.97747417,38412,320
2009-08-17$67.56$55.5029.6%8.5%23.4%6.5%32.6%6.7%2.0%1.8M-60.7M-187.1K1.5919.0414823617,41812,354
2009-08-18$68.32$60.1328.8%8.3%23.1%5.5%28.4%7.1%2.8%2.0M-65.9M-177.4K0.7619.0215611917,45212,548
2009-08-19$68.92$60.1328.1%8.0%23.1%4.5%28.0%5.4%2.9%2.4M-70.3M-166.4K0.2011.333025917,36212,559
2009-08-20$68.87$60.1327.2%7.8%19.8%3.4%26.0%4.7%3.4%2.6M-70.5M-163.7K0.0717.531,3099217,32712,481
2009-08-21$70.90$60.1326.7%7.6%21.8%2.6%26.2%5.2%4.2%1.3M-85.4M-152.2K0.2914.852647717,34512,516
2009-08-24$70.43$60.1327.0%7.7%21.8%3.0%25.9%5.3%1.8%1.5M-65.5M-155.6K0.4515.7852323715,29710,607
2009-08-25$69.91$60.1327.1%7.8%21.8%3.2%30.2%5.7%0.8%1.5M-62.5M-161.9K0.7110.2547133515,56010,793
2009-08-26$69.94$60.1326.4%7.6%21.0%2.3%25.5%5.3%2.2%1.5M-62.4M-159.1K1.1112.2556162515,60110,882
2009-08-27$69.97$60.1326.4%7.6%18.7%2.3%25.9%5.5%2.2%1.5M-62.8M-161.9K0.3013.681,79753315,81011,061
2009-08-28$70.08$60.1326.3%7.5%18.7%2.1%26.3%4.0%1.9%1.7M-64.4M-163.3K1.498.2926940116,18711,276
2009-08-31$69.41$60.1328.2%8.1%18.7%3.9%30.3%5.4%1.2%1.6M-59.6M-161.6K0.8513.5420517516,32011,544