APD Options History — September 2009

In September 2009, APD traded between $68.01 and $74.19. ATM implied volatility averaged 27.1%, placing in the 2.9% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 6.8% (HV 20d: 20.3%). Max pain ranged from $60.13 to $69.38. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2009-09-16: Highest Volume — 4,933 contracts
  • 2009-09-24: Largest IV spike — 12.4% change
  • 2009-09-24: Highest IV Rank — 5.7%
  • 2009-09-24: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.00$68.01$74.19$68.46$71.77
Max Pain$68.06$60.13$69.38$60.13$69.38
ATM IV27.1%24.9%29.2%27.2%27.5%
Expected Move7.9%7.2%8.4%7.8%7.9%
HV 20d20.3%18.7%22.7%19.0%22.0%
HV 60d25.1%22.3%27.0%27.0%22.3%
IV Rank2.9%0.0%5.7%2.5%3.4%
IV Percentile6.4%0.0%16.7%4.0%10.7%
Term Structure2.6%1.2%3.5%2.3%2.2%
VWIV28.4%26.1%30.1%29.2%29.5%
Skew 25d4.6%2.9%6.7%4.1%3.8%
Skew 10d9.6%3.4%16.8%9.9%8.4%
Call IV 25d25.7%24.1%27.4%26.2%27.4%
Put IV 25d30.4%29.3%31.5%30.4%31.2%
Bid-Ask Spread %20.9812.4329.1513.1229.15
Gamma HHI0.430.260.920.390.28
Net GEX2.2M781.7K13.5M1.6M914.5K
Net DEX-56.0M-103.6M-21.8M-54.5M-21.8M
Net VEX-166.7K-180.4K-145.6K-164.9K-167.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.034.561.150.47
Total Volume1,3321624,9331,406493
Total OI26,887.14319,98233,52127,95020,097

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$68.46$60.1327.2%7.8%19.0%2.5%29.2%4.1%2.3%1.6M-54.5M-164.9K1.1513.1265375316,35611,594
2009-09-02$68.01$60.1327.4%7.9%19.1%2.9%28.8%5.0%1.2%1.5M-51.7M-179.0K1.0314.8843144516,82412,081
2009-09-03$68.77$60.1325.1%7.2%19.5%0.0%30.1%5.8%2.9%1.7M-56.0M-180.4K4.5616.472913317,02312,230
2009-09-04$69.51$69.3824.9%7.9%19.7%0.0%27.7%5.9%2.6%1.8M-60.9M-175.4K1.2022.6835542617,03512,299
2009-09-08$69.82$69.3826.7%8.3%19.6%2.4%29.6%5.5%2.1%1.9M-64.1M-171.0K1.1719.2214817317,29112,607
2009-09-09$69.90$69.3827.3%8.1%19.5%3.2%29.1%6.0%2.6%1.8M-63.9M-167.3K0.4125.6141817317,05712,626
2009-09-10$68.66$69.3827.1%7.8%19.5%3.0%28.0%5.4%2.9%1.7M-54.5M-164.6K0.1812.431,53727217,18812,688
2009-09-11$68.31$69.3826.9%7.7%19.3%2.7%26.9%4.3%3.5%2.3M-53.8M-166.0K0.4815.5353625818,02412,820
2009-09-14$69.44$69.3827.4%7.9%18.7%3.4%28.0%6.7%3.4%2.8M-62.9M-161.1K0.4919.3096447318,03312,863
2009-09-15$71.30$69.3828.0%8.0%19.6%4.2%26.1%5.8%2.8%2.4M-73.7M-153.7K0.2025.3990617817,37112,954
2009-09-16$73.27$69.3826.4%7.6%21.3%2.0%26.5%4.1%2.4%2.2M-87.1M-145.6K0.1426.024,32960417,58712,918
2009-09-17$73.57$69.3827.4%7.9%21.2%3.4%28.1%4.2%1.9%4.2M-94.9M-157.7K0.4725.4192443319,88213,241
2009-09-18$74.19$69.3826.8%7.7%21.2%2.5%27.7%4.2%2.2%13.5M-103.6M-164.4K0.0618.031,99312220,09113,430
2009-09-21$73.53$69.3827.4%7.9%19.4%3.4%29.6%4.7%2.8%933.0K-45.8M-153.3K0.7616.971,00275712,0177,965
2009-09-22$73.37$69.3827.1%7.8%19.2%3.0%28.6%3.6%3.4%984.3K-44.7M-170.4K0.6218.4152932812,7348,540
2009-09-23$71.75$69.3826.0%7.4%20.9%1.5%28.2%3.5%3.4%898.5K-39.9M-174.4K0.4628.9553324613,1168,704
2009-09-24$71.52$69.3829.2%8.4%20.9%5.7%29.5%4.8%3.2%837.6K-38.8M-170.1K0.5924.8244125913,3178,802
2009-09-25$70.95$69.3828.9%8.3%21.2%5.3%27.8%3.9%3.0%781.7K-36.7M-168.2K1.7621.4617430713,5898,872
2009-09-28$72.67$69.3827.9%8.0%22.7%4.0%28.6%3.6%1.8%1.0M-42.7M-176.7K0.0322.714,31813613,6229,083
2009-09-29$72.26$69.3827.3%7.8%22.5%3.2%28.0%2.9%2.9%950.1K-23.3M-169.7K0.9724.0939738610,9289,131
2009-09-30$71.77$69.3827.5%7.9%22.0%3.4%29.5%3.8%2.2%914.5K-21.8M-167.7K0.4729.1533615710,9719,126