APD Options History — October 2009

In October 2009, APD traded between $69.75 and $77.66. ATM implied volatility averaged 28.4%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 4.8% (HV 20d: 23.7%). Max pain ranged from $69.38 to $74.01. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.12.

Notable Days

  • 2009-10-20: Highest Volume — 2,901 contracts
  • 2009-10-30: Largest IV spike — 19.6% change
  • 2009-10-30: Highest IV Rank — 13.8%
  • 2009-10-05: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.24$69.75$77.66$69.75$71.35
Max Pain$71.90$69.38$74.01$69.38$74.01
ATM IV28.4%22.6%32.8%31.2%32.6%
Expected Move8.3%6.5%9.7%8.9%9.3%
HV 20d23.7%21.0%30.2%24.4%30.2%
HV 60d21.8%20.7%24.6%22.9%24.6%
IV Rank5.8%0.0%13.8%8.4%13.8%
IV Percentile13.9%0.0%31.3%21.4%31.3%
Term Structure-0.2%-1.8%2.6%1.8%-0.3%
VWIV29.0%23.7%33.7%31.1%31.5%
Skew 25d4.4%2.8%7.0%2.8%3.4%
Skew 10d9.1%-0.8%16.6%-0.8%3.8%
Call IV 25d27.4%22.2%30.6%30.6%30.1%
Put IV 25d31.9%25.4%36.4%33.4%33.4%
Bid-Ask Spread %19.2912.4128.4123.5616.28
Gamma HHI0.270.210.420.240.21
Net GEX1.2M603.0K2.5M626.7K675.7K
Net DEX-30.0M-53.3M-12.9M-13.9M-12.9M
Net VEX-173.5K-187.8K-160.5K-171.1K-183.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.034.800.901.75
Total Volume1,144.9092922,9014091,016
Total OI22,877.68220,29526,00820,67524,753

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$69.75$69.3831.2%8.9%24.4%8.4%31.1%2.8%1.8%626.7K-13.9M-171.1K0.9023.5621619311,2679,408
2009-10-02$69.87$69.3831.1%8.9%24.1%8.2%30.8%7.0%2.6%603.0K-13.5M-165.7K1.4428.4138855811,0129,283
2009-10-05$70.43$69.3832.8%9.7%24.0%10.5%33.7%5.9%-1.4%610.6K-14.5M-165.4K4.8016.9819995611,1299,450
2009-10-06$71.87$69.3831.3%8.9%25.0%8.5%31.2%5.6%-1.1%702.3K-20.2M-167.4K0.4716.3440018911,1639,906
2009-10-07$72.29$69.3830.4%8.9%25.0%7.3%31.2%4.9%-1.2%855.8K-22.7M-166.7K0.1317.161,38817911,3759,944
2009-10-08$73.27$69.3828.1%8.9%24.2%4.3%30.6%4.7%-1.1%1.4M-30.2M-172.1K0.1620.1383113112,10910,037
2009-10-09$74.23$69.3826.1%8.8%24.2%1.6%32.3%4.1%-1.2%1.4M-33.5M-167.3K2.8626.117621611,69410,099
2009-10-12$75.15$69.3830.5%8.9%24.0%7.5%30.7%5.4%-0.8%1.5M-37.8M-161.8K1.8019.9147184611,63510,200
2009-10-13$76.15$69.3831.8%8.9%22.8%9.3%29.9%5.0%-1.8%1.4M-42.3M-160.5K0.2915.101,16333411,79610,758
2009-10-14$77.32$69.3826.3%8.3%21.5%1.9%30.2%5.0%-1.3%1.9M-49.4M-165.0K0.1617.531,89029812,59910,858
2009-10-15$77.66$74.0129.0%8.3%21.5%5.6%28.9%5.0%-1.4%2.5M-53.3M-179.5K1.7117.1844976514,13111,078
2009-10-16$76.76$74.0128.8%8.3%22.0%5.7%30.4%4.1%-1.6%1.3M-45.1M-184.3K0.2119.273056514,20211,806
2009-10-19$77.51$74.0127.7%8.0%21.8%4.1%28.4%4.2%-0.8%1.3M-41.2M-176.7K1.9420.187791,51112,3859,661
2009-10-20$77.00$74.0125.7%7.4%21.9%1.1%27.1%4.3%-0.3%1.4M-39.9M-177.9K0.6020.181,8161,08512,6789,858
2009-10-21$75.83$74.0125.3%7.3%21.0%0.7%24.3%3.3%0.7%1.4M-33.6M-178.5K0.8216.4695378613,21410,331
2009-10-22$76.98$74.0122.6%6.5%21.3%0.0%23.7%3.2%1.8%1.4M-38.2M-179.0K1.8222.8319735913,05710,583
2009-10-23$75.06$74.0124.9%7.1%23.4%3.1%23.7%4.1%1.5%1.1M-27.8M-177.2K0.1321.467379713,03710,699
2009-10-26$74.21$74.0126.1%7.5%22.5%4.9%25.9%3.1%0.4%857.0K-24.0M-168.2K0.5321.1092049212,66410,743
2009-10-27$74.67$74.0127.4%7.8%22.4%6.6%25.2%3.8%-0.5%1.0M-27.9M-183.7K0.0320.474611513,20910,759
2009-10-28$71.79$74.0128.3%8.1%26.6%7.9%29.4%3.2%-0.8%718.7K-14.9M-178.2K1.3712.4141456813,46610,761
2009-10-29$74.08$74.0127.3%7.8%26.6%6.4%26.7%5.3%1.5%983.1K-24.1M-187.8K0.7015.2328019613,51610,996
2009-10-30$71.35$74.0132.6%9.3%30.2%13.8%31.5%3.4%-0.3%675.7K-12.9M-183.6K1.7516.2837064613,62511,128