APD Options History — November 2009

In November 2009, APD traded between $71.83 and $78.36. ATM implied volatility averaged 27.4%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 1.8% (HV 20d: 29.2%). Max pain ranged from $69.38 to $74.01. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.17.

Notable Days

2009-11-23: Highest Volume — 936 contracts
2009-11-27: Largest IV spike — 24.5% change
2009-11-03: Highest IV Rank — 11.7%
2009-11-03: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$75.80	$71.83	$78.36	$72.43	$76.72
Max Pain	$70.31	$69.38	$74.01	$74.01	$69.38
ATM IV	27.4%	22.3%	31.0%	30.7%	25.7%
Expected Move	7.9%	6.4%	8.9%	8.8%	7.4%
HV 20d	29.2%	18.6%	31.4%	30.6%	18.6%
HV 60d	24.6%	24.1%	25.0%	24.7%	24.5%
IV Rank	6.8%	0.0%	11.7%	11.2%	5.9%
IV Percentile	14.0%	0.0%	27.8%	26.6%	4.4%
Term Structure	0.7%	-0.5%	3.1%	-0.2%	0.9%
VWIV	28.4%	23.2%	32.9%	32.5%	29.4%
Skew 25d	4.7%	3.5%	5.5%	5.5%	3.5%
Skew 10d	9.7%	6.8%	14.1%	12.9%	7.9%
Call IV 25d	26.0%	21.5%	30.3%	29.7%	25.8%
Put IV 25d	30.6%	25.7%	35.2%	35.2%	29.3%
Bid-Ask Spread %	15.57	9.63	35.38	13.35	16.08
Gamma HHI	0.26	0.18	0.35	0.21	0.27
Net GEX	1.3M	595.3K	2.0M	755.3K	1.3M
Net DEX	-33.8M	-50.5M	-13.4M	-16.7M	-37.4M
Net VEX	-167.6K	-190.7K	-140.8K	-188.0K	-140.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.18	4.24	4.24	0.54
Total Volume	397.35	158	936	607	366
Total OI	25,255.75	22,625	26,466	25,103	23,278

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2009-11-02	$72.43	$74.01	30.7%	8.8%	30.6%	11.2%	32.5%	5.5%	-0.2%	755.3K	-16.7M	-188.0K	4.24	13.35	116	491	13,751	11,352
2009-11-03	$72.70	$74.01	31.0%	8.9%	29.8%	11.7%	31.4%	4.3%	0.0%	714.7K	-17.2M	-190.7K	0.90	17.90	325	294	13,788	11,618
2009-11-04	$71.83	$74.01	30.0%	8.6%	30.0%	10.2%	32.9%	4.2%	-0.1%	595.3K	-13.4M	-185.1K	1.42	14.60	141	199	13,712	11,731
2009-11-05	$73.55	$74.01	29.4%	8.4%	30.8%	9.4%	30.8%	4.8%	0.0%	801.2K	-20.9M	-186.8K	0.85	17.34	126	107	13,748	11,773
2009-11-06	$74.14	$69.38	28.3%	8.6%	30.6%	7.9%	28.6%	5.3%	-0.5%	915.2K	-24.5M	-185.2K	1.55	13.06	168	261	13,821	11,760
2009-11-09	$75.88	$69.38	30.0%	8.5%	31.4%	10.2%	28.4%	5.4%	0.0%	1.2M	-34.0M	-182.0K	0.44	16.52	310	135	13,863	11,939
2009-11-10	$76.06	$69.38	29.6%	8.3%	31.1%	9.7%	29.7%	4.4%	0.6%	1.3M	-35.4M	-179.8K	0.73	17.08	116	84	14,083	11,953
2009-11-11	$76.60	$69.38	25.1%	7.6%	30.7%	3.4%	26.8%	5.0%	0.5%	1.4M	-38.8M	-177.9K	0.18	17.52	341	61	14,131	11,999
2009-11-12	$76.35	$69.38	26.8%	7.7%	30.6%	5.8%	28.8%	4.7%	0.9%	1.4M	-37.9M	-176.4K	0.70	15.95	146	102	14,165	12,042
2009-11-13	$77.13	$69.38	26.1%	7.5%	30.6%	4.8%	28.2%	4.8%	0.8%	1.6M	-42.5M	-172.8K	0.20	13.95	290	58	14,184	12,107
2009-11-16	$78.36	$69.38	26.9%	7.7%	30.9%	6.0%	27.2%	4.8%	0.3%	2.0M	-50.5M	-164.6K	0.52	12.84	187	97	14,314	12,129
2009-11-17	$78.17	$69.38	26.5%	7.6%	30.8%	5.3%	26.1%	5.4%	0.9%	2.0M	-49.1M	-161.7K	0.59	14.69	238	139	14,288	12,133
2009-11-18	$77.53	$69.38	26.4%	7.6%	30.4%	5.2%	28.4%	4.3%	0.5%	1.9M	-44.6M	-159.8K	1.41	14.33	195	273	14,249	12,082
2009-11-19	$76.08	$69.38	28.8%	8.3%	30.8%	8.6%	31.7%	5.2%	0.7%	1.2M	-34.2M	-159.2K	3.23	9.63	129	415	14,217	12,249
2009-11-20	$76.17	$69.38	27.9%	8.0%	29.3%	7.2%	27.3%	4.7%	1.5%	1.0M	-34.5M	-155.9K	0.88	12.52	201	176	14,076	12,337
2009-11-23	$76.76	$69.38	25.2%	7.2%	29.1%	4.5%	26.7%	3.5%	1.0%	1.1M	-36.4M	-149.2K	0.75	13.23	536	400	12,064	10,561
2009-11-24	$76.40	$69.38	22.7%	6.5%	29.1%	0.2%	23.2%	4.5%	2.0%	1.2M	-35.3M	-146.3K	0.29	14.19	311	90	12,427	10,691
2009-11-25	$77.10	$69.38	22.3%	6.4%	25.0%	0.0%	23.9%	4.2%	3.1%	1.3M	-39.1M	-143.8K	2.11	11.33	51	107	12,526	10,693
2009-11-27	$75.96	$69.38	27.7%	7.9%	23.5%	9.5%	26.8%	4.6%	1.9%	1.2M	-34.2M	-146.8K	1.94	35.38	56	109	12,554	10,727
2009-11-30	$76.72	$69.38	25.7%	7.4%	18.6%	5.9%	29.4%	3.5%	0.9%	1.3M	-37.4M	-140.8K	0.54	16.08	238	128	12,563	10,715