APD Options History — December 2009

In December 2009, APD traded between $74.25 and $77.92. ATM implied volatility averaged 24.9%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 6.8% (HV 20d: 18.0%). Max pain ranged from $64.75 to $74.01. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.58.

Notable Days

  • 2009-12-29: Highest Volume — 21,836 contracts
  • 2009-12-29: Largest IV drop — 12.4% change
  • 2009-12-07: Highest IV Rank — 11.9%
  • 2009-12-07: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.81$74.25$77.92$77.34$74.99
Max Pain$68.33$64.75$74.01$69.38$74.01
ATM IV24.9%20.7%27.5%25.0%22.7%
Expected Move7.2%5.9%8.1%7.2%6.5%
HV 20d18.0%17.0%19.5%18.2%17.3%
HV 60d23.7%22.4%24.9%24.4%22.4%
IV Rank6.4%0.0%11.9%4.7%4.7%
IV Percentile6.0%0.0%20.2%2.0%1.6%
Term Structure1.8%0.5%2.8%1.2%2.1%
VWIV26.2%22.2%36.5%26.8%22.7%
Skew 25d4.3%2.3%5.2%4.0%2.3%
Skew 10d9.9%5.9%13.6%9.7%5.9%
Call IV 25d23.0%20.1%25.9%24.0%21.6%
Put IV 25d27.3%23.9%30.6%28.0%23.9%
Bid-Ask Spread %10.296.9214.4310.378.14
Gamma HHI0.330.270.430.280.33
Net GEX1.2M864.0K1.6M1.4M936.6K
Net DEX-28.9M-43.7M-10.6M-40.9M-10.6M
Net VEX-123.2K-139.3K-112.3K-139.3K-112.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.0019.751.071.75
Total Volume1,433.6368921,836300318
Total OI21,993.81817,59124,84223,34217,657

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$77.34$69.3825.0%7.2%18.2%4.7%26.8%4.0%1.2%1.4M-40.9M-139.3K1.0710.3714515512,60810,734
2009-12-02$77.92$69.3825.0%7.2%18.3%5.2%26.9%4.7%1.4%1.5M-43.7M-136.7K0.0212.70389612,69310,744
2009-12-03$76.31$69.3826.8%7.7%19.5%9.0%25.0%2.6%1.5%1.3M-36.5M-139.1K0.6014.101237412,81110,749
2009-12-04$75.94$64.7526.8%7.9%18.1%9.0%28.5%5.2%0.6%1.3M-34.1M-134.4K0.8112.2428523112,81710,779
2009-12-07$75.77$64.7527.5%8.1%18.0%11.9%28.7%5.1%0.5%1.3M-32.9M-129.7K0.508.961206112,87810,806
2009-12-08$74.50$64.7527.1%8.0%17.1%11.0%27.9%4.6%0.9%1.1M-27.1M-126.0K0.229.193457612,94410,792
2009-12-09$76.09$64.7526.6%7.9%18.8%10.2%27.2%4.9%1.8%1.3M-34.5M-124.1K1.0210.7718719112,93710,833
2009-12-10$75.96$64.7527.0%7.7%18.6%11.2%26.6%5.0%2.0%1.4M-34.4M-121.6K0.5414.021618812,95910,862
2009-12-11$75.62$64.7526.5%7.6%18.6%10.0%29.4%4.7%1.8%1.3M-31.9M-118.4K1.0014.4364664512,84410,860
2009-12-14$76.24$64.7526.9%7.7%18.5%11.0%26.8%4.7%1.3%1.5M-35.3M-125.4K0.2214.073628013,27411,240
2009-12-15$75.79$69.3825.8%7.4%17.5%8.5%25.8%4.5%2.3%1.3M-32.8M-123.9K0.349.1641613913,30811,256
2009-12-16$76.45$69.3823.5%6.7%17.9%2.9%26.8%4.6%2.3%1.6M-36.6M-124.2K0.149.436509213,52711,315
2009-12-17$75.09$69.3824.9%7.1%18.7%6.5%24.0%5.0%2.6%943.3K-28.0M-123.0K0.608.3157334613,27611,335
2009-12-18$75.22$69.3825.0%7.2%17.6%6.7%26.1%5.0%2.4%1.0M-29.1M-122.5K1.2410.9721426613,35811,239
2009-12-21$74.25$69.3823.7%6.8%18.1%3.5%24.8%4.4%2.5%864.0K-18.5M-114.2K0.927.4944140410,5987,540
2009-12-22$74.95$69.3823.2%6.7%18.2%2.3%23.8%4.9%2.1%944.7K-20.9M-117.8K2.329.708820310,8627,817
2009-12-23$75.20$69.3823.1%6.6%18.2%2.1%23.3%4.6%1.7%959.7K-21.2M-115.3K0.8313.0221217510,7767,932
2009-12-24$75.69$69.3822.4%6.4%18.1%0.2%23.4%3.9%2.8%1.0M-23.1M-120.0K19.756.9248510,9528,086
2009-12-28$75.95$69.3823.6%6.8%17.3%3.2%23.6%3.6%2.0%1.1M-24.0M-114.7K0.476.9526612510,9548,150
2009-12-29$76.48$69.3820.7%5.9%17.1%0.0%36.5%3.4%2.7%1.2M-26.7M-115.4K0.007.7021,7647211,0538,118
2009-12-30$76.08$74.0123.1%6.6%17.0%5.7%22.2%3.4%1.9%1.2M-13.7M-113.1K0.357.62235829,4508,141
2009-12-31$74.99$74.0122.7%6.5%17.3%4.7%22.7%2.3%2.1%936.6K-10.6M-112.3K1.758.141162029,5808,077