APD Options History — March 2010

In March 2010, APD traded between $63.98 and $69.88. ATM implied volatility averaged 21.8%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.4% (HV 20d: 18.4%). Max pain ranged from $64.75 to $69.38. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.64.

Notable Days

  • 2010-03-29: Highest Volume — 7,650 contracts
  • 2010-03-08: Largest IV spike — 8.0% change
  • 2010-03-15: Highest IV Rank — 8.5%
  • 2010-03-03: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.26$63.98$69.88$63.98$68.41
Max Pain$65.16$64.75$69.38$64.75$69.38
ATM IV21.8%19.4%23.9%23.2%19.4%
Expected Move6.3%5.6%6.9%6.7%5.6%
HV 20d18.4%13.1%32.1%30.5%13.1%
HV 60d24.4%23.5%25.1%24.2%23.5%
IV Rank3.8%0.0%8.5%6.0%0.0%
IV Percentile3.5%0.0%10.3%6.7%0.0%
Term Structure2.5%0.9%3.9%1.4%3.0%
VWIV23.7%19.5%28.2%25.4%19.5%
Skew 25d3.8%1.8%6.4%4.7%5.3%
Skew 10d8.9%3.3%14.5%9.1%7.8%
Call IV 25d21.0%16.8%23.2%23.0%17.1%
Put IV 25d24.9%22.4%27.7%27.7%22.4%
Bid-Ask Spread %17.248.7124.3315.339.29
Gamma HHI0.280.230.350.310.29
Net GEX2.1M1.5M2.9M1.5M2.0M
Net DEX-48.1M-70.4M-11.0M-11.0M-39.3M
Net VEX-270.1K-285.1K-234.5K-234.5K-268.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.051.600.320.14
Total Volume1,463.5651567,6502,116319
Total OI33,900.52224,66340,64433,95527,318

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$63.98$64.7523.2%6.7%30.5%6.0%25.4%4.7%1.4%1.5M-11.0M-234.5K0.3215.331,60551122,87611,079
2010-03-02$65.37$64.7523.3%6.7%31.5%6.3%24.5%1.8%1.4%1.9M-24.8M-257.6K0.3210.901,48546923,86411,474
2010-03-03$65.98$64.7523.9%6.9%31.8%7.9%23.4%3.2%0.9%1.9M-31.0M-266.7K1.128.7139344224,35011,620
2010-03-04$66.50$64.7523.0%6.6%32.1%5.6%22.2%2.3%2.3%2.0M-36.3M-263.3K0.6610.2040326824,40111,494
2010-03-05$67.99$64.7521.5%6.6%31.1%1.9%25.5%4.4%1.7%1.9M-49.5M-266.1K0.1619.811,76127624,37411,713
2010-03-08$68.64$64.7523.2%6.8%16.5%6.1%28.2%3.6%1.6%2.3M-59.2M-269.1K0.9420.5299794225,24511,686
2010-03-09$68.67$64.7522.1%6.7%16.2%3.6%26.0%3.5%1.8%2.4M-60.1M-271.9K1.1819.4737444125,76911,505
2010-03-10$68.83$64.7523.0%6.8%15.8%6.6%27.1%4.5%2.0%2.4M-62.0M-270.7K0.1519.411,75926625,87411,715
2010-03-11$69.07$64.7523.4%6.7%15.8%8.4%24.7%4.2%1.9%2.5M-65.3M-268.5K0.4316.8447920426,18511,799
2010-03-12$68.97$64.7522.9%6.6%15.9%7.3%24.3%3.2%2.5%2.5M-66.3M-272.4K0.9918.631,0411,03126,49311,805
2010-03-15$68.57$64.7523.0%6.6%16.3%8.5%24.0%3.7%2.7%2.6M-60.6M-285.1K0.6414.6039225227,32212,602
2010-03-16$69.27$64.7522.6%6.5%14.1%6.9%26.1%4.6%2.4%2.4M-70.4M-283.0K1.2413.3725431527,50212,694
2010-03-17$68.96$64.7521.6%6.2%14.2%3.5%22.8%4.2%2.9%2.5M-66.4M-274.9K0.9915.5258858527,56212,535
2010-03-18$69.16$64.7521.5%6.2%14.0%3.0%22.5%3.7%2.8%2.9M-69.1M-280.3K0.1118.673604127,72412,861
2010-03-19$68.86$64.7521.1%6.1%14.0%1.7%24.8%2.9%3.3%2.7M-56.4M-270.0K1.6017.719961,58927,77412,870
2010-03-22$69.39$64.7520.9%6.0%14.1%0.7%20.9%2.7%2.8%1.8M-43.3M-265.8K1.1816.278621,01516,6258,038
2010-03-23$69.88$64.7521.0%6.0%14.1%1.3%21.0%4.5%2.7%1.7M-44.5M-275.1K0.4922.9377438217,2088,749
2010-03-24$69.20$64.7520.8%5.9%14.7%0.3%20.8%3.1%3.0%1.9M-42.0M-278.3K0.2322.7157713417,8159,025
2010-03-25$68.18$64.7520.6%5.9%15.1%0.0%20.4%2.9%3.1%1.7M-35.6M-278.6K0.6924.33966618,0459,113
2010-03-26$68.75$64.7519.9%5.7%14.8%0.0%21.6%5.9%3.9%1.9M-38.3M-274.8K0.4219.091104618,0308,950
2010-03-29$68.73$64.7520.1%5.8%14.7%1.0%27.3%3.2%3.1%1.9M-37.4M-266.8K0.0523.887,28236818,0948,953
2010-03-30$68.54$69.3819.6%5.6%13.3%0.0%21.9%6.4%3.5%1.9M-38.5M-270.4K0.7618.4363347918,0178,965
2010-03-31$68.41$69.3819.4%5.6%13.1%0.0%19.5%5.3%3.0%2.0M-39.3M-268.1K0.149.292803918,3408,978