APD Options History — April 2010

In April 2010, APD traded between $68.33 and $73.28. ATM implied volatility averaged 20.4%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 7.4% (HV 20d: 13.0%). Max pain ranged from $64.75 to $69.38. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.20.

Notable Days

  • 2010-04-06: Highest Volume — 5,028 contracts
  • 2010-04-27: Largest IV spike — 17.8% change
  • 2010-04-30: Highest IV Rank — 20.7%
  • 2010-04-12: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.49$68.33$73.28$68.33$71.03
Max Pain$68.28$64.75$69.38$69.38$69.38
ATM IV20.4%18.0%22.9%19.1%22.9%
Expected Move6.2%5.2%6.7%5.5%6.6%
HV 20d13.0%10.1%17.1%12.9%17.1%
HV 60d22.7%21.8%23.5%23.5%22.2%
IV Rank6.8%0.0%20.7%0.0%20.7%
IV Percentile5.2%0.0%18.7%0.0%18.7%
Term Structure1.0%-0.2%3.5%3.5%1.3%
VWIV22.6%19.3%25.3%23.0%25.3%
Skew 25d3.8%2.0%6.6%6.6%3.3%
Skew 10d10.4%4.9%14.5%9.8%10.8%
Call IV 25d20.1%13.0%22.4%17.0%21.1%
Put IV 25d23.9%19.6%26.1%23.6%24.4%
Bid-Ask Spread %19.248.8435.628.8424.50
Gamma HHI0.460.300.620.300.52
Net GEX3.0M2.1M4.3M2.1M2.2M
Net DEX-64.6M-87.9M-38.4M-38.4M-58.1M
Net VEX-348.5K-406.1K-259.7K-266.3K-398.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.200.0112.320.026.34
Total Volume2,063.2862485,028268373
Total OI35,113.28627,52340,91027,52340,202

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$68.33$69.3819.1%5.5%12.9%0.0%23.0%6.6%3.5%2.1M-38.4M-266.3K0.028.84264418,5119,012
2010-04-05$68.61$69.3820.3%6.6%10.4%4.3%25.1%4.2%0.2%2.2M-41.6M-259.7K1.7610.2314926318,6439,012
2010-04-06$69.04$69.3819.9%6.6%10.1%2.9%22.4%3.6%0.1%2.3M-44.8M-260.9K0.0211.254,9438518,6989,060
2010-04-07$68.51$69.3819.5%6.6%10.5%1.3%22.5%3.4%0.2%2.5M-44.6M-283.3K0.0611.162,27314120,1769,077
2010-04-08$68.55$69.3819.3%6.5%10.4%0.9%24.5%3.4%1.5%2.5M-44.7M-281.0K0.0111.203,7584320,1769,077
2010-04-09$69.71$64.7518.9%6.6%12.0%0.0%23.2%4.2%0.8%3.8M-68.2M-341.8K0.4325.0441317724,7759,204
2010-04-12$69.69$64.7520.2%6.7%12.0%5.1%23.3%3.7%0.5%3.9M-67.8M-327.7K1.1920.1914317024,4859,246
2010-04-13$69.33$64.7519.5%6.5%12.0%2.3%23.6%3.4%0.6%4.3M-68.9M-360.0K12.3219.711091,34526,6329,266
2010-04-14$70.31$64.7519.5%6.6%12.4%2.5%22.6%4.2%-0.0%4.3M-77.7M-376.3K0.1222.686508126,68410,477
2010-04-15$71.00$64.7522.2%6.4%12.7%12.7%22.2%3.5%0.8%3.8M-87.9M-371.9K0.6622.152,0251,33726,86410,521
2010-04-16$70.33$69.3822.7%6.5%13.2%14.3%23.1%3.2%0.4%3.4M-74.9M-357.7K2.6823.944061,08725,69311,612
2010-04-19$70.17$69.3821.9%6.3%13.1%11.8%21.9%3.9%0.0%2.6M-56.0M-346.0K0.7113.1296968923,3739,636
2010-04-20$70.73$69.3821.8%6.3%13.2%11.5%23.8%3.5%0.2%2.8M-64.0M-357.1K0.6012.322,2181,34023,9789,837
2010-04-21$70.93$69.3822.0%6.3%13.0%12.5%23.8%3.4%-0.2%3.2M-68.2M-383.0K10.3312.392832,92525,42810,816
2010-04-22$71.53$69.3819.4%5.6%12.6%2.4%19.3%3.3%1.7%3.0M-68.5M-374.7K2.8717.919662,77823,89413,145
2010-04-23$73.28$69.3818.0%5.2%13.5%0.0%19.3%6.6%2.4%3.2M-86.8M-383.0K2.7525.548182,25024,29814,361
2010-04-26$73.08$69.3818.8%5.4%13.5%3.2%20.3%2.8%2.2%2.9M-87.4M-391.6K0.5018.732,3651,18524,67515,526
2010-04-27$71.62$69.3822.1%6.3%15.8%17.6%21.5%2.6%1.8%2.2M-66.0M-406.1K1.0835.621,6611,79824,61516,295
2010-04-28$72.21$69.3820.2%5.8%15.9%9.1%22.0%4.6%1.8%2.4M-70.4M-398.0K0.4825.6540419324,66415,631
2010-04-29$72.18$69.3819.7%5.6%15.8%7.0%21.5%2.0%2.0%2.6M-71.2M-394.2K1.3631.8610514324,72615,378
2010-04-30$71.03$69.3822.9%6.6%17.1%20.7%25.3%3.3%1.3%2.2M-58.1M-398.9K6.3424.505132224,69815,504