APD Options History — May 2010

In May 2010, APD traded between $61.03 and $71.24. ATM implied volatility averaged 31.6%, placing in the 58.4% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 5.9% (HV 20d: 25.7%). Max pain ranged from $64.75 to $69.38. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.32.

Notable Days

  • 2010-05-07: Highest Volume — 5,952 contracts
  • 2010-05-20: Largest IV spike — 27.6% change
  • 2010-05-20: Highest IV Rank — 100.0%
  • 2010-05-20: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.29$61.03$71.24$71.24$63.89
Max Pain$67.30$64.75$69.38$69.38$64.75
ATM IV31.6%23.9%42.6%23.9%28.8%
Expected Move9.1%6.9%12.2%6.9%8.3%
HV 20d25.7%17.1%33.8%17.1%33.8%
HV 60d19.6%16.1%23.3%21.0%23.3%
IV Rank58.4%25.2%100.0%25.2%43.8%
IV Percentile72.8%27.0%100.0%27.0%67.1%
Term Structure-0.3%-5.1%5.1%1.1%1.3%
VWIV31.7%24.1%39.3%24.1%30.1%
Skew 25d6.7%4.2%11.1%4.2%4.4%
Skew 10d14.1%7.4%22.3%12.9%7.4%
Call IV 25d29.2%21.3%38.0%21.3%28.2%
Put IV 25d36.0%25.5%48.6%25.5%32.6%
Bid-Ask Spread %18.1010.7639.5224.5111.96
Gamma HHI0.390.290.520.520.29
Net GEX1.2M721.9K2.2M2.2M1.6M
Net DEX-7.6M-58.7M22.6M-58.7M-12.2M
Net VEX-328.8K-418.1K-258.2K-386.3K-299.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.320.0719.691.151.92
Total Volume1,657.62025,952404202
Total OI42,02138,69645,88940,21141,632

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$71.24$69.3823.9%6.9%17.1%25.2%24.1%4.2%1.1%2.2M-58.7M-386.3K1.1524.5118821624,70615,505
2010-05-04$69.17$69.3825.0%7.2%20.3%29.8%25.8%4.3%1.4%1.6M-35.7M-382.4K9.2220.4210192624,75115,442
2010-05-05$68.58$69.3825.9%7.4%20.4%33.9%26.3%4.3%1.0%1.5M-28.8M-371.2K19.6921.571042,04324,80715,218
2010-05-06$66.86$69.3831.1%8.9%22.3%55.9%31.8%4.4%5.1%1.2M-15.9M-367.1K1.6239.527961,29024,84014,939
2010-05-07$65.66$69.3838.0%10.6%22.0%85.7%35.0%6.5%-1.9%915.3K-4.5M-375.9K0.4414.244,1311,82125,07515,765
2010-05-10$67.15$69.3831.6%8.8%23.7%58.3%32.1%6.4%-0.9%1.3M-20.7M-418.1K1.0315.1668370028,52817,361
2010-05-11$66.30$69.3833.2%9.3%24.0%65.1%30.0%6.0%-1.1%1.0M-4.8M-342.9K0.4314.8047620625,46615,886
2010-05-12$67.13$69.3825.0%7.8%23.9%30.0%29.3%5.3%0.6%1.3M-12.0M-346.0K0.4114.391,36055125,72515,877
2010-05-13$66.11$69.3829.9%8.6%23.9%50.9%26.9%6.4%-0.4%1.2M-2.3M-328.4K0.1810.8062311526,11715,976
2010-05-14$64.36$69.3831.4%9.0%25.2%63.3%34.6%6.9%-1.6%822.3K11.7M-310.5K0.8711.5224421326,69715,977
2010-05-17$65.29$69.3831.7%9.1%26.1%65.0%37.3%7.4%-1.3%908.1K5.6M-308.5K0.2615.043,41187126,94816,063
2010-05-18$64.80$64.7532.5%9.3%25.8%68.5%31.9%7.8%-1.3%1.3M-4.3M-327.1K0.3910.7653520628,88616,223
2010-05-19$64.19$64.7533.4%9.6%25.7%72.8%33.2%7.9%-1.5%1.0M2.4M-312.1K0.4014.622058228,79416,359
2010-05-20$61.06$64.7542.6%12.2%29.7%100.0%39.2%10.7%-5.1%721.9K17.6M-302.4K3.9720.204581,82128,82515,887
2010-05-21$61.92$64.7540.1%11.5%28.4%90.1%39.3%11.1%-3.6%971.4K22.6M-282.9K2.1120.615861,23828,86816,792
2010-05-24$61.03$64.7535.4%10.1%28.4%70.8%33.9%10.0%0.8%1.1M9.8M-258.2K0.4921.371,38567325,93912,757
2010-05-25$62.30$64.7535.0%10.0%29.9%69.3%34.6%10.2%0.5%1.3M3.9M-274.9K0.0722.451,92613627,22413,183
2010-05-26$63.44$64.7530.1%8.6%30.8%49.1%31.5%4.4%-0.5%1.4M-6.2M-285.6K1.2917.3469890427,14813,174
2010-05-27$65.38$64.7528.1%8.1%33.4%41.2%27.3%6.1%0.5%1.5M-18.6M-296.7K0.3820.6674428427,31013,750
2010-05-28$63.89$64.7528.8%8.3%33.8%43.8%30.1%4.4%1.3%1.6M-12.2M-299.6K1.9211.966913328,02513,607