APD Options History — June 2010

In June 2010, APD traded between $59.95 and $66.18. ATM implied volatility averaged 29.7%, placing in the 47.6% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 2.8% (HV 20d: 32.5%). Max pain ranged from $60.13 to $64.75. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.72.

Notable Days

  • 2010-06-30: Highest Volume — 4,524 contracts
  • 2010-06-29: Largest IV spike — 38.7% change
  • 2010-06-07: Highest IV Rank — 85.7%
  • 2010-06-01: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.35$59.95$66.18$62.37$59.95
Max Pain$62.23$60.13$64.75$64.75$64.75
ATM IV29.7%23.2%39.1%38.8%32.1%
Expected Move8.4%6.7%11.1%11.1%9.2%
HV 20d32.5%27.2%36.1%34.3%27.2%
HV 60d25.8%23.3%27.8%23.3%27.8%
IV Rank47.6%21.2%85.7%84.5%57.5%
IV Percentile62.7%23.0%98.8%98.4%88.1%
Term Structure0.5%-2.9%3.0%-2.9%1.1%
VWIV31.4%23.8%43.8%37.3%32.2%
Skew 25d7.4%5.6%9.1%7.4%7.8%
Skew 10d16.2%9.0%21.4%14.1%16.0%
Call IV 25d26.4%20.4%33.5%33.5%29.5%
Put IV 25d33.8%27.7%41.0%41.0%37.3%
Bid-Ask Spread %20.0411.8333.1013.9517.64
Gamma HHI0.280.210.350.270.21
Net GEX1.1M396.7K1.7M1.3M396.7K
Net DEX-5.9M-31.3M14.9M1.1M8.0M
Net VEX-218.4K-271.8K-180.2K-270.6K-180.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.0624.4424.441.42
Total Volume960.6822154,5249354,524
Total OI34,842.90921,04541,71441,71424,283

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$62.37$64.7538.8%11.1%34.3%84.5%37.3%7.4%-2.9%1.3M1.1M-270.6K24.4413.953789828,04713,667
2010-06-02$63.94$64.7530.2%8.7%34.9%49.5%33.0%7.2%-0.5%1.6M-9.7M-271.8K0.2116.561773828,06413,278
2010-06-03$63.80$64.7528.8%8.3%34.8%44.0%28.9%6.3%0.2%1.6M-7.9M-256.7K0.0613.664012427,96813,119
2010-06-04$61.56$60.1337.4%9.9%35.9%78.8%32.5%8.2%-1.4%1.4M7.9M-245.4K1.2829.9744857228,06113,104
2010-06-07$60.68$60.1339.1%10.1%35.7%85.7%32.3%7.7%-2.0%1.3M14.9M-228.2K1.0328.8325926827,99613,410
2010-06-08$61.80$60.1336.7%10.2%35.3%76.3%32.1%8.1%-1.8%1.4M8.4M-230.4K0.1314.272573427,91513,397
2010-06-09$62.44$60.1337.5%9.8%35.5%79.3%37.1%7.6%-1.2%1.4M3.2M-233.4K0.5713.1692152528,11013,345
2010-06-10$63.75$60.1329.2%8.4%36.1%45.6%29.2%7.5%0.5%1.6M-8.4M-242.1K0.5014.8424812328,19013,445
2010-06-11$64.23$60.1328.6%8.2%36.0%43.1%0.0%7.6%0.2%1.7M-13.1M-239.1K0.5221.331728928,22113,394
2010-06-14$63.85$60.1328.6%8.2%34.7%43.0%31.5%6.9%0.4%1.6M-10.9M-225.9K0.0622.163,14819928,30313,381
2010-06-15$64.98$60.1326.7%7.6%34.9%35.1%30.4%7.3%0.8%1.4M-19.6M-220.3K0.6218.211529528,08713,370
2010-06-16$65.25$60.1326.2%7.5%34.9%33.1%31.6%6.6%0.9%1.4M-22.5M-215.8K0.1424.222423528,13313,400
2010-06-17$65.36$60.1325.1%7.2%34.7%28.8%32.7%7.3%1.9%1.6M-23.5M-203.7K0.1825.353205628,25313,430
2010-06-18$66.18$60.1324.4%7.0%29.2%26.0%28.0%7.3%1.5%1.1M-31.3M-200.7K0.6721.6715110228,11713,330
2010-06-21$65.82$60.1324.2%6.9%29.1%25.2%24.1%6.8%2.1%1.1M-17.9M-206.1K1.9033.1048091113,5227,523
2010-06-22$64.96$64.7525.1%7.2%29.0%28.7%43.8%5.6%1.6%633.8K-10.3M-197.6K0.7221.5238627913,8948,271
2010-06-23$63.83$64.7523.2%6.7%29.1%21.2%23.8%6.8%3.0%413.5K-3.6M-188.0K0.9523.871,02797314,1398,394
2010-06-24$62.28$64.7531.0%8.9%29.8%52.9%30.4%7.8%0.7%500.3K1.7M-187.5K1.4811.8334851714,9618,479
2010-06-25$63.44$64.7523.9%6.8%28.4%23.8%27.5%8.3%2.7%628.1K-2.8M-192.1K0.1421.426369115,0838,745
2010-06-28$62.71$64.7523.8%6.8%27.5%23.5%29.6%7.3%3.0%561.8K-16.5K-185.9K0.4115.7539716315,5838,797
2010-06-29$60.61$64.7533.0%9.5%28.8%61.1%31.4%9.1%0.2%454.5K5.9M-182.5K0.4417.4828612615,5408,795
2010-06-30$59.95$64.7532.1%9.2%27.2%57.5%32.2%7.8%1.1%396.7K8.0M-180.2K1.4217.641,8692,65515,4518,832