APD Options History — July 2010

In July 2010, APD traded between $60.10 and $67.35. ATM implied volatility averaged 24.3%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 1.1% (HV 20d: 25.4%). Max pain ranged from $64.75 to $64.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2010-07-13: Highest Volume — 2,443 contracts
  • 2010-07-07: Largest IV drop — 23.4% change
  • 2010-07-01: Highest IV Rank — 57.9%
  • 2010-07-01: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.70$60.10$67.35$60.13$67.14
Max Pain$64.75$64.75$64.75$64.75$64.75
ATM IV24.3%20.2%32.2%32.2%20.2%
Expected Move7.2%5.8%9.2%9.2%5.8%
HV 20d25.4%20.0%27.7%27.3%20.1%
HV 60d28.7%27.6%29.2%27.8%28.4%
IV Rank25.5%8.8%57.9%57.9%8.8%
IV Percentile32.4%6.3%88.5%88.5%6.3%
Term Structure0.8%-1.0%2.6%1.2%1.9%
VWIV25.3%20.7%31.7%31.7%21.4%
Skew 25d5.8%4.1%8.2%8.2%4.1%
Skew 10d14.8%9.8%18.4%16.9%13.0%
Call IV 25d23.0%19.3%29.7%29.7%19.6%
Put IV 25d28.8%23.7%37.9%37.9%23.7%
Bid-Ask Spread %13.318.6730.1418.7310.96
Gamma HHI0.250.200.340.210.34
Net GEX1.3M332.4K2.4M343.0K2.4M
Net DEX-19.4M-38.9M9.2M7.9M-38.5M
Net VEX-199.6K-214.7K-181.4K-214.7K-194.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.061.471.100.06
Total Volume727.4291532,443856213
Total OI28,762.28626,24929,78328,34829,736

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$60.13$64.7532.2%9.2%27.3%57.9%31.7%8.2%1.2%343.0K7.9M-214.7K1.1018.7340844816,90311,445
2010-07-02$60.10$64.7529.0%8.3%24.4%44.7%30.3%7.4%2.6%332.4K9.2M-210.2K0.8130.141038317,21111,736
2010-07-06$60.81$64.7531.1%9.1%24.3%53.1%28.1%7.6%-1.0%426.2K6.0M-203.7K0.2312.202034817,19511,754
2010-07-07$62.66$64.7523.8%7.7%25.8%23.5%26.8%6.8%0.1%697.7K-4.5M-205.3K0.179.991933417,17211,727
2010-07-08$63.63$64.7522.6%7.5%26.1%18.4%28.5%6.8%0.1%841.5K-10.7M-205.7K0.1010.283493517,18211,726
2010-07-09$64.51$64.7521.8%7.4%25.5%15.5%23.4%5.8%-0.1%1.0M-17.6M-206.7K0.079.615684217,23811,722
2010-07-12$63.99$64.7525.3%7.6%25.6%29.4%26.7%6.0%-0.0%1.1M-15.5M-205.6K0.528.6745823717,46711,749
2010-07-13$65.62$64.7523.7%7.6%27.0%23.2%26.2%5.7%-0.3%1.4M-29.3M-210.7K0.239.371,98046317,80411,880
2010-07-14$65.00$64.7522.8%7.5%26.5%19.4%26.0%6.0%-0.0%1.2M-20.4M-205.1K0.399.3674929417,38612,163
2010-07-15$65.05$64.7525.9%7.4%26.5%32.0%25.8%5.9%-0.3%1.2M-21.1M-199.4K0.2810.142988417,31512,268
2010-07-16$64.13$64.7525.2%7.2%27.0%29.0%25.2%6.2%0.6%970.0K-8.5M-195.1K0.7610.2244433817,48712,296
2010-07-19$64.13$64.7523.5%6.7%26.5%22.4%24.6%6.1%1.0%890.3K-12.8M-182.2K0.3013.2083525415,73010,519
2010-07-20$65.47$64.7522.9%6.6%27.6%19.7%24.7%5.5%0.9%1.2M-21.3M-181.4K1.3116.1027836416,16310,755
2010-07-21$64.80$64.7525.5%7.3%27.4%30.3%25.0%5.4%0.9%1.2M-18.9M-196.2K0.3713.071,73264816,31210,778
2010-07-22$66.23$64.7524.4%7.0%27.7%26.0%24.6%5.0%1.4%1.8M-30.0M-199.1K0.6319.1146429217,12211,055
2010-07-23$66.69$64.7523.8%6.8%25.9%23.3%23.9%5.1%1.7%1.9M-32.1M-200.2K0.3618.561605717,31311,135
2010-07-26$67.35$64.7521.4%6.1%25.4%13.6%21.1%5.1%1.6%2.2M-37.2M-192.4K0.1711.8878013617,41611,160
2010-07-27$66.95$64.7523.7%6.8%25.0%23.1%22.9%4.6%1.6%2.2M-36.0M-193.3K0.2712.943569617,96911,189
2010-07-28$67.08$64.7521.1%6.1%20.8%12.6%20.7%4.5%1.4%2.3M-37.0M-193.8K1.4710.25629118,22611,199
2010-07-29$67.24$64.7520.4%5.9%20.0%9.8%23.9%4.7%2.0%2.4M-38.9M-196.5K0.5914.8237722218,17311,232
2010-07-30$67.14$64.7520.2%5.8%20.1%8.8%21.4%4.1%1.9%2.4M-38.5M-194.0K0.0610.962001318,40311,333