APD Options History — August 2010

In August 2010, APD traded between $68.04 and $71.29. ATM implied volatility averaged 22.9%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 3.1% (HV 20d: 19.8%). 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 20 of 22 days. Put/call ratio averaged 0.82.

Notable Days

  • 2010-08-02: Highest Volume — 3,232 contracts
  • 2010-08-09: Largest IV spike — 10.0% change
  • 2010-08-19: Highest IV Rank — 28.1%
  • 2010-08-19: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.73$68.04$71.29$69.37$68.48
Max Pain$60.97$60.13$64.75$64.75$60.13
ATM IV22.9%20.8%24.9%23.1%21.2%
Expected Move6.6%6.0%7.1%6.6%6.1%
HV 20d19.8%16.4%22.1%22.1%16.4%
HV 60d25.8%21.6%28.7%28.7%21.6%
IV Rank19.8%11.5%28.1%20.5%12.7%
IV Percentile25.0%9.1%43.3%24.2%11.9%
Term Structure2.0%-0.1%3.2%-0.1%2.9%
VWIV23.7%20.9%26.8%24.6%21.6%
Skew 25d3.2%0.3%5.2%0.7%2.4%
Skew 10d7.8%3.8%11.7%4.3%5.8%
Call IV 25d22.3%21.0%24.1%24.1%22.2%
Put IV 25d25.6%23.7%27.6%24.8%24.6%
Bid-Ask Spread %14.1910.3118.1710.3115.76
Gamma HHI0.460.360.840.360.47
Net GEX3.8M2.0M16.3M3.0M2.1M
Net DEX-57.3M-78.0M-34.0M-58.2M-35.3M
Net VEX-175.5K-206.6K-145.5K-186.6K-146.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.093.660.090.49
Total Volume760.7731473,2323,232272
Total OI30,032.72724,08432,80329,65926,270

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$69.37$64.7523.1%6.6%22.1%20.5%24.6%0.7%-0.1%3.0M-58.2M-186.6K0.0910.312,95527718,35011,309
2010-08-03$70.01$64.7522.9%6.6%22.1%19.7%22.9%0.4%-0.0%3.8M-67.6M-195.0K0.3814.6049318620,67111,424
2010-08-04$70.95$64.7522.6%6.5%20.5%18.7%23.3%0.3%0.1%4.0M-74.1M-191.1K0.3714.8483731020,40811,455
2010-08-05$71.29$64.7522.6%6.5%20.3%18.7%22.6%1.4%0.6%4.0M-76.6M-201.3K0.0916.329107920,60211,590
2010-08-06$70.51$60.1320.8%6.7%20.8%11.5%25.0%4.3%2.3%4.0M-70.6M-206.6K1.5714.8417126821,09011,596
2010-08-09$71.23$60.1322.9%6.7%20.4%19.9%26.6%4.2%2.1%4.2M-78.0M-198.4K0.1411.3889112321,05411,749
2010-08-10$71.17$60.1321.9%6.7%19.1%15.7%23.3%3.8%2.2%4.2M-75.2M-191.3K0.6211.6025315620,79811,771
2010-08-11$69.75$60.1323.8%6.8%20.4%23.7%23.8%4.0%2.2%3.6M-61.4M-195.6K0.1116.168929620,81511,881
2010-08-12$69.10$60.1324.3%7.0%20.9%25.4%24.6%4.4%2.1%3.1M-53.2M-187.6K1.3916.12628520,22111,876
2010-08-13$70.01$60.1323.9%6.9%20.1%23.9%26.8%4.2%2.4%3.4M-61.1M-181.7K0.3218.172267220,22011,881
2010-08-16$70.21$60.1324.8%7.1%20.1%27.6%25.5%5.2%2.0%3.4M-64.0M-178.6K0.6112.9048829920,37311,904
2010-08-17$70.97$60.1324.1%6.9%19.3%24.6%22.6%3.7%2.6%3.5M-71.7M-172.5K0.2212.883828420,55312,038
2010-08-18$71.26$60.1324.2%6.9%18.6%25.0%24.3%3.8%2.4%3.7M-73.5M-173.9K2.2212.2911525420,54312,033
2010-08-19$69.93$60.1324.9%7.1%19.2%28.1%24.8%4.1%2.3%3.8M-63.2M-172.2K0.4711.9836817320,48612,059
2010-08-20$69.39$60.1323.8%6.8%19.5%23.7%25.1%3.8%3.2%16.3M-56.1M-165.5K0.5413.1748626420,49412,171
2010-08-23$69.09$60.1321.7%6.2%19.4%15.0%21.8%3.4%2.6%2.2M-39.7M-150.4K0.4013.191,22549315,9458,139
2010-08-24$68.31$60.1322.9%6.6%19.7%19.8%23.5%4.2%1.4%2.2M-36.8M-159.0K0.7114.6931622416,6118,252
2010-08-25$68.04$60.1322.8%6.5%19.8%19.4%23.0%3.5%2.2%2.2M-35.4M-156.7K2.2912.4817740516,7978,307
2010-08-26$68.05$60.1322.4%6.4%19.8%18.0%22.4%3.7%2.6%2.2M-35.5M-155.1K0.1016.051811816,8378,582
2010-08-27$68.84$60.1320.9%6.0%20.2%11.8%20.9%3.6%2.9%2.5M-40.1M-151.0K3.6617.1118166216,8648,602
2010-08-30$68.18$60.1321.2%6.1%16.7%13.0%21.4%2.5%2.6%2.0M-34.0M-145.5K1.3015.4314318517,0009,099
2010-08-31$68.48$60.1321.2%6.1%16.4%12.7%21.6%2.4%2.9%2.1M-35.3M-146.1K0.4915.761838917,0459,225