APD Options History — September 2010

In September 2010, APD traded between $69.15 and $77.89. ATM implied volatility averaged 21.3%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 4.0% (HV 20d: 17.3%). Max pain ranged from $60.13 to $74.01. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2010-09-28: Highest Volume — 14,090 contracts
  • 2010-09-07: Largest IV spike — 53.7% change
  • 2010-09-15: Highest IV Rank — 37.4%
  • 2010-09-15: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.68$69.15$77.89$69.15$76.61
Max Pain$68.94$60.13$74.01$60.13$74.01
ATM IV21.3%14.4%24.9%18.9%20.0%
Expected Move6.2%5.3%7.1%5.4%5.7%
HV 20d17.3%14.5%19.9%16.0%16.2%
HV 60d20.8%18.2%22.2%21.4%18.2%
IV Rank23.3%0.0%37.4%3.4%19.9%
IV Percentile19.9%0.0%49.2%1.2%7.5%
Term Structure1.8%0.0%4.3%3.7%2.5%
VWIV23.0%18.2%33.0%19.0%20.3%
Skew 25d4.3%0.4%6.4%1.9%4.1%
Skew 10d9.8%2.6%15.3%2.6%3.3%
Call IV 25d20.3%15.8%23.3%20.5%19.4%
Put IV 25d24.7%18.3%27.6%22.4%23.5%
Bid-Ask Spread %20.1312.7629.9929.9912.76
Gamma HHI0.510.390.790.480.46
Net GEX4.2M2.4M7.6M2.4M2.6M
Net DEX-66.8M-132.9M-34.4M-40.3M-34.4M
Net VEX-158.1K-184.7K-137.2K-138.4K-159.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.026.131.531.32
Total Volume2,414.85749414,0901,1881,027
Total OI24,801.38116,27736,62226,17916,741

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$69.15$60.1318.9%5.4%16.0%3.4%19.0%1.9%3.7%2.4M-40.3M-138.4K1.5329.9946971916,9899,190
2010-09-02$71.41$60.1318.5%5.3%19.9%2.0%18.2%0.4%4.3%3.4M-57.1M-144.1K0.4215.6551521716,9249,573
2010-09-03$72.19$69.3814.4%5.8%19.8%0.0%20.3%4.7%3.3%4.0M-63.0M-139.3K1.8727.1126749917,1259,611
2010-09-07$71.58$69.3822.1%7.1%19.8%27.4%25.3%5.6%1.2%3.3M-58.0M-137.2K0.5816.271,8411,06817,2189,951
2010-09-08$71.96$69.3821.8%6.6%19.8%26.4%23.1%4.9%1.9%4.7M-65.5M-144.0K0.1219.371,97723718,7269,593
2010-09-09$72.11$69.3823.8%6.8%18.3%33.6%24.0%3.9%1.2%5.3M-69.2M-148.4K0.3321.831,89862419,7239,681
2010-09-10$72.11$69.3824.0%6.9%17.8%34.2%24.3%4.0%1.2%5.1M-69.1M-154.4K0.1720.711,07317719,7469,884
2010-09-13$72.88$69.3823.9%6.9%17.7%34.0%27.6%4.6%0.8%6.3M-78.6M-155.8K0.2217.921,74438920,6919,968
2010-09-14$74.20$69.3824.5%7.0%18.6%36.0%22.5%4.4%0.0%7.6M-105.1M-161.3K0.2125.434,68798222,07410,301
2010-09-15$75.28$69.3824.9%7.1%18.8%37.4%23.0%4.3%0.0%7.2M-121.5M-178.7K0.1123.313,47537024,35610,926
2010-09-16$75.62$69.3824.6%7.1%18.8%36.4%23.6%3.9%0.0%6.6M-124.5M-184.7K0.1623.9163810125,46910,927
2010-09-17$76.04$69.3823.3%6.7%17.0%31.8%22.9%3.8%1.1%3.8M-132.9M-176.2K0.1423.9291612825,71710,905
2010-09-20$76.83$69.3821.8%6.2%16.5%26.3%22.4%3.5%1.9%3.7M-54.1M-173.9K0.0722.081,1278313,5455,005
2010-09-21$76.78$69.3820.3%5.8%16.3%21.1%23.1%5.0%2.0%4.0M-55.1M-175.2K0.0621.275,42030614,0045,050
2010-09-22$76.95$69.3820.1%5.8%15.1%20.4%21.2%5.2%2.1%3.0M-46.8M-161.2K2.1013.9519340511,7055,075
2010-09-23$76.73$69.3820.0%5.7%15.0%20.0%21.0%4.7%1.9%2.9M-44.8M-160.8K0.3314.0337212211,4345,382
2010-09-24$77.89$69.3819.4%5.6%15.1%17.8%22.4%6.4%2.5%3.0M-50.4M-157.7K0.3313.6787329011,5015,460
2010-09-27$77.58$69.3820.2%5.8%15.5%20.8%23.5%6.1%2.1%3.0M-49.3M-155.5K6.1318.409457611,5955,369
2010-09-28$77.68$69.3820.0%5.7%14.5%19.8%33.0%5.6%2.3%2.9M-47.7M-156.7K0.0221.2413,78230811,5235,895
2010-09-29$76.64$74.0120.4%5.8%16.1%21.3%23.0%4.0%1.8%2.6M-35.0M-156.4K2.3019.9421950410,2546,023
2010-09-30$76.61$74.0120.0%5.7%16.2%19.9%20.3%4.1%2.5%2.6M-34.4M-159.6K1.3212.7644258510,3206,421