APD Options History — October 2010

In October 2010, APD traded between $75.21 and $79.32. ATM implied volatility averaged 21.8%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 4.0% (HV 20d: 17.7%). Max pain ranged from $74.01 to $74.01. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2010-10-22: Highest Volume — 1,657 contracts
  • 2010-10-11: Largest IV spike — 72.7% change
  • 2010-10-11: Highest IV Rank — 45.2%
  • 2010-10-11: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.22$75.21$79.32$76.80$78.60
Max Pain$74.01$74.01$74.01$74.01$74.01
ATM IV21.8%15.7%27.1%19.6%21.9%
Expected Move6.4%5.5%7.4%5.6%6.3%
HV 20d17.7%12.6%21.6%12.6%21.6%
HV 60d18.2%17.3%19.0%18.0%18.3%
IV Rank26.3%4.7%45.2%18.6%26.7%
IV Percentile28.0%0.4%75.8%6.0%25.8%
Term Structure0.4%-0.7%2.5%2.5%0.6%
VWIV22.8%19.9%25.8%20.0%21.9%
Skew 25d4.7%2.8%5.8%2.8%3.9%
Skew 10d10.2%3.9%12.3%3.9%10.7%
Call IV 25d20.8%18.2%22.2%19.4%21.1%
Put IV 25d25.5%22.2%27.7%22.2%25.0%
Bid-Ask Spread %22.9111.3241.3811.3219.29
Gamma HHI0.350.260.510.470.26
Net GEX2.0M1.0M3.3M2.7M1.6M
Net DEX-32.4M-39.8M-20.3M-34.6M-36.5M
Net VEX-171.6K-182.2K-158.0K-167.3K-177.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.074.461.150.59
Total Volume650.619751,657472344
Total OI17,780.61914,56220,32317,33917,733

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$76.80$74.0119.6%5.6%12.6%18.6%20.0%2.8%2.5%2.7M-34.6M-167.3K1.1511.3221925310,4766,863
2010-10-04$75.92$74.0124.4%7.2%13.4%35.5%25.8%5.2%-0.1%2.5M-29.7M-165.6K3.0413.483781,15010,6597,100
2010-10-05$77.89$74.0120.5%6.4%15.1%21.7%22.3%5.1%0.4%3.0M-39.8M-179.3K0.6222.7830118710,7678,222
2010-10-06$77.72$74.0119.8%6.4%15.2%19.1%22.0%4.7%0.0%3.3M-39.2M-180.9K1.3321.90324310,9628,146
2010-10-07$76.23$74.0125.4%7.2%17.3%39.1%24.6%5.0%-0.1%2.6M-29.6M-182.2K0.5514.0527715410,9688,171
2010-10-08$76.50$74.0115.7%6.3%17.3%4.7%24.6%5.1%0.5%2.7M-30.3M-178.4K1.9112.186211810,9068,310
2010-10-11$76.31$74.0127.1%7.4%17.1%45.2%25.6%5.5%-0.4%2.5M-28.5M-175.1K0.0815.571,1298510,8938,396
2010-10-12$76.39$74.0122.4%6.4%16.1%28.5%23.4%5.2%0.0%2.8M-33.0M-175.9K0.6816.651238311,7758,419
2010-10-13$76.70$74.0117.9%6.4%15.4%12.5%25.2%5.5%0.2%3.1M-35.4M-175.2K0.2517.092235611,7338,464
2010-10-14$75.95$74.0125.4%7.3%15.8%39.3%24.1%5.8%-0.7%1.9M-29.6M-171.7K0.3434.2735212011,6738,499
2010-10-15$75.54$74.0124.7%7.1%15.8%36.6%22.8%5.6%-0.0%1.0M-30.5M-171.1K0.0718.331571111,7768,547
2010-10-18$76.73$74.0122.3%6.4%16.4%28.2%22.4%4.6%-0.0%1.0M-24.2M-166.3K0.1721.346361067,8876,675
2010-10-19$75.21$74.0124.8%7.1%17.8%37.0%24.3%5.2%-0.5%1.1M-20.3M-165.4K0.4534.062611178,2066,723
2010-10-20$76.87$74.0123.3%6.7%19.6%31.6%23.4%4.8%0.2%1.2M-26.6M-167.0K0.3324.394321418,3906,765
2010-10-21$78.57$74.0119.5%5.6%21.0%18.3%19.9%4.6%1.6%1.4M-33.7M-158.7K0.4926.488974368,5396,791
2010-10-22$78.39$74.0119.3%5.5%20.4%17.6%20.5%3.9%1.6%1.5M-34.5M-158.0K4.4619.903041,3538,7116,787
2010-10-25$79.32$74.0120.1%5.8%20.7%20.3%20.1%4.0%0.8%1.5M-37.3M-161.6K0.0838.151,5341198,8597,542
2010-10-26$79.28$74.0120.8%6.0%20.7%22.8%22.9%4.3%0.5%1.7M-38.6M-173.3K0.7840.462221739,6477,561
2010-10-27$77.86$74.0121.0%6.0%21.2%23.6%20.7%4.7%0.6%1.6M-32.1M-178.4K3.1041.38983059,7157,656
2010-10-28$78.77$74.0121.2%6.1%21.5%24.4%21.6%3.7%0.5%1.6M-36.5M-174.8K0.2917.985201529,6997,782
2010-10-29$78.60$74.0121.9%6.3%21.6%26.7%21.9%3.9%0.6%1.6M-36.5M-177.2K0.5919.292161289,9057,828