APD Options History — November 2010

In November 2010, APD traded between $76.98 and $80.68. ATM implied volatility averaged 21.9%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.8% (HV 20d: 20.1%). Max pain ranged from $69.38 to $74.01. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2010-11-24: Highest Volume — 1,493 contracts
  • 2010-11-29: Largest IV spike — 8.0% change
  • 2010-11-30: Highest IV Rank — 35.6%
  • 2010-11-30: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.08$76.98$80.68$78.58$79.76
Max Pain$70.26$69.38$74.01$74.01$69.38
ATM IV21.9%20.5%24.4%22.8%24.4%
Expected Move6.3%5.9%7.0%6.5%7.0%
HV 20d20.1%19.0%21.7%21.1%20.1%
HV 60d18.4%17.9%19.4%18.1%18.2%
IV Rank26.8%21.8%35.6%29.8%35.6%
IV Percentile29.5%15.5%63.5%34.9%63.5%
Term Structure1.9%-0.2%3.6%-0.1%1.0%
VWIV22.5%19.7%24.8%24.8%24.5%
Skew 25d4.8%3.7%5.4%4.3%4.8%
Skew 10d11.5%9.0%14.5%9.0%13.0%
Call IV 25d20.2%18.2%22.3%21.6%22.3%
Put IV 25d24.9%22.8%27.5%25.9%27.1%
Bid-Ask Spread %25.8116.2650.1722.6816.26
Gamma HHI0.330.260.560.280.28
Net GEX2.2M1.4M3.9M1.7M1.9M
Net DEX-39.8M-51.4M-28.9M-36.7M-37.4M
Net VEX-158.4K-173.7K-137.8K-173.7K-150.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.082.801.740.26
Total Volume512.095631,493498776
Total OI18,647.14316,89519,96217,94618,348

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$78.58$74.0122.8%6.5%21.1%29.8%24.8%4.3%-0.1%1.7M-36.7M-173.7K1.7422.6818231610,0607,886
2010-11-02$79.89$74.0123.2%6.7%19.9%31.3%22.3%3.7%-0.2%1.8M-43.8M-168.9K0.7622.6116212310,1917,872
2010-11-03$79.06$74.0122.0%6.3%20.3%27.1%22.0%4.6%0.0%1.9M-40.6M-168.8K0.0844.262141610,3247,949
2010-11-04$80.35$74.0121.6%6.2%19.5%25.5%21.4%4.0%0.2%2.0M-47.9M-160.7K0.2025.5157411210,4467,938
2010-11-05$80.16$69.3820.5%6.1%19.6%21.8%19.9%4.7%3.1%2.2M-48.4M-162.9K2.8016.28226110,8197,984
2010-11-08$80.68$69.3821.5%6.2%19.6%25.2%19.7%4.6%2.5%2.1M-51.4M-154.4K0.0817.631611310,8228,010
2010-11-09$79.17$69.3821.6%6.2%21.0%25.7%22.9%4.8%2.3%2.3M-43.8M-157.6K1.0621.3436939210,8228,010
2010-11-10$78.88$69.3820.8%6.1%21.1%22.8%23.0%5.1%3.0%2.4M-41.0M-163.8K0.7622.01362710,9228,135
2010-11-11$79.08$69.3821.3%6.1%20.7%24.5%21.4%5.2%3.1%2.4M-41.8M-163.0K0.0933.476405510,9338,144
2010-11-12$77.71$69.3822.3%6.4%21.7%28.2%21.2%5.4%2.4%2.6M-33.9M-168.6K0.4320.1266728511,2998,163
2010-11-15$78.19$69.3821.9%6.3%21.1%26.8%22.9%4.3%2.5%3.0M-38.8M-161.6K1.1128.1610111111,4278,259
2010-11-16$76.98$69.3822.9%6.6%20.6%30.4%23.8%5.3%2.1%2.6M-29.7M-166.8K0.7321.5342531111,4398,307
2010-11-17$77.47$69.3822.3%6.4%19.2%28.1%24.5%5.0%2.7%2.9M-32.1M-165.5K2.7117.617019011,4728,490
2010-11-18$79.23$69.3821.7%6.2%19.3%26.2%23.7%4.7%3.1%3.9M-46.5M-157.6K0.4126.912339611,3758,513
2010-11-19$79.57$69.3820.5%5.9%19.3%21.9%21.3%4.7%3.6%2.4M-51.4M-150.7K0.6117.7019812011,3658,432
2010-11-22$79.09$69.3821.1%6.0%19.0%23.7%23.8%4.8%1.7%1.5M-33.3M-137.8K0.7550.171351028,9677,928
2010-11-23$78.23$69.3821.2%6.1%19.4%24.3%23.4%5.2%2.1%1.4M-28.9M-146.9K0.8435.936155199,0707,933
2010-11-24$80.06$69.3820.7%5.9%20.0%22.5%20.4%4.5%3.2%1.7M-36.5M-141.6K0.1728.661,2792149,1077,890
2010-11-26$79.20$69.3822.1%6.3%20.1%27.2%21.5%5.1%1.8%1.8M-35.4M-151.6K0.6734.2422615010,1038,026
2010-11-29$79.39$69.3823.8%6.8%20.1%33.5%23.8%5.4%0.7%1.8M-36.2M-152.4K0.4618.8431214410,2688,142
2010-11-30$79.76$69.3824.4%7.0%20.1%35.6%24.5%4.8%1.0%1.9M-37.4M-150.9K0.2616.2661715910,1888,160