APD Options History — December 2010

In December 2010, APD traded between $79.92 and $84.41. ATM implied volatility averaged 22.3%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 4.7% (HV 20d: 17.6%). Max pain ranged from $69.38 to $78.63. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.81.

Notable Days

  • 2010-12-10: Highest Volume — 6,101 contracts
  • 2010-12-08: Largest IV spike — 44.0% change
  • 2010-12-14: Highest IV Rank — 66.5%
  • 2010-12-10: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.49$79.92$84.41$79.92$84.14
Max Pain$74.85$69.38$78.63$69.38$78.63
ATM IV22.3%15.9%33.1%23.8%22.4%
Expected Move6.3%5.4%7.0%6.8%6.4%
HV 20d17.6%11.0%20.8%19.2%11.0%
HV 60d18.6%17.7%19.0%18.1%17.7%
IV Rank28.0%5.5%66.5%33.4%28.4%
IV Percentile35.4%0.8%94.0%55.6%41.3%
Term Structure0.5%-1.0%2.9%0.4%0.3%
VWIV22.8%19.3%27.0%23.2%23.7%
Skew 25d4.8%3.9%6.3%5.0%4.5%
Skew 10d11.1%7.4%13.9%11.4%13.1%
Call IV 25d20.3%16.9%23.4%21.4%20.5%
Put IV 25d25.1%22.4%28.2%26.3%25.1%
Bid-Ask Spread %18.169.7248.9610.4316.14
Gamma HHI0.450.290.680.290.44
Net GEX3.6M2.1M7.8M2.1M3.1M
Net DEX-49.0M-69.9M-33.8M-40.4M-40.9M
Net VEX-162.7K-187.8K-140.9K-152.9K-172.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.034.650.893.07
Total Volume1,271.864826,101149595
Total OI20,068.45514,67027,67518,93817,671

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$79.92$69.3823.8%6.8%19.2%33.4%23.2%5.0%0.4%2.1M-40.4M-152.9K0.8910.43797010,6538,285
2010-12-02$81.99$69.3819.1%5.5%20.8%16.8%20.4%6.1%2.9%2.2M-51.2M-144.6K0.0317.088722410,6938,330
2010-12-03$81.05$69.3819.0%5.4%20.6%16.3%22.0%4.4%1.9%2.5M-47.3M-151.9K0.3814.86592311,2268,306
2010-12-06$81.12$74.0120.2%6.1%20.6%20.8%22.5%6.3%1.7%2.5M-48.7M-142.7K0.0315.134081311,2028,312
2010-12-07$80.96$74.0115.9%6.0%20.5%5.5%24.1%5.9%1.5%2.6M-48.8M-140.9K0.2011.834198411,3318,322
2010-12-08$80.54$74.0122.9%6.8%19.3%30.3%24.1%6.2%0.6%2.6M-45.2M-143.8K1.0816.22404311,4018,297
2010-12-09$82.10$74.0125.5%7.0%20.3%39.6%24.4%4.5%-0.8%2.7M-53.4M-141.9K0.1223.303,48642511,4188,275
2010-12-10$82.18$74.0125.7%7.0%20.3%40.3%24.8%4.4%-1.0%3.2M-59.3M-159.3K0.069.725,74935213,0638,520
2010-12-13$82.04$74.0129.5%6.9%19.0%53.6%25.1%4.7%-0.9%6.9M-69.9M-179.5K0.0810.671,74914317,8518,707
2010-12-14$81.03$74.0133.1%6.8%19.7%66.5%23.9%4.9%-0.6%5.6M-57.6M-163.3K0.0915.763,69831917,4258,783
2010-12-15$81.42$74.0123.4%6.7%18.6%32.0%27.0%4.5%-0.6%7.8M-63.3M-168.4K0.0412.253291418,6928,983
2010-12-16$81.94$74.0122.4%6.4%18.6%28.7%22.6%5.1%0.1%5.4M-61.6M-158.2K0.0614.641,0305816,0078,987
2010-12-17$82.64$74.0121.1%6.0%17.3%23.8%21.1%4.0%0.4%2.4M-58.2M-164.4K0.2516.682796915,8709,045
2010-12-20$83.19$74.0120.0%5.7%17.3%20.1%21.8%4.1%1.0%2.7M-33.8M-157.0K0.7522.659256949,2795,391
2010-12-21$83.75$74.0119.4%5.6%17.1%17.9%19.3%4.7%1.0%3.0M-38.0M-163.4K0.0713.732,7191899,7935,831
2010-12-22$83.78$78.6319.9%5.7%16.4%19.5%21.1%4.1%1.1%4.1M-44.5M-183.1K0.4324.441526611,7986,005
2010-12-23$84.00$78.6319.9%5.7%14.6%19.6%21.4%3.9%1.1%3.8M-44.7M-181.2K0.2225.2061113711,3736,037
2010-12-27$84.08$78.6321.5%6.2%13.8%25.4%24.3%4.5%0.0%3.8M-45.7M-187.8K4.6548.968439211,8176,134
2010-12-28$84.38$78.6321.3%6.1%13.8%24.7%22.1%5.5%0.7%3.1M-41.9M-173.5K4.6521.5918183910,5486,419
2010-12-29$84.41$78.6321.7%6.2%13.8%26.0%22.4%3.9%0.6%3.1M-42.2M-177.2K0.5519.9422812510,6627,180
2010-12-30$84.14$78.6321.8%6.3%14.0%26.4%21.0%4.6%0.1%3.1M-41.4M-171.6K0.1118.361892110,4287,156
2010-12-31$84.14$78.6322.4%6.4%11.0%28.4%23.7%4.5%0.3%3.1M-40.9M-172.3K3.0716.1414644910,5027,169