APD Options History — January 2011

In January 2011, APD traded between $79.34 and $83.75. ATM implied volatility averaged 22.9%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 13.5% (HV 20d: 9.4%). Max pain ranged from $78.63 to $83.26. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2011-01-25: Highest Volume — 4,701 contracts
  • 2011-01-20: Largest IV spike — 17.0% change
  • 2011-01-31: Highest IV Rank — 44.8%
  • 2011-01-31: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.37$79.34$83.75$83.75$80.71
Max Pain$82.33$78.63$83.26$78.63$83.26
ATM IV22.9%20.1%27.0%22.5%27.0%
Expected Move6.6%5.8%7.7%6.5%7.7%
HV 20d9.4%7.7%11.9%10.2%11.3%
HV 60d16.2%14.8%17.6%17.2%15.1%
IV Rank30.2%20.2%44.8%28.9%44.8%
IV Percentile46.3%13.5%82.5%43.3%82.5%
Term Structure-0.5%-2.8%1.0%-0.4%-2.8%
VWIV23.7%20.0%26.7%25.6%26.7%
Skew 25d4.2%0.5%6.7%4.8%2.3%
Skew 10d9.6%4.1%15.2%11.4%5.0%
Call IV 25d21.5%19.1%26.5%20.8%26.5%
Put IV 25d25.7%23.8%28.8%25.6%28.8%
Bid-Ask Spread %23.1115.1134.7019.3619.26
Gamma HHI0.490.320.610.450.61
Net GEX3.0M1.0M5.0M3.1M5.0M
Net DEX-25.4M-38.1M-11.9M-38.1M-33.6M
Net VEX-183.6K-226.6K-160.9K-172.5K-226.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.013.741.240.89
Total Volume1,225.651824,701577342
Total OI21,387.9518,04627,27818,04627,278

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$83.75$78.6322.5%6.5%10.2%28.9%25.6%4.8%-0.4%3.1M-38.1M-172.5K1.2419.3625732010,4877,559
2011-01-04$82.51$78.6321.6%6.2%11.8%25.7%26.0%4.1%0.3%2.9M-29.8M-170.7K2.2921.7134378510,4577,739
2011-01-05$82.15$78.6321.5%6.2%11.9%25.3%24.0%3.1%0.1%2.7M-27.2M-176.8K0.3628.372649510,6988,406
2011-01-06$81.72$78.6322.1%6.3%11.9%27.2%24.0%3.2%-0.2%2.6M-24.7M-174.6K0.1226.166497910,8638,473
2011-01-07$81.87$83.2621.1%6.2%9.7%23.9%23.5%5.5%0.3%2.8M-26.9M-182.0K0.5424.0029015811,2628,527
2011-01-10$81.88$83.2622.8%6.3%9.7%29.8%23.7%4.8%-0.1%2.9M-26.6M-177.1K0.4022.3765025911,3458,605
2011-01-11$81.70$83.2621.5%6.1%9.7%25.3%22.6%4.8%0.3%3.0M-25.8M-183.7K0.3324.8698832411,9148,824
2011-01-12$82.01$83.2620.9%6.0%8.6%23.1%24.3%5.1%0.5%3.5M-28.1M-183.9K0.2924.782467012,2929,140
2011-01-13$82.20$83.2620.1%5.8%8.5%20.2%20.0%5.2%1.0%3.7M-30.1M-181.8K0.2516.122355812,2839,185
2011-01-14$82.08$83.2620.8%6.0%8.2%23.0%23.3%4.3%0.1%3.7M-29.0M-178.5K1.4719.137410812,3099,220
2011-01-18$82.42$83.2620.3%5.8%7.8%21.1%20.2%4.5%0.8%4.1M-32.1M-166.3K0.0219.36308612,3109,316
2011-01-19$81.88$83.2622.0%6.3%7.7%27.1%22.0%5.2%0.1%3.7M-27.3M-167.1K0.0115.422,9113912,4049,314
2011-01-20$80.72$83.2625.8%7.4%8.5%40.4%23.9%5.2%-0.9%2.6M-20.3M-168.0K0.5916.851,01660113,3369,341
2011-01-21$80.03$83.2624.6%7.1%8.8%36.4%24.1%6.7%-1.5%1.0M-16.5M-160.9K3.7415.114281,60113,5249,592
2011-01-24$80.02$83.2623.5%6.7%8.7%32.3%21.1%4.8%-0.9%1.2M-11.9M-178.0K0.3023.961,0173029,5278,932
2011-01-25$80.19$83.2625.6%7.3%8.7%39.9%24.3%5.0%-1.8%1.6M-14.4M-186.1K0.0333.154,54315810,3139,127
2011-01-26$80.41$83.2623.8%6.8%8.7%33.4%23.7%3.6%-1.1%3.7M-25.7M-208.8K0.9934.161,2301,21214,3559,152
2011-01-27$79.87$83.2623.6%6.8%8.7%32.8%24.4%1.9%-1.0%3.3M-21.3M-214.1K1.5123.457611515,2589,866
2011-01-28$79.34$83.2626.3%7.5%8.8%42.3%26.5%0.5%-2.0%2.8M-18.6M-215.0K0.1234.702,09526115,3029,924
2011-01-31$80.71$83.2627.0%7.7%11.3%44.8%26.7%2.3%-2.8%5.0M-33.6M-226.6K0.8919.2618116117,26410,014