APD Options History — February 2011

In February 2011, APD traded between $81.86 and $87.84. ATM implied volatility averaged 24.0%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 5.1% (HV 20d: 18.9%). Max pain ranged from $74.01 to $83.26. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.70.

Notable Days

2011-02-16: Highest Volume — 8,427 contracts
2011-02-10: Largest IV drop — 22.4% change
2011-02-09: Highest IV Rank — 50.3%
2011-02-15: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$83.82	$81.86	$87.84	$82.90	$85.11
Max Pain	$77.66	$74.01	$83.26	$83.26	$83.26
ATM IV	24.0%	20.1%	28.6%	24.4%	22.4%
Expected Move	6.6%	5.8%	7.4%	7.0%	6.4%
HV 20d	18.9%	14.3%	26.0%	15.2%	25.5%
HV 60d	16.1%	14.0%	17.9%	15.7%	17.9%
IV Rank	34.3%	20.4%	50.3%	35.7%	28.4%
IV Percentile	60.5%	14.3%	85.3%	69.0%	45.2%
Term Structure	-0.9%	-4.2%	1.1%	-3.6%	0.4%
VWIV	23.1%	20.1%	25.8%	24.4%	22.9%
Skew 25d	3.3%	1.2%	5.3%	3.0%	4.3%
Skew 10d	10.0%	4.8%	15.7%	10.4%	13.4%
Call IV 25d	22.0%	19.7%	24.7%	23.4%	19.9%
Put IV 25d	25.3%	22.4%	28.0%	26.4%	24.2%
Bid-Ask Spread %	28.85	17.50	56.97	21.30	25.00
Gamma HHI	0.53	0.28	0.71	0.63	0.30
Net GEX	5.9M	1.9M	10.1M	6.2M	2.2M
Net DEX	-57.9M	-136.3M	-25.2M	-56.6M	-28.4M
Net VEX	-204.0K	-238.9K	-167.2K	-227.9K	-175.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.13	2.17	0.22	0.47
Total Volume	1,336.947	99	8,427	1,331	315
Total OI	27,945.211	22,030	31,965	27,354	23,510

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2011-02-01	$82.90	$83.26	24.4%	7.0%	15.2%	35.7%	24.4%	3.0%	-3.6%	6.2M	-56.6M	-227.9K	0.22	21.30	1,093	238	17,280	10,074
2011-02-02	$82.37	$83.26	24.8%	7.1%	14.4%	37.0%	24.7%	1.6%	-4.1%	6.7M	-51.6M	-238.9K	0.86	22.00	84	72	17,813	10,306
2011-02-03	$81.95	$83.26	24.9%	7.2%	14.4%	37.5%	25.4%	1.2%	-4.2%	6.6M	-46.0M	-234.1K	1.33	25.45	119	158	17,840	10,357
2011-02-04	$81.97	$74.01	24.2%	5.9%	14.3%	34.8%	20.1%	4.5%	0.8%	6.9M	-45.9M	-229.0K	0.93	20.00	163	152	17,934	10,425
2011-02-07	$82.56	$74.01	25.6%	6.0%	14.5%	39.9%	20.1%	4.3%	0.5%	7.6M	-52.9M	-224.4K	0.32	19.31	249	80	17,982	10,571
2011-02-08	$82.84	$74.01	28.0%	6.7%	14.6%	48.3%	23.2%	2.2%	-1.1%	7.4M	-57.7M	-224.1K	0.13	29.89	1,838	246	18,068	10,626
2011-02-09	$81.86	$74.01	28.6%	6.6%	15.2%	50.3%	24.0%	3.0%	-0.8%	7.2M	-46.9M	-229.3K	0.60	29.50	62	37	19,243	10,832
2011-02-10	$81.97	$74.01	22.1%	6.3%	15.2%	27.6%	23.6%	2.7%	-0.2%	7.3M	-45.2M	-218.8K	1.01	33.78	121	122	19,044	10,853
2011-02-11	$82.39	$74.01	23.1%	6.6%	15.2%	31.0%	22.7%	2.8%	-0.8%	8.5M	-51.3M	-217.7K	0.57	35.18	322	184	19,101	10,835
2011-02-14	$83.28	$74.01	24.6%	7.1%	15.7%	36.4%	24.4%	2.3%	-2.2%	8.1M	-65.4M	-205.6K	0.20	34.75	1,826	368	19,330	10,962
2011-02-15	$83.46	$74.01	25.8%	7.4%	15.7%	40.5%	25.8%	3.4%	-3.7%	7.7M	-69.9M	-214.4K	0.27	56.97	1,259	336	20,457	11,242
2011-02-16	$87.52	$74.01	20.7%	5.9%	22.6%	22.4%	21.4%	3.3%	0.6%	6.4M	-136.3M	-167.2K	0.30	32.63	6,486	1,941	20,600	11,365
2011-02-17	$86.90	$78.63	21.7%	6.2%	22.0%	26.2%	22.8%	2.1%	-0.4%	4.3M	-111.6M	-175.5K	0.18	33.92	1,187	213	18,673	12,676
2011-02-18	$87.84	$78.63	20.1%	5.8%	21.6%	20.4%	20.5%	2.7%	1.1%	10.1M	-121.8M	-170.5K	1.30	35.37	1,035	1,345	19,242	12,709
2011-02-22	$84.95	$78.63	22.9%	6.6%	25.5%	30.4%	21.5%	4.5%	0.2%	2.2M	-32.7M	-168.5K	0.34	31.66	937	320	10,712	11,318
2011-02-23	$84.08	$78.63	24.6%	7.0%	25.9%	36.2%	23.8%	4.7%	-0.9%	2.0M	-26.7M	-181.5K	0.56	17.50	820	456	11,140	11,517
2011-02-24	$84.05	$78.63	24.9%	7.1%	26.0%	37.4%	25.0%	4.6%	-0.5%	1.9M	-25.2M	-187.4K	2.17	17.98	280	609	11,139	11,806
2011-02-25	$84.57	$83.26	23.0%	6.6%	25.8%	30.7%	22.2%	5.3%	1.1%	2.0M	-27.5M	-184.8K	1.58	25.99	128	201	11,240	12,137
2011-02-28	$85.11	$83.26	22.4%	6.4%	25.5%	28.4%	22.9%	4.3%	0.4%	2.2M	-28.4M	-175.9K	0.47	25.00	214	101	11,221	12,289