APD Options History — March 2011

In March 2011, APD traded between $77.82 and $85.01. ATM implied volatility averaged 20.9%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 3.3% (HV 20d: 24.2%). Max pain ranged from $83.26 to $83.26. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.70.

Notable Days

  • 2011-03-17: Highest Volume — 2,253 contracts
  • 2011-03-11: Largest IV spike — 19.1% change
  • 2011-03-16: Highest IV Rank — 47.3%
  • 2011-03-16: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.19$77.82$85.01$83.16$83.42
Max Pain$83.26$83.26$83.26$83.26$83.26
ATM IV20.9%17.6%27.7%22.4%18.1%
Expected Move6.0%5.0%7.9%6.4%5.2%
HV 20d24.2%19.2%27.6%26.7%19.2%
HV 60d19.0%17.6%20.2%17.8%19.9%
IV Rank23.2%11.5%47.3%28.3%13.4%
IV Percentile29.3%1.2%85.7%44.8%4.0%
Term Structure1.2%-2.1%3.2%0.5%1.6%
VWIV21.9%17.6%32.9%24.5%17.6%
Skew 25d5.2%1.8%8.1%1.8%3.8%
Skew 10d11.5%6.2%19.0%10.7%6.2%
Call IV 25d18.7%12.1%24.9%23.6%16.9%
Put IV 25d23.9%19.5%31.2%25.4%20.7%
Bid-Ask Spread %24.6612.9271.8816.0924.46
Gamma HHI0.270.200.360.290.27
Net GEX1.2M-99.8K2.4M2.1M1.3M
Net DEX-8.7M-28.9M10.6M-19.8M-14.1M
Net VEX-152.0K-172.6K-135.9K-172.6K-153.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.101.921.110.45
Total Volume717.4781482,253889499
Total OI20,56011,92827,25523,58114,170

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$83.16$83.2622.4%6.4%26.7%28.3%24.5%1.8%0.5%2.1M-19.8M-172.6K1.1116.0942146811,23312,348
2011-03-02$83.64$83.2622.3%6.4%25.0%28.0%21.8%4.3%0.3%2.1M-21.2M-168.0K1.1612.9231836811,38112,567
2011-03-03$85.01$83.2621.3%6.1%25.5%24.7%20.9%4.4%0.8%2.4M-28.9M-168.4K0.1816.114017211,44112,760
2011-03-04$84.38$83.2620.6%6.1%25.6%22.2%32.9%4.1%1.1%2.3M-22.3M-166.6K1.0827.5317919311,55612,825
2011-03-07$82.85$83.2621.8%6.3%26.5%26.2%21.7%4.7%0.6%2.1M-13.1M-159.4K1.9221.7526550911,53112,986
2011-03-08$83.15$83.2621.0%6.0%26.4%23.6%20.2%4.2%1.5%2.1M-13.6M-161.9K1.4319.4819928511,54013,639
2011-03-09$82.88$83.2619.3%6.1%26.4%17.5%22.1%4.5%1.1%2.2M-11.4M-151.6K0.2815.312246311,60113,624
2011-03-10$81.31$83.2620.8%6.0%27.0%22.7%21.2%5.3%1.4%1.5M-2.7M-147.9K0.4717.5079236911,53213,640
2011-03-11$80.50$83.2624.8%7.1%27.2%36.8%27.3%5.8%-2.1%1.1M1.9M-147.9K1.0420.0224525611,93713,861
2011-03-14$80.37$83.2623.8%6.8%27.1%33.6%23.1%5.1%-0.1%932.3K235.5K-139.4K1.7421.6713623712,00113,507
2011-03-15$79.31$83.2625.3%7.2%27.0%38.6%24.4%5.3%-0.1%316.9K5.8M-135.9K0.7358.0159243512,05613,578
2011-03-16$77.82$83.2627.7%7.9%27.6%47.3%30.6%6.3%-1.5%-99.8K10.6M-135.9K0.8928.1239335012,10913,517
2011-03-17$79.79$83.2624.8%7.1%22.8%37.1%24.9%4.5%-0.2%484.0K2.8M-137.1K0.3471.881,68257112,12213,642
2011-03-18$81.41$83.2621.9%6.3%24.4%26.7%22.4%3.4%1.3%654.7K-11.6M-142.6K0.1122.001,19912913,28713,968
2011-03-21$81.76$83.2619.5%5.6%24.0%18.3%19.7%4.0%1.7%435.6K-3.6M-139.9K0.5320.358754675,9955,933
2011-03-22$81.29$83.2617.7%5.1%21.3%11.7%18.0%7.1%2.7%403.6K-1.7M-144.8K0.3622.19133486,5436,200
2011-03-23$81.91$83.2618.6%5.3%21.3%15.1%20.0%5.8%2.0%475.1K-2.9M-144.7K0.4621.425882716,6316,235
2011-03-24$83.11$83.2618.2%5.2%22.1%13.5%18.9%6.9%3.1%781.5K-8.5M-156.0K0.1026.281,0791097,0556,452
2011-03-25$83.20$83.2618.1%5.2%21.9%13.3%18.3%6.4%2.2%1.2M-12.2M-168.0K0.1821.43139258,0066,448
2011-03-28$83.15$83.2617.6%5.0%21.8%11.5%17.6%6.6%3.1%874.6K-10.0M-150.9K0.5116.8198507,2176,441
2011-03-29$83.52$83.2617.6%5.0%20.2%11.5%17.7%7.2%3.2%962.1K-10.4M-150.0K0.3119.993481097,2686,474
2011-03-30$83.43$83.2618.0%5.2%20.1%12.8%17.7%8.1%2.4%1.3M-13.5M-153.2K0.7825.881761377,4706,553
2011-03-31$83.42$83.2618.1%5.2%19.2%13.4%17.6%3.8%1.6%1.3M-14.1M-153.0K0.4524.463431567,5256,645