APD Options History — April 2011

In April 2011, APD traded between $83.05 and $88.51. ATM implied volatility averaged 18.2%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.8% (HV 20d: 16.3%). Max pain ranged from $83.26 to $83.26. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.04.

Notable Days

  • 2011-04-19: Highest Volume — 2,971 contracts
  • 2011-04-14: Largest IV spike — 17.3% change
  • 2011-04-14: Highest IV Rank — 23.7%
  • 2011-04-11: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.48$83.05$88.51$83.70$88.36
Max Pain$83.26$83.26$83.26$83.26$83.26
ATM IV18.2%15.2%21.1%16.9%17.0%
Expected Move5.5%4.3%6.2%4.9%4.9%
HV 20d16.3%13.0%19.1%19.1%15.9%
HV 60d20.6%19.9%21.3%19.9%20.4%
IV Rank13.5%2.8%23.7%9.1%9.3%
IV Percentile8.3%0.4%27.8%1.2%2.8%
Term Structure0.7%-1.1%3.8%3.8%1.2%
VWIV18.8%13.5%23.0%16.1%16.8%
Skew 25d4.4%2.8%7.6%7.6%3.5%
Skew 10d10.0%7.4%14.7%12.2%7.6%
Call IV 25d17.2%12.2%20.2%12.2%15.8%
Put IV 25d21.6%17.4%25.0%19.8%19.4%
Bid-Ask Spread %24.5916.7536.4922.2222.22
Gamma HHI0.310.280.360.280.36
Net GEX2.1M1.5M2.7M1.5M2.7M
Net DEX-24.0M-37.1M-13.7M-15.4M-37.1M
Net VEX-175.5K-215.4K-146.9K-154.0K-202.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.037.040.030.93
Total Volume770.351232,971166123
Total OI16,816.514,55919,01914,55919,019

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$83.70$83.2616.9%4.9%19.1%9.1%16.1%7.6%3.8%1.5M-15.4M-154.0K0.0322.2216157,7936,766
2011-04-04$83.94$83.2618.2%5.9%17.9%13.6%19.3%4.1%0.0%1.6M-17.9M-146.9K0.1417.60216297,9226,771
2011-04-05$85.31$83.2617.2%6.1%18.7%9.9%20.4%4.4%-0.8%1.9M-25.0M-148.7K1.1523.625566398,0986,788
2011-04-06$85.56$83.2617.5%6.0%18.6%11.0%18.6%4.8%-1.1%2.0M-26.2M-150.8K0.8017.804383518,2557,037
2011-04-07$84.55$83.2617.8%5.9%17.7%12.3%20.5%4.2%-0.4%1.8M-22.8M-154.8K0.8522.374323708,5417,214
2011-04-08$85.12$83.2619.5%6.1%17.2%18.3%21.1%5.2%-0.2%2.1M-25.5M-158.6K0.9720.515975778,5966,996
2011-04-11$84.36$83.2620.5%6.2%17.6%21.7%20.8%5.0%-0.7%2.0M-21.7M-159.3K0.7625.191541178,8477,426
2011-04-12$83.05$83.2620.8%6.1%17.9%22.8%21.1%5.3%-0.5%1.9M-14.9M-160.4K3.1620.754281,3539,0897,483
2011-04-13$83.33$83.2617.9%5.9%16.1%12.7%19.9%5.0%0.5%2.2M-13.7M-168.2K0.6524.334312809,0128,152
2011-04-14$83.78$83.2621.1%6.0%13.9%23.7%20.6%3.5%0.3%2.6M-18.1M-168.9K0.3619.084281549,0838,337
2011-04-15$84.94$83.2619.4%5.5%13.0%17.7%19.1%3.5%0.6%1.8M-25.7M-166.1K0.0835.99858679,1568,440
2011-04-18$83.73$83.2620.6%5.9%14.2%22.0%23.0%4.9%-0.0%1.5M-14.4M-163.3K2.2016.751393077,8887,327
2011-04-19$85.16$83.2618.7%5.4%15.0%15.4%19.0%2.9%1.7%1.8M-19.9M-158.7K7.0435.893702,6017,9207,568
2011-04-20$86.70$83.2618.2%5.2%15.9%13.7%18.6%3.6%0.4%1.9M-24.3M-207.7K0.0825.521,026798,1679,426
2011-04-21$86.88$83.2615.2%4.3%15.3%2.8%16.2%2.8%2.2%2.2M-26.4M-215.4K0.2623.026091618,7379,473
2011-04-25$86.98$83.2616.4%4.7%15.3%7.2%16.5%6.4%2.0%2.3M-28.1M-209.4K0.2036.49259518,9299,586
2011-04-26$87.98$83.2616.4%4.7%15.6%7.0%13.5%3.4%1.9%2.6M-33.8M-207.7K0.5725.043552019,1249,599
2011-04-27$87.72$83.2617.2%4.9%15.7%10.0%17.4%4.3%0.9%2.5M-32.2M-207.9K0.3332.34189639,0939,734
2011-04-28$88.51$83.2617.0%4.9%15.8%9.5%17.5%4.4%1.3%2.6M-36.6M-201.7K0.2325.12189449,1599,779
2011-04-29$88.36$83.2617.0%4.9%15.9%9.3%16.8%3.5%1.2%2.7M-37.1M-202.4K0.9322.2264599,2139,806