APD Options History — May 2011

In May 2011, APD traded between $82.80 and $87.96. ATM implied volatility averaged 19.7%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 2.2% (HV 20d: 17.5%). Max pain ranged from $78.63 to $83.26. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.57.

Notable Days

  • 2011-05-25: Highest Volume — 1,685 contracts
  • 2011-05-05: Largest IV spike — 21.8% change
  • 2011-05-05: Highest IV Rank — 30.1%
  • 2011-05-05: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.55$82.80$87.96$87.67$87.96
Max Pain$79.51$78.63$83.26$83.26$78.63
ATM IV19.7%16.3%22.9%17.8%17.0%
Expected Move5.7%4.7%6.5%5.1%4.9%
HV 20d17.5%16.3%19.0%16.3%19.0%
HV 60d19.4%17.9%21.2%20.4%18.0%
IV Rank19.7%7.7%30.1%12.0%10.8%
IV Percentile23.1%1.6%53.6%6.0%4.4%
Term Structure1.3%-0.3%2.5%0.8%1.4%
VWIV20.0%16.8%22.9%17.2%17.3%
Skew 25d4.6%3.2%7.1%3.2%3.8%
Skew 10d11.2%7.0%15.3%7.7%7.9%
Call IV 25d17.9%13.1%20.8%17.4%16.0%
Put IV 25d22.4%18.8%25.5%20.6%19.8%
Bid-Ask Spread %29.0015.1553.8323.6623.62
Gamma HHI0.300.220.400.350.40
Net GEX1.9M642.3K2.8M2.6M2.7M
Net DEX-16.1M-33.0M1.2M-33.0M-28.6M
Net VEX-223.4K-249.5K-202.0K-202.0K-208.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.0119.232.100.38
Total Volume553.1431191,685356428
Total OI20,980.42919,00922,43719,07820,756

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$87.67$83.2617.8%5.1%16.3%12.0%17.2%3.2%0.8%2.6M-33.0M-202.0K2.1023.661152419,2389,840
2011-05-03$87.29$83.2618.4%5.3%16.5%14.2%20.3%7.1%1.1%2.5M-30.1M-209.7K1.8736.332154039,24610,044
2011-05-04$86.11$83.2618.8%5.4%16.5%15.6%20.5%5.1%0.6%2.3M-22.4M-212.9K19.2333.16711,3729,28810,335
2011-05-05$85.25$83.2622.9%6.5%16.9%30.1%21.9%4.2%-0.3%1.8M-13.6M-243.4K0.4325.514842069,30611,588
2011-05-06$85.57$78.6322.2%6.3%16.3%27.8%20.7%5.0%1.5%2.0M-15.6M-249.5K0.5518.702851579,54811,718
2011-05-09$86.61$78.6318.7%5.5%16.7%15.4%22.9%4.5%1.7%2.4M-22.7M-241.2K0.6716.1685579,61011,842
2011-05-10$87.64$78.6318.0%5.4%16.7%12.8%22.3%3.6%2.1%2.8M-30.8M-230.3K0.6115.1595589,62211,887
2011-05-11$86.01$78.6318.8%5.4%17.2%15.6%19.7%4.8%2.5%2.3M-19.4M-237.4K0.9420.021241179,66411,915
2011-05-12$85.36$78.6321.4%6.1%17.5%25.0%21.2%4.6%1.5%2.1M-14.8M-235.6K2.2619.051683799,68912,010
2011-05-13$83.87$78.6321.5%6.2%18.6%25.4%20.1%4.7%1.4%1.4M-5.8M-234.0K0.2144.56465999,71412,181
2011-05-16$84.06$78.6322.0%6.3%18.0%27.0%21.5%4.4%0.7%1.5M-6.6M-229.2K0.0153.8311819,95512,220
2011-05-17$82.80$78.6322.2%6.4%18.0%27.8%21.8%4.7%0.3%1.1M1.2M-226.7K1.0521.211491579,95912,222
2011-05-18$84.56$78.6321.1%6.1%18.6%24.1%19.3%4.4%1.8%1.7M-10.1M-221.2K0.2548.122426110,00912,301
2011-05-19$85.12$78.6320.8%6.0%17.5%23.0%20.7%5.0%1.7%1.8M-13.8M-219.9K0.1743.044407710,04112,276
2011-05-20$84.43$78.6320.6%5.9%17.7%24.2%19.8%4.1%1.4%1.5M-11.9M-215.3K0.2925.6036410610,18212,255
2011-05-23$83.84$78.6320.0%5.7%17.8%23.0%19.9%4.6%0.7%642.3K-821.7K-207.3K0.0618.861,019568,01210,997
2011-05-24$84.23$78.6319.6%5.6%17.2%21.1%20.8%3.8%1.1%1.2M-5.2M-214.4K0.1919.416001158,85311,034
2011-05-25$85.49$78.6319.8%5.7%18.3%21.9%16.8%5.0%1.3%1.8M-14.3M-216.1K0.1839.081,4282579,03411,039
2011-05-26$85.80$78.6316.6%4.8%18.0%8.9%17.5%3.5%1.4%2.0M-15.8M-220.5K1.1626.732572989,19111,271
2011-05-27$86.92$78.6316.3%4.7%18.7%7.7%17.0%5.7%1.8%2.5M-22.9M-216.0K0.4137.23175729,33011,367
2011-05-31$87.96$78.6317.0%4.9%19.0%10.8%17.3%3.8%1.4%2.7M-28.6M-208.8K0.3823.623091199,35711,399