APD Options History — June 2011

In June 2011, APD traded between $82.90 and $88.42. ATM implied volatility averaged 21.4%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 1.5% (HV 20d: 22.9%). Max pain ranged from $78.63 to $83.26. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.96.

Notable Days

  • 2011-06-15: Highest Volume — 1,415 contracts
  • 2011-06-15: Largest IV spike — 21.7% change
  • 2011-06-16: Highest IV Rank — 55.1%
  • 2011-06-16: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.17$82.90$88.42$85.20$88.42
Max Pain$83.05$78.63$83.26$78.63$83.26
ATM IV21.4%18.1%24.7%22.1%18.1%
Expected Move6.2%5.2%7.1%6.3%5.2%
HV 20d22.9%20.5%24.4%22.1%21.1%
HV 60d19.1%18.3%19.7%18.8%19.6%
IV Rank35.5%20.0%55.1%31.5%20.0%
IV Percentile44.1%9.9%84.5%52.0%9.9%
Term Structure1.1%-0.6%2.6%-0.1%2.4%
VWIV21.9%18.2%27.5%21.8%21.8%
Skew 25d4.7%0.9%7.1%0.9%4.9%
Skew 10d11.3%0.4%17.8%0.4%8.8%
Call IV 25d19.7%16.3%23.2%19.5%16.3%
Put IV 25d24.4%20.4%28.6%20.4%21.2%
Bid-Ask Spread %35.4918.0964.3556.7824.40
Gamma HHI0.300.230.510.330.35
Net GEX1.5M313.5K4.5M1.9M1.7M
Net DEX-8.7M-22.6M2.3M-14.7M-22.6M
Net VEX-220.9K-245.4K-205.0K-209.3K-233.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.043.282.490.11
Total Volume770.4093041,415688465
Total OI20,472.515,58823,94620,96019,161

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$85.20$78.6322.1%6.3%22.1%31.5%21.8%0.9%-0.1%1.9M-14.7M-209.3K2.4956.781974919,51111,449
2011-06-02$84.99$83.2620.9%6.0%21.7%26.4%20.8%3.5%0.3%1.7M-11.6M-212.0K2.5836.021012599,52911,725
2011-06-03$82.91$83.2620.4%6.1%23.1%24.4%23.3%4.7%1.4%656.7K836.9K-207.4K0.9764.352692629,56611,828
2011-06-06$82.90$83.2622.0%6.4%23.0%30.9%20.5%4.7%0.7%647.0K1.6M-206.4K0.0420.13395169,59411,977
2011-06-07$83.81$83.2620.6%6.1%22.9%27.1%20.5%4.1%1.2%1.2M-4.3M-205.0K0.0726.34332239,88311,970
2011-06-08$84.00$83.2620.6%6.2%22.4%27.1%24.3%4.9%0.8%1.4M-5.8M-205.7K1.8427.9939172110,08211,969
2011-06-09$85.71$83.2618.7%5.4%22.8%22.9%19.1%4.7%2.6%2.5M-17.9M-211.9K0.2750.2691524910,29112,195
2011-06-10$84.34$83.2622.5%6.5%23.4%43.4%22.2%4.6%0.7%1.9M-11.1M-214.2K0.4931.8171735110,58512,153
2011-06-13$85.41$83.2623.2%6.7%22.9%47.1%22.5%4.9%0.3%2.3M-15.8M-214.2K0.3924.5330211810,64912,384
2011-06-14$86.27$83.2620.3%5.8%23.2%31.5%23.6%4.3%1.4%3.0M-22.2M-208.9K0.9422.2015714710,76712,443
2011-06-15$84.09$83.2624.7%7.1%24.4%55.0%22.3%6.1%-0.6%1.4M-8.5M-216.7K3.2828.633311,08410,82012,576
2011-06-16$83.65$83.2624.7%7.1%23.3%55.1%27.5%5.4%0.7%1.2M-2.6M-222.2K1.1254.7218520810,71113,130
2011-06-17$83.29$83.2624.0%6.9%23.2%51.4%23.5%5.9%1.3%4.5M-696.4K-220.6K0.2263.761,13725210,68613,260
2011-06-20$84.35$83.2623.2%6.6%23.5%46.9%22.4%5.8%0.5%313.5K2.3M-220.4K0.8022.553152536,2829,306
2011-06-21$85.57$83.2621.7%6.2%23.9%38.9%19.9%5.2%2.1%577.2K-2.8M-221.8K0.1722.698231426,5349,529
2011-06-22$86.00$83.2618.8%5.4%23.9%23.8%19.4%5.3%2.4%893.1K-6.3M-226.1K0.1750.20303517,0619,500
2011-06-23$86.01$83.2622.7%6.5%23.3%44.5%21.1%1.2%0.8%866.7K-5.9M-231.0K1.4327.695788277,3369,537
2011-06-24$86.02$83.2620.6%5.9%23.3%33.2%23.4%7.1%1.8%936.5K-7.2M-244.6K1.7121.964838267,62610,175
2011-06-27$86.04$83.2620.8%6.0%22.8%34.3%22.8%6.5%1.7%808.0K-7.1M-245.4K1.0918.091581727,92710,811
2011-06-28$87.73$83.2621.4%6.1%23.5%37.8%18.2%3.7%-0.3%1.2M-14.7M-240.6K0.2859.571,0722968,00310,837
2011-06-29$87.04$83.2619.4%5.6%20.5%27.1%21.9%4.2%1.7%1.2M-14.0M-242.5K0.6426.203512248,03111,006
2011-06-30$88.42$83.2618.1%5.2%21.1%20.0%21.8%4.9%2.4%1.7M-22.6M-233.1K0.1124.40417488,09911,062