APD Options History — July 2011

In July 2011, APD traded between $82.08 and $90.46. ATM implied volatility averaged 21.1%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.8% (HV 20d: 18.4%). Max pain ranged from $83.26 to $87.88. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.36.

Notable Days

  • 2011-07-25: Highest Volume — 2,199 contracts
  • 2011-07-08: Largest IV spike — 24.6% change
  • 2011-07-29: Highest IV Rank — 54.0%
  • 2011-07-29: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.80$82.08$90.46$89.22$82.08
Max Pain$86.26$83.26$87.88$83.26$87.88
ATM IV21.1%15.3%24.5%17.8%24.5%
Expected Move6.1%5.1%7.0%5.1%7.0%
HV 20d18.4%15.3%21.5%18.7%19.3%
HV 60d19.8%19.0%20.9%19.7%20.7%
IV Rank36.2%5.1%54.0%18.3%54.0%
IV Percentile46.5%0.8%86.5%7.5%86.5%
Term Structure0.4%-0.7%2.6%2.6%0.1%
VWIV21.9%18.3%24.9%18.3%24.9%
Skew 25d5.5%4.1%9.5%9.5%4.7%
Skew 10d12.1%9.2%15.8%14.8%9.5%
Call IV 25d19.4%10.3%24.7%10.3%24.7%
Put IV 25d24.9%19.8%29.4%19.8%29.4%
Bid-Ask Spread %33.5420.3261.2138.1925.73
Gamma HHI0.270.180.380.360.18
Net GEX1.6M-427.8K3.5M1.8M-427.8K
Net DEX-11.2M-41.6M19.2M-26.9M19.2M
Net VEX-252.7K-273.2K-222.2K-231.6K-265.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.026.430.280.80
Total Volume962.41572,199792907
Total OI23,080.9519,33425,91419,33425,675

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$89.22$83.2617.8%5.1%18.7%18.3%18.3%9.5%2.6%1.8M-26.9M-231.6K0.2838.196181748,23511,099
2011-07-05$89.07$83.2618.9%5.9%18.8%24.0%19.6%5.0%0.4%2.1M-27.9M-229.9K0.2629.144731248,66311,172
2011-07-06$89.55$83.2618.6%5.8%18.6%22.6%18.5%4.9%0.5%2.2M-31.4M-222.2K0.0231.301,614308,96511,285
2011-07-07$90.46$83.2615.3%5.2%18.7%5.1%20.0%4.9%0.6%2.9M-41.6M-238.7K0.2435.4176518110,50711,308
2011-07-08$89.75$83.2619.1%5.9%18.1%25.2%22.8%5.0%0.2%3.1M-37.4M-246.9K2.3636.8812028311,03611,333
2011-07-11$88.16$83.2623.2%6.1%18.4%46.9%21.7%5.4%0.1%2.9M-25.7M-248.4K1.6725.5530150110,91311,528
2011-07-12$87.64$83.2621.6%6.1%18.1%38.3%21.5%5.1%-0.2%3.0M-20.4M-247.7K0.4520.3270231711,10211,886
2011-07-13$87.81$87.8820.7%5.9%17.9%33.7%22.8%4.8%0.2%3.4M-21.1M-254.6K1.5027.34639411,32812,177
2011-07-14$86.90$87.8821.2%6.1%15.5%36.2%24.4%5.9%0.0%3.3M-12.8M-250.2K3.7836.012781,05011,46112,237
2011-07-15$87.22$87.8820.9%6.0%15.3%34.9%24.6%5.9%0.8%3.5M-10.3M-255.6K6.4330.9012681311,34712,877
2011-07-18$85.96$87.8820.9%6.0%16.3%34.7%22.5%6.3%0.5%603.4K-1.9M-254.2K1.4324.581982829,85211,957
2011-07-19$87.14$87.8820.5%5.9%16.4%32.6%21.0%5.5%0.5%1.0M-8.4M-255.0K1.1520.633183659,98612,179
2011-07-20$87.08$87.8820.3%5.8%15.7%31.6%20.4%4.9%0.4%990.9K-8.1M-259.6K0.0223.157951310,25512,476
2011-07-21$88.26$87.8820.8%6.0%16.3%34.4%20.8%5.2%0.5%1.7M-18.2M-263.9K0.4547.7257225611,00112,486
2011-07-22$85.01$87.8823.5%6.8%21.3%48.9%22.3%5.7%1.1%637.3K1.3M-261.4K4.0161.213971,59211,22312,594
2011-07-25$84.92$87.8824.4%7.0%21.3%53.5%21.7%5.4%-0.2%354.7K4.4M-273.2K0.3521.121,62957011,37513,611
2011-07-26$84.15$87.8823.9%6.9%21.5%51.0%22.4%5.8%-0.7%91.6K8.6M-266.5K1.0254.3160962211,21113,783
2011-07-27$83.15$87.8823.3%6.7%20.4%47.8%24.4%5.1%-0.4%-293.6K15.8M-264.0K0.6447.9242426911,48814,094
2011-07-28$82.39$87.8823.6%6.8%20.5%49.2%22.7%4.1%0.3%-405.1K18.9M-263.8K0.4233.3456523811,66614,248
2011-07-29$82.08$87.8824.5%7.0%19.3%54.0%24.9%4.7%0.1%-427.8K19.2M-265.9K0.8025.7350340411,43814,237