APD Options History — August 2011

In August 2011, APD traded between $69.20 and $81.90. ATM implied volatility averaged 37.8%, placing in the 55.0% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 1.6% (HV 20d: 39.4%). Max pain ranged from $78.63 to $87.88. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 1.07.

Notable Days

  • 2011-08-08: Highest Volume — 3,611 contracts
  • 2011-08-08: Largest IV spike — 74.3% change
  • 2011-08-04: Highest IV Rank — 100.0%
  • 2011-08-08: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.45$69.20$81.90$81.90$75.74
Max Pain$82.65$78.63$87.88$87.88$78.63
ATM IV37.8%24.8%66.8%24.8%32.0%
Expected Move10.4%7.1%13.2%7.1%9.2%
HV 20d39.4%18.7%49.3%18.7%47.5%
HV 60d28.9%20.6%32.4%20.6%32.3%
IV Rank55.0%33.7%100.0%55.7%33.7%
IV Percentile97.1%91.3%100.0%91.3%92.1%
Term Structure-2.5%-8.2%0.9%-0.5%-0.1%
VWIV36.3%27.0%44.9%27.0%33.0%
Skew 25d9.3%4.3%12.8%4.3%7.4%
Skew 10d18.8%4.4%26.7%10.3%15.5%
Call IV 25d32.2%24.7%40.0%24.8%28.4%
Put IV 25d41.5%29.1%51.4%29.1%35.8%
Bid-Ask Spread %31.2716.3348.5920.5248.59
Gamma HHI0.240.180.300.180.26
Net GEX-1.3M-2.3M-781.1K-781.1K-1.3M
Net DEX47.6M23.7M69.9M23.7M29.7M
Net VEX-219.4K-255.4K-175.8K-255.4K-218.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.073.761.251.19
Total Volume1,198.6091893,6112,0221,065
Total OI27,755.78323,38831,02525,87426,015

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$81.90$87.8824.8%7.1%18.7%55.7%27.0%4.3%-0.5%-781.1K23.7M-255.4K1.2520.528991,12311,42514,449
2011-08-02$78.84$87.8828.6%8.2%22.1%75.7%27.9%6.5%-1.4%-1.2M37.6M-246.1K0.6616.3394562511,81414,770
2011-08-03$79.91$87.8827.2%7.8%22.9%68.3%27.6%5.8%-0.2%-1.2M34.7M-250.9K0.3527.9744015211,89315,017
2011-08-04$75.93$87.8838.3%11.0%27.2%100.0%35.5%6.4%-2.2%-1.3M48.3M-239.6K0.7434.241,08180112,08015,086
2011-08-05$76.09$83.2638.3%10.1%27.4%100.0%37.0%8.2%-2.2%-1.1M46.7M-247.1K1.4339.5165893812,88615,613
2011-08-08$71.46$83.2666.8%13.2%33.5%100.0%44.9%10.9%-7.0%-1.2M59.9M-227.3K3.7629.797582,85312,93016,170
2011-08-09$74.24$83.2640.6%10.5%37.7%50.1%42.1%11.2%-3.6%-1.4M62.5M-230.4K2.7340.4931285313,30717,718
2011-08-10$71.99$83.2649.4%11.6%38.3%66.8%39.5%12.8%-3.9%-1.4M62.8M-224.7K0.7643.1038329213,43117,273
2011-08-11$75.26$83.2638.6%11.1%42.9%46.2%37.4%10.7%-4.6%-1.1M51.7M-240.2K0.8021.2473859313,50617,232
2011-08-12$75.85$83.2637.4%10.7%43.0%44.0%37.7%9.9%-3.1%-927.7K49.3M-240.0K2.1237.336521,38413,67517,234
2011-08-15$76.11$83.2634.7%9.9%43.1%38.8%36.6%9.0%-2.2%-1.2M52.2M-230.6K0.4632.4671733013,45017,532
2011-08-16$75.55$83.2634.7%9.9%42.4%38.7%34.5%8.3%-2.1%-1.1M49.6M-224.6K1.3425.5037449913,48316,723
2011-08-17$75.44$83.2632.9%9.4%42.4%35.4%31.2%7.7%-1.1%-1.2M50.3M-223.5K0.6242.4544027513,65316,850
2011-08-18$71.08$83.2644.4%12.7%45.5%57.4%40.1%12.2%-8.2%-1.5M65.8M-196.7K0.4334.4958424913,74516,705
2011-08-19$69.60$83.2644.4%12.7%44.6%57.2%42.0%12.1%-6.0%-2.3M69.9M-181.6K3.3239.9119063113,75016,709
2011-08-22$69.20$83.2642.3%12.1%44.5%53.3%40.9%12.2%-3.7%-1.3M51.6M-175.8K0.2723.179972689,84413,544
2011-08-23$70.78$78.6340.1%11.5%46.0%49.2%36.8%10.8%-1.6%-1.4M50.4M-178.9K0.3630.2366624110,36813,650
2011-08-24$71.75$78.6334.3%9.8%46.6%37.9%39.2%10.6%0.9%-1.4M46.4M-188.5K1.0727.1141043910,46813,725
2011-08-25$71.68$78.6341.4%11.9%46.7%51.6%41.8%10.8%-3.1%-1.3M45.9M-197.1K0.3717.261385110,67914,091
2011-08-26$72.75$78.6333.4%9.6%47.3%36.3%36.6%10.3%-0.3%-1.5M44.3M-197.0K0.3236.942337610,76514,131
2011-08-29$75.16$78.6332.2%9.2%49.3%34.1%32.2%8.4%-0.3%-1.4M33.6M-209.9K0.2728.511,30434710,78614,156
2011-08-30$75.95$78.6332.6%9.4%47.8%34.9%32.9%8.2%-0.1%-1.2M28.0M-221.2K0.0722.085253911,86914,183
2011-08-31$75.74$78.6332.0%9.2%47.5%33.7%33.0%7.4%-0.1%-1.3M29.7M-218.2K1.1948.5948657911,81514,200