APD Options History — September 2011

In September 2011, APD traded between $70.54 and $76.35. ATM implied volatility averaged 35.4%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 0.7% (HV 20d: 34.7%). Max pain ranged from $69.38 to $78.63. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2011-09-23: Highest Volume — 6,454 contracts
  • 2011-09-07: Largest IV drop — 22.6% change
  • 2011-09-30: Highest IV Rank — 59.3%
  • 2011-09-30: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.73$70.54$76.35$75.37$70.65
Max Pain$74.67$69.38$78.63$78.63$69.38
ATM IV35.4%28.0%45.8%31.8%45.8%
Expected Move10.2%8.9%13.1%9.1%13.1%
HV 20d34.7%27.1%44.4%44.0%36.7%
HV 60d33.8%32.0%36.4%32.3%36.4%
IV Rank39.3%24.8%59.3%33.3%59.3%
IV Percentile93.3%87.7%99.2%91.7%99.2%
Term Structure0.1%-1.0%1.1%-0.2%-0.6%
VWIV37.3%27.9%49.8%27.9%49.8%
Skew 25d9.8%8.1%12.3%8.1%12.3%
Skew 10d21.3%15.0%28.4%15.0%21.7%
Call IV 25d32.4%27.2%40.5%27.7%40.5%
Put IV 25d42.1%35.7%52.8%35.9%52.8%
Bid-Ask Spread %31.7715.7362.8762.8737.51
Gamma HHI0.220.150.360.260.17
Net GEX-783.3K-1.6M292.5K-1.2M43.0K
Net DEX26.8M3.9M49.0M29.1M18.3M
Net VEX-242.0K-315.5K-199.7K-222.6K-291.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.123.012.741.00
Total Volume1,124.191326,4541,525613
Total OI26,775.95219,09930,73226,48228,362

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$75.37$78.6331.8%9.1%44.0%33.3%27.9%8.1%-0.2%-1.2M29.1M-222.6K2.7462.874081,11712,21314,269
2011-09-02$74.04$78.6331.5%9.0%44.4%32.6%31.9%8.8%1.1%-1.4M38.7M-228.0K0.8915.7313411912,47115,298
2011-09-06$74.27$78.6336.1%9.7%38.0%40.7%36.9%9.1%-0.3%-1.4M37.0M-226.7K1.5230.5217226112,50715,372
2011-09-07$76.35$78.6328.0%8.9%36.8%24.8%30.5%8.3%0.2%-1.2M27.1M-229.0K0.3520.6529410212,58915,395
2011-09-08$75.00$74.0134.1%9.7%35.6%36.7%34.7%10.2%-0.4%-1.4M34.1M-221.5K0.2622.771052712,67715,395
2011-09-09$72.52$74.0136.1%10.4%34.0%40.6%45.0%10.5%-1.0%-1.5M44.3M-209.3K1.1727.9432438112,78015,404
2011-09-12$71.75$74.0137.4%10.4%34.0%43.0%36.7%11.3%-0.7%-1.5M49.0M-199.7K0.9517.0668665413,01615,670
2011-09-13$72.89$74.0131.9%10.0%34.5%32.4%34.2%10.8%0.1%-1.6M44.4M-210.5K0.1234.971,17913913,36516,023
2011-09-14$74.12$74.0129.9%9.6%35.1%28.7%37.8%10.1%0.8%-1.6M32.6M-225.1K0.6221.7333220614,33815,906
2011-09-15$75.77$74.0132.7%9.4%36.1%33.9%37.3%10.1%1.1%-1.2M22.4M-226.6K1.9420.8922744014,35416,058
2011-09-16$76.19$74.0131.9%9.1%28.3%32.4%31.3%9.1%0.8%-592.0K19.1M-226.3K0.2831.9152114414,46816,264
2011-09-19$75.47$74.0132.4%9.3%27.3%33.4%34.2%9.1%-0.6%-522.0K20.1M-219.3K0.7925.206154868,01111,088
2011-09-20$76.02$74.0131.4%9.0%27.1%31.5%29.6%8.2%0.5%-398.5K16.5M-231.2K0.1624.471,8512978,55811,525
2011-09-21$72.28$74.0133.6%9.6%32.5%35.6%35.9%8.6%0.4%-606.8K28.3M-216.2K3.0147.304961,4939,51811,489
2011-09-22$70.54$74.0141.0%11.7%33.4%50.0%39.7%10.8%-0.1%-748.0K35.4M-221.8K0.9437.634314059,85512,655
2011-09-23$70.97$74.0142.8%12.3%33.5%53.6%41.0%10.2%0.2%-647.0K32.2M-239.6K0.1251.385,73971510,08912,973
2011-09-26$72.94$74.0139.3%11.3%34.5%46.8%43.6%10.4%0.5%242.2K10.2M-315.5K0.2437.6157514115,00913,411
2011-09-27$74.79$74.0138.0%10.9%33.7%44.3%38.9%10.0%0.6%292.5K3.9M-312.6K0.1432.1289112214,25813,506
2011-09-28$73.08$74.0138.7%11.1%34.3%45.6%42.2%9.5%-0.0%126.5K12.2M-300.5K0.4432.2336416014,41113,523
2011-09-29$73.35$74.0139.5%11.3%34.4%47.1%43.7%10.2%0.5%250.0K7.6M-309.6K0.3934.631746814,65213,570
2011-09-30$70.65$69.3845.8%13.1%36.7%59.3%49.8%12.3%-0.6%43.0K18.3M-291.6K1.0037.5130730614,78913,573