APD Options History — October 2011

In October 2011, APD traded between $68.33 and $82.71. ATM implied volatility averaged 34.9%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 4.0% (HV 20d: 38.9%). Max pain ranged from $69.38 to $74.01. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.22.

Notable Days

  • 2011-10-21: Highest Volume — 6,461 contracts
  • 2011-10-31: Largest IV spike — 29.5% change
  • 2011-10-03: Highest IV Rank — 66.6%
  • 2011-10-03: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.46$68.33$82.71$68.33$79.69
Max Pain$72.46$69.38$74.01$69.38$74.01
ATM IV34.9%23.2%49.6%49.6%30.0%
Expected Move10.1%6.6%14.2%14.2%8.6%
HV 20d38.9%35.4%42.1%37.9%36.0%
HV 60d39.1%36.9%40.4%36.9%39.7%
IV Rank38.2%15.5%66.6%66.6%28.7%
IV Percentile85.7%57.1%99.6%99.6%77.8%
Term Structure0.7%-2.0%2.9%-2.0%0.3%
VWIV37.2%24.5%56.3%56.3%31.8%
Skew 25d9.7%6.0%13.9%13.9%7.6%
Skew 10d21.8%14.9%28.1%24.0%16.3%
Call IV 25d32.0%22.2%45.1%45.1%26.9%
Put IV 25d41.8%28.5%58.9%58.9%34.5%
Bid-Ask Spread %28.9517.2149.9437.4230.00
Gamma HHI0.210.150.330.190.28
Net GEX1.2M-157.4K3.1M-157.4K2.6M
Net DEX-15.0M-66.5M27.9M27.9M-38.5M
Net VEX-303.7K-325.4K-265.3K-265.3K-325.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.055.731.551.28
Total Volume1,202.7623016,461336711
Total OI31,833.47628,72135,81228,72135,812

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$68.33$69.3849.6%14.2%37.9%66.6%56.3%13.9%-2.0%-157.4K27.9M-265.3K1.5537.4213220414,94313,778
2011-10-04$70.78$69.3846.5%13.3%40.3%60.7%49.8%10.2%-0.3%17.2K19.3M-287.3K0.4330.7976632814,98013,841
2011-10-05$73.20$69.3840.1%11.5%41.0%48.4%43.5%8.9%1.3%288.1K7.2M-298.9K0.6049.9441325015,06014,035
2011-10-06$74.23$69.3839.3%11.3%40.9%46.8%37.6%9.1%1.8%443.2K1.4M-304.5K0.8031.3423718915,19614,122
2011-10-07$74.03$69.3838.4%11.7%39.0%45.1%44.9%9.9%0.1%437.1K2.2M-303.2K1.2818.1332241315,30614,286
2011-10-10$76.78$69.3835.6%10.7%40.7%39.6%37.6%10.0%-0.7%843.4K-14.4M-314.5K0.2221.833858615,73214,670
2011-10-11$75.61$69.3839.4%11.5%40.9%47.0%37.3%9.8%-0.3%726.1K-6.5M-304.6K0.3029.772317015,69014,571
2011-10-12$76.61$74.0132.8%10.1%40.8%34.1%35.5%10.5%0.4%899.3K-12.7M-301.7K0.4224.8566327915,60414,591
2011-10-13$76.69$74.0134.3%9.8%40.1%37.0%38.8%10.6%0.9%1.1M-13.1M-301.1K0.4736.4028513516,09614,726
2011-10-14$77.76$74.0133.3%9.5%40.3%35.2%36.1%9.6%0.9%1.4M-20.9M-299.3K5.7322.1413678016,20014,882
2011-10-17$76.45$74.0134.5%9.9%40.7%37.5%38.5%10.3%0.8%944.3K-10.6M-292.8K1.2417.2135043316,31215,325
2011-10-18$78.93$74.0134.5%9.9%42.1%37.5%40.1%10.2%0.0%1.5M-29.5M-300.1K0.3924.3653621116,52015,584
2011-10-19$77.00$74.0136.2%10.4%38.7%40.8%38.4%11.6%0.9%1.2M-14.8M-298.5K0.5420.631,19163916,62015,676
2011-10-20$76.85$74.0136.8%10.6%37.4%42.0%40.7%10.5%0.7%1.4M-15.3M-311.8K2.6835.2033389117,33516,037
2011-10-21$76.54$74.0130.0%8.6%37.5%28.8%30.1%10.8%2.9%369.9K-12.0M-293.4K0.2227.225,2911,17017,38416,671
2011-10-24$76.92$74.0129.1%8.3%36.4%27.1%29.4%10.5%2.1%1.8M-16.2M-323.8K0.0522.321,2316519,01914,560
2011-10-25$76.27$74.0135.1%10.1%35.7%38.7%32.0%10.4%-1.8%1.7M-12.8M-317.5K0.9735.8239538219,10014,604
2011-10-26$78.21$74.0127.9%8.0%35.4%24.6%33.4%7.8%2.1%2.2M-24.6M-318.3K5.0535.792771,39819,12214,664
2011-10-27$82.10$74.0125.4%7.3%38.9%19.8%25.7%6.2%1.7%2.8M-63.2M-301.1K0.6526.081,03067219,21515,437
2011-10-28$82.71$74.0123.2%6.6%35.4%15.5%24.5%6.0%2.6%3.1M-66.5M-313.9K0.7230.721,01573319,61715,580
2011-10-31$79.69$74.0130.0%8.6%36.0%28.7%31.8%7.6%0.3%2.6M-38.5M-325.4K1.2830.0031140019,94615,866