APD Options History — November 2011

In November 2011, APD traded between $70.99 and $80.97. ATM implied volatility averaged 32.4%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 4.6% (HV 20d: 37.0%). Max pain ranged from $74.01 to $78.63. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 3.15.

Notable Days

  • 2011-11-16: Highest Volume — 4,570 contracts
  • 2011-11-09: Largest IV spike — 46.9% change
  • 2011-11-17: Highest IV Rank — 44.0%
  • 2011-11-17: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.61$70.99$80.97$76.99$77.47
Max Pain$77.09$74.01$78.63$74.01$74.01
ATM IV32.4%23.4%37.9%34.1%26.1%
Expected Move9.4%7.5%10.9%9.8%7.5%
HV 20d37.0%32.9%39.2%37.4%38.3%
HV 60d36.5%35.5%38.3%38.2%38.3%
IV Rank33.5%15.9%44.0%36.6%21.2%
IV Percentile79.6%56.7%90.5%84.5%65.1%
Term Structure-0.2%-2.8%1.8%0.9%0.7%
VWIV34.1%28.4%41.0%41.0%28.4%
Skew 25d8.9%5.1%12.0%11.7%6.5%
Skew 10d19.4%10.0%24.4%23.0%14.4%
Call IV 25d29.3%24.9%32.4%32.3%24.9%
Put IV 25d38.3%31.4%43.9%43.9%31.4%
Bid-Ask Spread %27.5517.5946.1822.3726.55
Gamma HHI0.280.180.390.240.18
Net GEX912.7K-2.2M3.9M1.6M-1.2M
Net DEX-2.6M-52.8M57.3M-13.0M2.6M
Net VEX-277.7K-325.8K-223.8K-324.8K-232.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.150.2643.493.060.35
Total Volume985.192594,570991837
Total OI37,716.61934,55443,13536,01237,943

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$76.99$74.0134.1%9.8%37.4%36.6%41.0%11.7%0.9%1.6M-13.0M-324.8K3.0622.3724474719,99716,015
2011-11-02$78.58$74.0132.1%9.2%36.3%32.8%37.4%8.1%1.0%2.3M-26.1M-325.8K1.2124.7522927720,00116,352
2011-11-03$79.86$74.0131.2%9.0%36.4%31.1%30.9%7.1%0.9%2.8M-38.3M-322.2K0.3526.572599220,08016,506
2011-11-04$79.34$78.6330.6%9.1%36.5%29.9%29.7%10.6%-0.8%2.7M-34.7M-320.1K0.3117.7954817220,25316,474
2011-11-07$79.99$78.6330.1%8.9%34.5%28.9%30.9%9.7%-0.8%3.1M-40.5M-308.1K0.8128.3130624620,72816,611
2011-11-08$80.97$78.6323.4%7.6%34.0%15.9%30.2%8.8%1.8%3.7M-52.8M-301.7K0.9739.5618617920,83616,751
2011-11-09$77.15$78.6334.3%9.9%38.4%37.1%33.6%12.0%-1.7%2.0M-14.1M-300.3K0.2646.1853213820,96316,696
2011-11-10$78.14$78.6333.4%9.6%38.6%35.3%35.1%10.7%-0.7%2.8M-25.0M-302.1K2.1918.9816335721,20616,785
2011-11-11$79.98$78.6332.4%9.3%39.2%33.5%34.8%10.4%-0.4%3.8M-45.6M-306.9K1.4820.4621031021,33516,998
2011-11-14$79.13$78.6333.1%9.5%38.9%34.9%33.8%10.9%-0.7%3.7M-34.6M-288.8K0.8639.4424120621,34517,291
2011-11-15$79.20$78.6332.9%9.4%37.2%34.3%34.8%10.1%-0.6%3.9M-36.5M-282.2K2.0640.9010120821,36717,392
2011-11-16$77.20$78.6332.5%9.3%37.3%33.7%40.0%9.8%-0.3%2.9M-10.2M-268.6K43.4921.741034,46721,42317,491
2011-11-17$75.12$78.6337.9%10.9%38.5%44.0%37.8%10.3%-2.8%-1.6M22.1M-279.6K1.8238.1945382421,43821,596
2011-11-18$75.00$78.6335.0%10.0%38.5%38.4%33.1%9.7%0.5%-1.9M21.8M-269.0K0.4620.4277836121,39621,739
2011-11-21$73.40$78.6334.5%9.9%39.1%37.5%33.7%8.5%-0.6%-1.5M35.9M-247.0K0.6922.2576953415,28019,274
2011-11-22$72.90$78.6332.5%9.3%39.1%33.5%35.6%8.0%0.6%-1.7M41.4M-240.7K0.8318.2281367615,40119,700
2011-11-23$71.17$78.6336.2%10.4%38.4%40.8%36.9%7.3%-1.0%-2.0M54.5M-230.0K1.7921.408791,57215,63920,206
2011-11-25$70.99$74.0135.7%10.2%32.9%39.8%33.5%6.4%-0.3%-2.2M57.3M-229.0K0.5317.591699015,84521,232
2011-11-28$73.19$74.0131.5%9.0%35.2%31.7%31.8%6.0%0.4%-2.0M39.3M-229.7K0.3634.9738913815,88921,271
2011-11-29$73.02$74.0131.5%9.0%33.2%31.7%33.5%5.1%-0.2%-2.1M41.4M-223.8K2.2232.0027561115,96321,341
2011-11-30$77.47$74.0126.1%7.5%38.3%21.2%28.4%6.5%0.7%-1.2M2.6M-232.1K0.3526.5561821916,07221,871