APD Options History — December 2011

In December 2011, APD traded between $74.45 and $79.94. ATM implied volatility averaged 25.3%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 8.1% (HV 20d: 33.4%). Max pain ranged from $74.01 to $74.01. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2011-12-06: Highest Volume — 4,245 contracts
  • 2011-12-12: Largest IV spike — 29.7% change
  • 2011-12-08: Highest IV Rank — 32.5%
  • 2011-12-08: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.09$74.45$79.94$76.45$78.81
Max Pain$74.01$74.01$74.01$74.01$74.01
ATM IV25.3%20.6%31.9%26.0%22.0%
Expected Move7.2%5.9%8.6%7.4%6.3%
HV 20d33.4%24.2%37.9%37.8%24.2%
HV 60d36.2%32.9%38.0%38.0%32.9%
IV Rank19.7%10.6%32.5%21.0%13.3%
IV Percentile53.8%23.0%74.6%64.7%38.5%
Term Structure2.3%-0.3%3.9%0.9%3.1%
VWIV25.9%20.9%32.0%27.0%23.4%
Skew 25d6.2%4.1%7.9%5.9%4.7%
Skew 10d13.3%9.1%17.3%9.6%11.4%
Call IV 25d22.9%18.8%26.0%25.7%20.9%
Put IV 25d29.1%23.6%33.5%31.6%25.5%
Bid-Ask Spread %21.0012.5437.3319.0712.54
Gamma HHI0.270.200.380.200.30
Net GEX55.7K-2.5M2.4M-1.1M2.4M
Net DEX315.2K-21.3M29.2M5.9M-19.9M
Net VEX-186.4K-222.6K-153.6K-222.6K-221.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.073.822.570.14
Total Volume1,212.5242264,2451,118226
Total OI29,982.71415,63041,46338,09420,013

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$76.45$74.0126.0%7.4%37.8%21.0%27.0%5.9%0.9%-1.1M5.9M-222.6K2.5719.0731380516,29721,797
2011-12-02$75.82$74.0129.6%8.5%37.3%28.0%32.0%6.9%-0.3%-1.3M11.6M-212.3K1.9716.4231562016,46921,561
2011-12-05$77.12$74.0126.7%7.6%37.9%22.4%27.9%7.5%1.6%-693.0K-2.0M-209.3K1.6624.5850684216,72821,648
2011-12-06$76.61$74.0124.7%7.4%37.7%18.6%28.1%7.6%2.0%-886.5K2.5M-197.9K0.0823.213,93231316,63421,495
2011-12-07$77.28$74.0126.2%7.4%37.6%21.4%28.4%7.3%1.7%-1.1M1.7M-194.0K0.3522.0633511615,87421,828
2011-12-08$76.04$74.0131.9%8.6%33.9%32.5%30.3%7.9%1.3%-1.8M15.0M-186.8K1.6917.8357196415,90521,823
2011-12-09$76.98$74.0124.0%7.2%33.9%17.2%26.7%7.4%2.2%-1.3M5.2M-190.1K1.4820.1611617116,20022,650
2011-12-12$75.11$74.0131.2%8.4%33.7%31.1%26.3%7.0%1.2%-2.4M26.0M-166.4K0.3817.661,62262416,21122,554
2011-12-13$74.81$74.0129.5%8.1%33.5%27.7%26.6%7.2%1.4%-2.4M27.0M-160.4K0.9319.3058054116,61022,712
2011-12-14$74.45$74.0129.8%8.3%33.5%28.4%27.2%7.5%1.7%-2.5M29.2M-159.6K0.2537.331,83846617,10622,599
2011-12-15$76.02$74.0127.4%7.9%33.4%23.8%25.2%7.0%2.1%-749.7K9.8M-156.7K0.7521.5761345718,47122,631
2011-12-16$76.36$74.0123.2%6.7%32.0%15.6%28.1%6.8%3.7%431.3K4.0M-153.6K0.5921.6897357318,70522,758
2011-12-19$75.30$74.0125.8%7.4%32.4%20.6%23.3%6.5%2.1%575.2K-62.8K-153.7K0.4924.228244069,1216,509
2011-12-20$78.46$74.0125.0%7.2%34.4%19.1%23.0%4.3%2.2%1.5M-11.0M-171.2K0.3923.319173579,7836,834
2011-12-21$77.96$74.0121.2%6.1%34.3%11.7%26.1%5.2%3.6%1.6M-10.6M-178.9K3.8222.6916462810,5357,123
2011-12-22$78.45$74.0120.9%6.0%32.8%11.1%21.1%4.5%3.8%1.8M-12.6M-186.8K0.1422.802643810,6427,177
2011-12-23$79.60$74.0120.6%5.9%32.9%10.6%26.3%4.8%3.9%2.1M-18.6M-192.3K0.3318.8161920410,8017,176
2011-12-27$79.94$74.0121.5%6.2%31.5%12.3%20.9%4.8%2.9%2.4M-21.3M-196.1K0.0720.377975711,2807,089
2011-12-28$78.61$74.0122.0%6.3%32.3%13.2%22.9%4.1%3.0%2.2M-15.8M-196.4K0.3919.7435913911,8257,146
2011-12-29$78.62$74.0122.2%6.4%24.8%13.6%24.2%4.7%3.4%2.3M-19.2M-207.7K1.1115.5859566312,0707,247
2011-12-30$78.81$74.0122.0%6.3%24.2%13.3%23.4%4.7%3.1%2.4M-19.9M-221.3K0.1412.541982812,3767,637