APD Options History — January 2012

In January 2012, APD traded between $79.85 and $84.96. ATM implied volatility averaged 20.2%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 0.1% (HV 20d: 20.1%). Max pain ranged from $74.01 to $83.26. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.91.

Notable Days

2012-01-23: Highest Volume — 2,343 contracts
2012-01-12: Largest IV spike — 21.0% change
2012-01-03: Highest IV Rank — 14.2%
2012-01-06: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$81.88	$79.85	$84.96	$79.88	$81.43
Max Pain	$78.63	$74.01	$83.26	$74.01	$83.26
ATM IV	20.2%	17.3%	22.5%	22.5%	17.7%
Expected Move	6.0%	4.9%	7.0%	6.5%	5.1%
HV 20d	20.1%	15.6%	24.3%	24.3%	17.1%
HV 60d	30.9%	27.3%	32.9%	32.9%	27.3%
IV Rank	9.8%	4.1%	14.2%	14.2%	4.9%
IV Percentile	24.8%	4.8%	43.3%	43.3%	7.5%
Term Structure	1.2%	0.1%	4.0%	2.8%	1.9%
VWIV	21.7%	17.2%	28.2%	22.4%	17.7%
Skew 25d	5.2%	3.8%	6.4%	4.2%	5.0%
Skew 10d	12.8%	8.7%	16.2%	10.4%	14.1%
Call IV 25d	19.0%	15.8%	21.1%	20.7%	16.5%
Put IV 25d	24.2%	20.9%	27.3%	24.9%	21.5%
Bid-Ask Spread %	21.95	14.93	49.65	24.18	15.90
Gamma HHI	0.37	0.29	0.58	0.32	0.29
Net GEX	2.7M	1.2M	4.3M	2.9M	1.3M
Net DEX	-30.2M	-55.9M	-11.8M	-25.9M	-13.1M
Net VEX	-215.1K	-241.2K	-198.7K	-217.9K	-241.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.27	3.93	1.13	0.54
Total Volume	872.55	113	2,343	583	504
Total OI	20,996.05	17,482	22,535	20,168	21,713

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-01-03	$79.88	$74.01	22.5%	6.5%	24.3%	14.2%	22.4%	4.2%	2.8%	2.9M	-25.9M	-217.9K	1.13	24.18	273	310	12,530	7,638
2012-01-04	$80.56	$74.01	22.3%	6.4%	23.8%	13.8%	23.1%	4.0%	2.8%	3.1M	-29.7M	-222.3K	0.60	16.78	282	169	12,644	7,890
2012-01-05	$80.02	$74.01	21.3%	6.1%	23.8%	11.9%	24.4%	4.3%	4.0%	3.1M	-26.4M	-221.4K	3.93	26.88	168	658	12,694	7,927
2012-01-06	$79.85	$74.01	20.3%	7.0%	23.7%	9.9%	21.1%	6.4%	0.3%	2.9M	-24.4M	-216.0K	0.48	20.46	141	68	12,691	8,486
2012-01-09	$79.85	$74.01	20.8%	6.9%	22.8%	10.8%	23.6%	6.0%	0.5%	3.0M	-23.8M	-210.0K	0.27	20.79	89	24	12,681	8,542
2012-01-10	$80.77	$74.01	20.7%	6.9%	22.7%	10.7%	24.3%	6.1%	0.2%	3.4M	-30.0M	-204.5K	1.57	14.93	162	254	12,715	8,547
2012-01-11	$81.35	$78.63	17.5%	6.0%	20.4%	4.5%	24.0%	6.3%	0.9%	3.6M	-34.0M	-208.4K	1.67	16.32	106	177	12,709	8,768
2012-01-12	$83.38	$78.63	21.2%	6.1%	21.4%	11.7%	22.4%	4.7%	0.7%	4.2M	-46.4M	-210.3K	0.72	23.90	681	493	12,764	8,836
2012-01-13	$83.17	$78.63	21.5%	6.2%	21.3%	12.3%	28.2%	5.5%	0.9%	4.3M	-45.7M	-213.8K	0.43	25.19	650	277	12,841	9,032
2012-01-17	$83.66	$78.63	22.1%	6.3%	20.5%	13.4%	22.0%	5.7%	0.5%	4.1M	-49.2M	-205.8K	0.28	18.81	801	224	12,660	9,268
2012-01-18	$84.70	$78.63	22.4%	6.4%	20.7%	14.0%	22.6%	5.2%	0.1%	3.4M	-52.3M	-205.4K	0.32	24.32	1,583	509	12,447	9,380
2012-01-19	$84.96	$78.63	22.0%	6.3%	19.4%	13.3%	23.9%	5.1%	0.1%	2.5M	-55.9M	-213.2K	0.59	24.84	408	239	12,679	9,695
2012-01-20	$83.86	$78.63	21.4%	6.1%	15.6%	12.1%	20.4%	5.2%	0.4%	3.9M	-50.8M	-213.1K	0.27	49.65	419	115	12,747	9,788
2012-01-23	$83.18	$78.63	21.4%	6.1%	15.8%	12.0%	21.1%	5.8%	0.1%	1.8M	-25.4M	-208.2K	0.76	22.09	1,330	1,013	10,130	7,352
2012-01-24	$81.02	$83.26	18.3%	5.2%	18.9%	6.1%	21.1%	5.1%	1.1%	1.4M	-11.8M	-198.7K	2.13	17.69	654	1,392	11,022	8,096
2012-01-25	$81.17	$83.26	17.6%	5.0%	18.3%	4.7%	17.7%	4.6%	1.2%	1.2M	-11.8M	-205.1K	0.41	21.39	400	164	11,149	8,827
2012-01-26	$81.55	$83.26	17.8%	5.1%	18.3%	5.1%	19.1%	3.8%	1.4%	1.3M	-13.3M	-220.0K	0.58	16.19	949	555	11,422	8,945
2012-01-27	$81.58	$83.26	17.3%	4.9%	17.0%	4.1%	17.2%	5.1%	2.0%	1.6M	-16.4M	-231.3K	0.64	19.27	310	199	11,867	9,276
2012-01-30	$81.71	$83.26	18.1%	5.2%	17.0%	5.7%	18.1%	5.5%	1.4%	1.7M	-17.0M	-234.4K	0.83	19.35	384	317	12,069	9,454
2012-01-31	$81.43	$83.26	17.7%	5.1%	17.1%	4.9%	17.7%	5.0%	1.9%	1.3M	-13.1M	-241.2K	0.54	15.90	328	176	11,987	9,726