APD Options History — March 2012

In March 2012, APD traded between $81.91 and $85.12. ATM implied volatility averaged 17.0%, placing in the 3.6% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.8% (HV 20d: 16.2%). Max pain ranged from $78.63 to $83.26. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.40.

Notable Days

  • 2012-03-02: Highest Volume — 1,787 contracts
  • 2012-03-06: Largest IV spike — 17.2% change
  • 2012-03-06: Highest IV Rank — 10.9%
  • 2012-03-06: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.00$81.91$85.12$84.99$84.92
Max Pain$82.84$78.63$83.26$78.63$83.26
ATM IV17.0%15.5%20.8%17.5%16.3%
Expected Move4.9%4.4%5.8%5.0%4.7%
HV 20d16.2%12.6%17.6%14.4%15.9%
HV 60d17.3%15.6%19.4%18.8%15.6%
IV Rank3.6%0.6%10.9%4.6%2.1%
IV Percentile8.9%0.8%36.9%9.5%3.6%
Term Structure2.8%1.8%3.6%1.8%3.5%
VWIV17.3%11.8%23.6%15.2%16.6%
Skew 25d4.6%2.8%8.9%8.9%2.9%
Skew 10d10.1%5.6%15.0%14.6%7.6%
Call IV 25d15.1%9.4%19.0%9.4%14.6%
Put IV 25d19.7%17.1%25.4%18.3%17.5%
Bid-Ask Spread %29.4816.6187.5128.3317.92
Gamma HHI0.370.290.500.370.32
Net GEX2.4M1.2M3.8M3.5M2.4M
Net DEX-23.2M-39.2M-8.0M-39.1M-25.7M
Net VEX-253.2K-279.0K-237.5K-241.9K-279.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.051.120.640.07
Total Volume729.9091411,787736590
Total OI21,621.515,89925,39423,60319,251

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$84.99$78.6317.5%5.0%14.4%4.6%15.2%8.9%1.8%3.5M-39.1M-241.9K0.6428.3345028613,6569,947
2012-03-02$85.00$78.6316.8%4.8%13.8%3.2%14.2%2.8%2.6%3.4M-39.2M-238.1K1.1287.5184194613,59110,129
2012-03-05$84.09$83.2617.8%5.6%12.6%5.0%21.0%5.8%2.3%3.1M-32.2M-249.8K0.3831.7248418313,91910,756
2012-03-06$81.91$83.2620.8%5.8%15.6%10.9%22.5%6.4%2.4%2.2M-16.2M-256.4K0.2623.4250613013,95910,852
2012-03-07$82.23$83.2618.4%5.5%15.7%6.3%20.0%5.9%2.6%2.4M-16.6M-252.7K0.6125.5033220313,89310,894
2012-03-08$83.27$83.2617.9%5.4%16.1%5.4%19.2%5.3%2.9%2.9M-25.6M-249.9K0.3927.691746814,05210,982
2012-03-09$82.74$83.2616.9%5.3%16.2%3.4%19.2%5.2%2.5%3.0M-22.3M-247.7K0.4225.80994214,12010,978
2012-03-12$82.64$83.2619.0%5.1%16.0%7.5%18.4%4.4%2.7%3.2M-20.7M-245.8K0.2561.3674018614,12810,976
2012-03-13$83.94$83.2618.1%5.1%17.0%5.7%17.1%5.3%2.3%3.8M-32.1M-238.9K0.2825.713138814,25110,905
2012-03-14$84.31$83.2617.9%5.1%17.1%5.2%23.6%5.3%2.9%3.2M-33.3M-237.5K0.3822.5467125513,92210,928
2012-03-15$84.75$83.2617.5%5.0%17.2%4.5%15.7%4.9%2.6%1.9M-39.1M-245.1K0.1125.062793014,29910,987
2012-03-16$84.84$83.2616.7%4.8%16.6%3.1%16.4%4.7%2.9%2.6M-38.3M-244.8K0.2724.701,40537514,37811,016
2012-03-19$85.12$83.2616.3%4.7%16.6%2.2%13.9%4.2%2.7%1.4M-17.6M-253.7K1.0121.447007108,8577,042
2012-03-20$84.34$83.2616.3%4.7%16.9%2.3%15.1%3.8%2.4%1.4M-14.1M-259.2K0.4026.736702719,4067,590
2012-03-21$84.11$83.2615.6%4.5%16.5%0.9%11.8%4.5%2.5%1.4M-13.7M-256.4K0.2026.66477949,7257,751
2012-03-22$82.89$83.2615.6%4.5%16.7%0.8%16.0%4.0%3.3%1.2M-8.0M-256.1K0.2424.01147369,9477,753
2012-03-23$83.44$83.2615.5%4.4%16.9%0.6%15.5%4.0%3.1%1.4M-10.5M-258.5K0.0525.832381310,0547,764
2012-03-26$84.49$83.2615.6%4.5%17.6%0.8%15.3%3.9%2.9%1.7M-14.6M-261.6K0.8825.4313411810,1847,768
2012-03-27$84.84$83.2615.7%4.5%17.4%1.0%19.0%3.4%2.9%1.9M-17.3M-255.7K0.4619.7562928810,2947,828
2012-03-28$84.30$83.2615.8%4.5%17.1%1.3%17.8%3.3%3.6%1.7M-15.1M-263.1K0.3116.6190527810,4557,718
2012-03-29$84.78$83.2616.3%4.7%15.9%2.2%16.2%3.4%3.5%2.2M-20.3M-278.5K0.1734.755769810,8897,879
2012-03-30$84.92$83.2616.3%4.7%15.9%2.1%16.6%2.9%3.5%2.4M-25.7M-279.0K0.0717.925513911,3067,945