APD Options History — April 2012

In April 2012, APD traded between $78.37 and $85.74. ATM implied volatility averaged 19.3%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 0.2% (HV 20d: 19.5%). Max pain ranged from $78.63 to $83.26. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2012-04-24: Highest Volume — 2,233 contracts
  • 2012-04-10: Largest IV spike — 35.8% change
  • 2012-04-10: Highest IV Rank — 20.5%
  • 2012-04-10: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.86$78.37$85.74$85.74$79.08
Max Pain$82.10$78.63$83.26$83.26$78.63
ATM IV19.3%12.8%23.9%12.8%17.9%
Expected Move5.6%3.7%7.1%3.7%5.1%
HV 20d19.5%12.8%26.1%15.8%25.9%
HV 60d17.3%15.6%19.6%15.6%19.3%
IV Rank12.1%0.0%20.5%0.0%9.4%
IV Percentile29.2%0.0%59.1%0.0%18.3%
Term Structure0.6%-1.3%3.5%3.5%0.7%
VWIV20.2%15.8%26.3%17.0%17.9%
Skew 25d5.1%3.3%7.0%3.5%4.1%
Skew 10d10.7%6.5%14.7%8.7%6.9%
Call IV 25d17.9%13.3%20.6%13.3%16.3%
Put IV 25d23.0%16.8%27.3%16.8%20.4%
Bid-Ask Spread %21.9417.7827.7318.5525.83
Gamma HHI0.260.150.460.360.18
Net GEX1.7M145.0K5.1M2.8M177.7K
Net DEX-7.3M-28.8M9.8M-28.8M7.4M
Net VEX-249.0K-280.9K-207.3K-273.1K-207.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.091.800.230.18
Total Volume715.85592,233984369
Total OI20,453.119,38121,28419,41721,284

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$85.74$83.2612.8%3.7%15.8%0.0%17.0%3.5%3.5%2.8M-28.8M-273.1K0.2318.5580018411,4517,966
2012-04-03$84.88$83.2616.6%4.8%12.8%7.0%16.6%3.6%2.9%2.6M-25.1M-276.2K1.5118.8510215411,8578,070
2012-04-04$83.79$83.2616.3%4.7%13.8%6.4%16.2%3.6%3.2%2.3M-18.4M-272.8K1.8019.7314826711,9068,111
2012-04-05$84.01$83.2615.8%4.5%13.2%5.6%15.8%3.3%3.4%2.4M-19.0M-280.9K1.0317.7811712011,9608,263
2012-04-09$82.28$83.2617.6%5.8%15.0%8.8%21.4%6.1%-0.8%1.9M-9.9M-255.7K0.3818.991776812,0708,277
2012-04-10$80.45$83.2623.9%7.1%16.9%20.5%23.9%6.7%-1.3%1.1M-129.3K-251.4K0.4720.6670733012,0798,275
2012-04-11$80.80$83.2623.6%7.0%15.9%20.0%26.3%7.0%-0.9%1.2M-935.3K-255.7K0.0918.876946512,0558,383
2012-04-12$82.78$83.2620.5%5.9%18.3%14.3%20.4%6.0%-0.2%2.0M-12.2M-254.1K0.5323.961156111,8818,423
2012-04-13$81.65$83.2620.9%6.0%18.7%15.0%20.9%6.0%-0.7%1.6M-6.7M-249.9K0.2121.831032211,9108,431
2012-04-16$82.47$83.2620.9%6.0%19.2%15.0%20.9%6.1%-0.5%2.1M-10.8M-249.2K0.6722.4219913411,8778,448
2012-04-17$83.37$83.2621.0%6.0%19.6%15.2%23.2%5.9%-0.3%2.5M-17.0M-257.5K1.6027.1334555111,9898,534
2012-04-18$81.80$83.2620.9%6.0%20.4%14.9%20.0%5.8%-0.3%1.6M-5.2M-256.9K0.2324.43481112,0499,027
2012-04-19$82.57$83.2620.4%5.8%20.8%14.0%19.9%5.3%-0.2%2.4M-9.8M-252.2K0.1727.732333912,0598,906
2012-04-20$83.02$83.2619.6%5.6%20.2%12.6%20.4%5.0%0.1%5.1M-9.4M-259.8K0.1119.321,80020512,1908,920
2012-04-23$82.08$78.6320.3%5.8%20.5%13.9%22.4%4.8%-0.4%1.3M-7.2M-242.0K1.5521.7746271611,0348,347
2012-04-24$78.37$83.2621.8%6.3%25.4%16.7%22.3%5.7%-0.0%145.0K9.8M-222.6K0.5924.861,40782611,1198,885
2012-04-25$79.07$78.6319.2%5.5%25.7%11.9%22.7%4.6%1.4%346.5K6.5M-218.0K1.7520.5233658711,3669,262
2012-04-26$79.82$78.6319.1%5.5%26.1%11.8%19.0%4.2%0.9%270.4K5.0M-228.4K0.4623.8922410311,4249,788
2012-04-27$79.15$78.6317.7%5.1%25.9%9.1%17.7%4.2%1.0%318.9K5.9M-216.2K1.0621.7072276611,4929,694
2012-04-30$79.08$78.6317.9%5.1%25.9%9.4%17.9%4.1%0.7%177.7K7.4M-207.3K0.1825.833135611,4919,793