APD Options History — May 2012

In May 2012, APD traded between $71.98 and $79.84. ATM implied volatility averaged 22.0%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.1% (HV 20d: 21.9%). Max pain ranged from $78.63 to $83.26. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.50.

Notable Days

  • 2012-05-22: Highest Volume — 2,054 contracts
  • 2012-05-15: Largest IV spike — 16.9% change
  • 2012-05-17: Highest IV Rank — 25.3%
  • 2012-05-17: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.98$71.98$79.84$79.67$73.12
Max Pain$80.10$78.63$83.26$78.63$78.63
ATM IV22.0%17.9%26.5%18.1%24.0%
Expected Move6.3%5.1%7.6%5.2%6.9%
HV 20d21.9%18.2%25.7%25.7%20.5%
HV 60d19.6%18.8%21.1%18.8%20.5%
IV Rank17.0%9.4%25.3%9.8%20.7%
IV Percentile44.3%18.3%65.1%19.4%57.9%
Term Structure0.7%-0.4%1.7%0.5%-0.1%
VWIV22.3%16.9%27.1%17.4%22.9%
Skew 25d5.8%3.3%7.2%3.9%5.4%
Skew 10d11.3%6.5%14.7%7.3%12.6%
Call IV 25d20.4%15.2%25.3%16.3%23.0%
Put IV 25d26.1%19.4%32.3%20.2%28.4%
Bid-Ask Spread %21.5513.0189.2221.4417.44
Gamma HHI0.200.150.420.180.18
Net GEX-292.6K-1.7M372.4K127.8K-266.1K
Net DEX16.7M3.6M34.9M5.7M22.1M
Net VEX-191.5K-211.5K-165.7K-207.6K-183.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.047.450.120.68
Total Volume595.2731232,054457521
Total OI21,648.18219,24922,80421,56722,239

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$79.67$78.6318.1%5.2%25.7%9.8%17.4%3.9%0.5%127.8K5.7M-207.6K0.1221.444094811,7329,835
2012-05-02$79.72$78.6317.9%5.1%25.7%9.4%17.6%3.3%0.6%316.0K4.7M-210.5K0.7223.7215611211,7309,845
2012-05-03$79.84$78.6317.9%5.1%25.5%9.4%16.9%4.2%1.0%372.4K3.6M-211.5K0.3489.222839511,7509,779
2012-05-04$79.11$83.2618.2%5.6%25.5%10.0%20.3%5.0%1.7%203.6K6.6M-210.6K7.0615.956747311,7839,814
2012-05-07$79.33$83.2619.1%5.7%24.7%11.7%19.8%5.6%1.6%223.4K6.2M-210.5K1.1219.26889811,7719,820
2012-05-08$78.85$83.2619.6%5.8%23.5%12.6%20.4%5.4%1.3%112.0K8.4M-209.4K0.3415.4237012611,7769,868
2012-05-09$77.22$83.2620.1%6.0%24.4%13.5%21.2%5.6%1.0%-249.0K14.6M-194.3K0.7323.0123116911,8979,945
2012-05-10$76.82$83.2620.7%5.9%22.3%14.5%21.2%5.7%0.9%-456.9K18.1M-194.3K0.1916.1460211611,90010,039
2012-05-11$76.94$83.2620.5%5.9%22.1%14.3%21.3%5.7%1.2%-376.3K16.3M-204.7K0.5017.71824112,15910,068
2012-05-14$76.67$83.2621.4%6.1%21.6%16.0%21.7%5.5%0.7%-514.7K18.5M-195.2K0.5317.3425613612,19810,087
2012-05-15$75.78$78.6325.1%7.2%21.0%22.7%23.9%6.2%-0.4%-678.2K20.8M-191.9K0.7721.52755712,34410,124
2012-05-16$74.96$78.6325.4%7.3%20.5%23.2%25.6%6.8%0.4%-1.2M23.3M-188.0K3.2317.978427212,34610,167
2012-05-17$73.40$78.6326.5%7.6%20.6%25.3%26.2%5.6%0.1%-1.7M29.1M-181.1K3.7120.6011542512,35510,264
2012-05-18$71.98$78.6326.3%7.5%20.7%25.0%27.1%7.0%0.5%-842.3K34.9M-174.2K0.4813.0137818212,32710,477
2012-05-21$74.06$78.6323.5%6.7%24.2%19.7%23.4%6.1%0.6%-437.2K21.3M-165.7K0.0414.951,4336210,3098,940
2012-05-22$73.91$78.6323.3%6.7%18.7%19.5%25.4%7.2%0.6%-132.4K19.4M-176.9K1.7915.617371,31711,3228,953
2012-05-23$73.58$78.6323.4%6.7%18.2%19.7%25.1%6.5%0.9%-351.8K21.5M-182.5K1.2218.7952964311,2909,655
2012-05-24$74.42$78.6323.1%6.6%18.3%19.0%25.3%7.1%0.9%-172.4K17.6M-177.5K0.9817.2238938211,4469,598
2012-05-25$73.95$78.6322.3%6.4%18.3%17.6%21.5%6.4%1.5%-213.4K19.2M-180.6K0.0916.963933411,6819,625
2012-05-29$75.03$78.6323.0%6.6%19.3%18.9%22.3%5.9%0.6%-59.5K15.2M-183.5K0.8421.4813611511,9109,526
2012-05-30$73.15$78.6323.9%6.8%20.6%20.5%23.7%6.5%0.1%-167.1K20.0M-178.7K7.4519.3310275711,9729,594
2012-05-31$73.12$78.6324.0%6.9%20.5%20.7%22.9%5.4%-0.1%-266.1K22.1M-183.2K0.6817.4431021112,04010,199