APD Options History — June 2012

In June 2012, APD traded between $71.12 and $75.47. ATM implied volatility averaged 22.0%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 1.1% (HV 20d: 23.0%). Max pain ranged from $69.38 to $78.63. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2012-06-04: Highest Volume — 3,206 contracts
  • 2012-06-14: Largest IV spike — 29.4% change
  • 2012-06-04: Highest IV Rank — 36.2%
  • 2012-06-01: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.78$71.12$75.47$71.12$74.68
Max Pain$74.01$69.38$78.63$78.63$74.01
ATM IV22.0%18.1%32.3%31.1%18.4%
Expected Move6.5%5.3%8.9%8.9%5.3%
HV 20d23.0%21.1%24.3%22.0%23.1%
HV 60d21.8%21.0%23.8%21.1%23.8%
IV Rank16.9%9.8%36.2%34.0%10.3%
IV Percentile40.7%19.0%76.2%71.0%21.4%
Term Structure1.8%-3.5%3.0%-3.5%3.0%
VWIV23.2%17.7%29.7%29.6%18.2%
Skew 25d6.3%4.2%8.7%6.8%4.2%
Skew 10d14.2%7.1%26.3%16.4%7.1%
Call IV 25d20.6%15.6%25.5%25.5%16.6%
Put IV 25d26.8%20.7%33.5%32.3%20.7%
Bid-Ask Spread %23.6916.7046.0423.5019.27
Gamma HHI0.160.140.200.200.18
Net GEX238.4K-371.6K898.3K-371.6K898.3K
Net DEX14.4M-2.4M26.5M26.5M-2.2M
Net VEX-200.0K-218.1K-177.5K-177.5K-205.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.102.170.801.61
Total Volume593.4761453,206259428
Total OI21,460.47616,51625,95322,47518,318

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$71.12$78.6331.1%8.9%22.0%34.0%29.6%6.8%-3.5%-371.6K26.5M-177.5K0.8023.5014411512,19810,277
2012-06-04$71.67$74.0132.3%8.6%22.5%36.2%26.9%8.7%-0.3%-337.2K26.3M-183.4K0.3825.692,32588112,17210,395
2012-06-05$71.84$74.0123.6%7.2%22.4%20.1%29.7%8.2%2.2%-7.2K23.5M-209.0K0.7922.7115212013,93110,966
2012-06-06$72.85$74.0122.1%6.8%23.4%17.2%21.7%7.4%2.4%160.7K20.2M-211.5K0.1418.824406413,96311,022
2012-06-07$74.02$74.0120.9%6.9%23.5%15.0%26.1%7.1%1.1%423.7K14.4M-218.1K1.9017.6516130614,10210,989
2012-06-08$73.65$74.0120.4%6.8%23.5%14.0%22.7%7.0%1.8%250.0K17.6M-215.3K0.4522.011727714,13111,206
2012-06-11$73.20$74.0123.5%7.0%23.5%19.8%27.2%7.0%1.7%185.4K18.7M-210.8K0.5919.611529014,06411,220
2012-06-12$73.40$74.0121.2%6.7%23.6%15.5%24.8%6.8%1.9%286.7K18.6M-205.7K2.1736.836413814,09111,254
2012-06-13$72.40$74.0118.1%6.9%23.7%9.8%25.1%7.6%1.5%21.5K23.7M-201.5K0.2246.043156914,11611,309
2012-06-14$72.57$74.0123.4%6.7%23.5%19.7%23.4%7.7%2.3%153.2K24.1M-199.1K0.1020.111,33112914,17311,329
2012-06-15$73.52$74.0122.0%6.3%22.9%17.0%26.2%7.3%2.6%305.5K20.8M-206.0K0.2221.884119014,51411,439
2012-06-18$73.64$69.3819.4%5.6%21.7%12.3%19.6%6.2%2.7%524.4K4.7M-195.8K0.3626.907762838,6877,829
2012-06-19$75.47$74.0119.3%5.5%21.1%12.1%17.7%6.4%2.5%821.8K-2.4M-214.5K0.4123.694641899,2048,084
2012-06-20$74.03$74.0118.9%5.4%22.3%11.3%18.0%4.5%2.6%650.1K3.2M-204.3K0.3825.578043029,4468,191
2012-06-21$72.03$74.0120.2%5.8%24.3%13.7%23.4%4.6%1.9%296.9K8.7M-200.3K1.6921.591061799,7028,432
2012-06-22$72.14$74.0118.5%5.3%23.9%10.6%20.9%4.5%2.6%263.5K9.4M-193.4K0.4319.32208909,4508,366
2012-06-25$71.12$74.0123.2%6.7%24.2%19.3%21.2%4.9%2.3%31.5K12.9M-189.8K0.2821.11125369,4928,440
2012-06-26$71.41$74.0122.9%6.6%23.6%18.7%20.1%4.8%2.3%38.3K12.5M-184.3K0.1924.02166319,5318,463
2012-06-27$71.42$74.0122.6%6.5%22.0%18.1%22.9%4.8%2.3%60.2K12.3M-184.1K0.2316.70118279,5748,479
2012-06-28$72.20$74.0118.8%5.4%22.4%11.2%20.8%5.2%2.9%349.6K8.1M-190.0K1.2124.361742119,6248,497
2012-06-29$74.68$74.0118.4%5.3%23.1%10.3%18.2%4.2%3.0%898.3K-2.2M-205.9K1.6119.271642649,7528,566