APD Options History — July 2012

In July 2012, APD traded between $71.90 and $75.43. ATM implied volatility averaged 19.8%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 2.5% (HV 20d: 22.3%). Max pain ranged from $74.01 to $74.01. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.46.

Notable Days

  • 2012-07-12: Highest Volume — 2,720 contracts
  • 2012-07-24: Largest IV drop — 10.4% change
  • 2012-07-12: Highest IV Rank — 16.6%
  • 2012-07-12: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.90$71.90$75.43$73.65$74.40
Max Pain$74.01$74.01$74.01$74.01$74.01
ATM IV19.8%18.2%21.8%18.8%19.2%
Expected Move5.8%5.2%6.2%5.4%5.5%
HV 20d22.3%17.8%24.8%23.8%17.8%
HV 60d22.2%21.1%23.9%23.9%21.6%
IV Rank12.9%10.0%16.6%11.1%11.8%
IV Percentile30.8%19.4%44.8%23.4%27.8%
Term Structure0.8%-0.4%2.5%2.2%0.7%
VWIV21.6%15.4%30.1%20.0%21.3%
Skew 25d5.0%2.8%8.2%2.8%4.5%
Skew 10d10.7%2.3%17.4%2.3%7.5%
Call IV 25d18.3%14.7%21.0%18.7%17.7%
Put IV 25d23.4%20.4%26.2%21.6%22.1%
Bid-Ask Spread %36.3216.5774.4944.8817.97
Gamma HHI0.210.160.450.180.22
Net GEX972.5K199.7K3.1M709.6K1.4M
Net DEX1.4M-8.0M10.2M2.8M-2.7M
Net VEX-192.2K-206.1K-176.3K-198.3K-200.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.460.0211.041.910.02
Total Volume834.5711212,720251720
Total OI20,877.23818,60225,09618,60225,096

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$73.65$74.0118.8%5.4%23.8%11.1%20.0%2.8%2.2%709.6K2.8M-198.3K1.9144.88861659,8248,778
2012-07-03$74.22$74.0118.6%5.3%23.9%10.7%19.1%3.6%2.2%828.5K1.2M-198.7K1.3019.2465849,8608,850
2012-07-05$74.06$74.0118.5%5.3%23.4%10.5%18.8%3.5%2.5%883.8K789.9K-196.1K0.3574.0990319,8908,892
2012-07-06$73.84$74.0118.5%6.0%22.8%10.6%24.6%4.9%1.0%813.8K2.6M-194.1K0.3820.774261619,9118,906
2012-07-09$73.66$74.0119.1%6.0%22.7%11.6%25.0%5.5%0.9%798.8K3.0M-190.1K0.1318.13379519,8369,026
2012-07-10$72.74$74.0119.5%6.1%23.1%12.5%21.4%6.2%0.6%580.1K6.2M-186.2K6.0464.269859510,0129,048
2012-07-11$72.72$74.0119.9%6.1%23.0%13.1%28.8%5.8%0.7%490.2K7.5M-188.1K4.8118.486832810,1829,372
2012-07-12$71.90$74.0121.8%6.2%22.9%16.6%23.7%5.1%0.2%199.7K10.2M-176.3K11.0419.182262,49410,1679,423
2012-07-13$73.86$74.0120.8%6.0%24.8%14.8%23.1%4.8%0.7%1.0M3.0M-206.1K1.8866.7113024410,29511,343
2012-07-16$73.50$74.0121.4%6.1%24.5%16.0%30.1%5.1%-0.0%999.7K4.2M-203.1K6.2420.932314210,33711,378
2012-07-17$74.26$74.0121.2%6.1%24.8%15.6%21.8%5.2%-0.2%1.7M-1.4M-192.9K1.9673.547715010,34711,079
2012-07-18$75.43$74.0121.0%6.0%23.8%15.2%19.8%4.7%-0.1%1.3M-8.0M-193.9K0.7674.4914611110,36911,065
2012-07-19$75.39$74.0121.4%6.1%22.7%15.9%19.5%4.5%-0.2%1.1M-5.3M-193.1K0.8123.1738831210,19710,882
2012-07-20$74.40$74.0121.1%6.0%20.8%15.3%21.1%5.2%-0.2%3.1M-4.0M-189.0K0.2516.571,69842410,34111,071
2012-07-23$73.62$74.0121.5%6.2%21.2%16.2%22.6%5.2%-0.4%433.6K3.9M-187.6K5.2423.10965049,36410,241
2012-07-24$72.97$74.0119.3%5.5%20.8%12.0%21.7%8.2%1.1%238.4K7.6M-177.5K1.8124.198991,6309,37610,629
2012-07-25$73.00$74.0118.8%5.4%20.8%11.1%19.3%7.6%1.3%387.1K6.3M-187.9K2.4168.4224659510,11511,929
2012-07-26$73.89$74.0118.4%5.3%21.2%10.3%18.4%4.3%1.6%761.9K1.5M-179.7K3.9926.932791,11310,25012,321
2012-07-27$75.17$74.0118.2%5.2%21.6%10.0%15.4%4.8%1.5%1.1M-4.0M-196.1K0.1725.801,46525210,40013,130
2012-07-30$75.25$74.0118.7%5.4%18.1%11.0%18.7%4.3%1.1%1.7M-6.0M-200.6K0.2321.864379811,66913,221
2012-07-31$74.40$74.0119.2%5.5%17.8%11.8%21.3%4.5%0.7%1.4M-2.7M-200.6K0.0217.977031711,91813,178