APD Options History — August 2012

In August 2012, APD traded between $74.38 and $78.63. ATM implied volatility averaged 15.6%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 0.4% (HV 20d: 16.0%). Max pain ranged from $69.38 to $74.01. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.85.

Notable Days

  • 2012-08-13: Highest Volume — 1,946 contracts
  • 2012-08-16: Largest IV spike — 71.0% change
  • 2012-08-30: Highest IV Rank — 23.5%
  • 2012-08-01: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.96$74.38$78.63$75.15$76.39
Max Pain$73.80$69.38$74.01$69.38$74.01
ATM IV15.6%8.9%19.7%19.7%15.6%
Expected Move4.7%4.0%5.6%5.6%4.5%
HV 20d16.0%11.1%20.0%18.0%11.1%
HV 60d20.4%18.3%22.0%21.7%18.3%
IV Rank12.0%0.0%23.5%12.7%16.5%
IV Percentile9.1%0.0%31.7%31.7%7.1%
Term Structure2.7%0.5%4.1%0.5%1.5%
VWIV16.6%13.7%19.7%19.7%15.6%
Skew 25d4.0%2.5%7.0%4.5%2.5%
Skew 10d8.8%0.1%13.9%8.6%9.7%
Call IV 25d14.8%10.5%18.4%17.4%15.7%
Put IV 25d18.8%16.1%21.8%21.8%18.2%
Bid-Ask Spread %19.2012.1344.3921.9018.25
Gamma HHI0.410.220.730.250.36
Net GEX2.6M1.3M6.7M1.8M2.0M
Net DEX-16.6M-29.1M-2.4M-7.8M-9.7M
Net VEX-192.1K-211.1K-174.8K-200.4K-211.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.042.792.400.13
Total Volume660.131751,946870518
Total OI26,716.47824,11129,10525,23329,105

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$75.15$69.3819.7%5.6%18.0%12.7%19.7%4.5%0.5%1.8M-7.8M-200.4K2.4021.9025661412,04713,186
2012-08-02$74.38$74.0119.1%5.5%18.4%11.6%19.1%3.3%0.8%1.3M-2.4M-196.9K0.2923.991363912,22213,405
2012-08-03$76.08$74.0118.7%5.4%20.0%10.9%18.7%2.6%1.1%2.1M-13.4M-204.3K1.5418.9036255912,30313,409
2012-08-06$76.52$74.0112.5%4.9%20.0%0.0%17.5%3.8%2.8%2.5M-17.9M-189.7K2.3237.2315836612,43813,836
2012-08-07$76.99$74.0115.4%4.8%19.3%5.3%17.4%3.9%3.2%2.8M-20.6M-189.9K2.0917.5012025112,48814,160
2012-08-08$77.64$74.0115.6%4.8%19.3%8.3%16.6%3.9%2.7%3.1M-25.8M-192.8K0.3316.371755812,55614,349
2012-08-09$77.74$74.0114.0%4.7%18.5%4.0%19.4%4.0%3.1%3.3M-26.3M-191.5K0.0816.002462112,64414,372
2012-08-10$77.46$74.0114.3%4.6%16.6%4.9%17.5%3.4%3.3%3.2M-23.9M-187.1K0.4915.421939412,72414,358
2012-08-13$77.36$74.0115.4%4.5%16.4%7.8%17.9%3.4%3.8%3.3M-22.9M-183.5K0.0416.491,8687812,84614,426
2012-08-14$77.24$74.0115.2%4.6%16.2%7.2%17.7%3.3%3.4%3.1M-21.1M-181.2K0.2614.841483812,80914,438
2012-08-15$77.31$74.018.9%4.4%15.4%0.0%15.3%4.9%4.0%2.6M-19.6M-177.5K0.1812.261963612,90514,424
2012-08-16$78.33$74.0115.3%4.4%15.9%15.6%15.8%7.0%4.0%6.7M-29.1M-186.2K1.6516.9316226712,91414,348
2012-08-17$78.09$74.0114.6%4.2%15.0%14.1%16.2%3.6%4.1%4.4M-25.0M-179.4K0.0616.151,1587012,98214,446
2012-08-20$78.23$74.0114.1%4.0%14.2%12.7%15.1%5.6%2.6%2.3M-20.7M-174.8K1.1921.9462974910,99713,114
2012-08-21$78.11$74.0114.1%4.0%13.7%12.8%14.5%5.7%2.7%2.1M-20.0M-186.0K0.6812.1345330911,28913,682
2012-08-22$78.63$74.0114.9%4.3%13.7%14.7%14.9%3.3%3.7%2.2M-22.2M-196.3K0.4344.3950821811,67313,931
2012-08-23$77.25$74.0114.9%4.3%15.2%14.6%13.7%4.8%2.0%2.0M-15.1M-195.8K2.7918.4814941611,98214,047
2012-08-24$77.09$74.0115.0%4.3%14.2%14.9%15.3%4.2%2.2%1.9M-13.4M-198.1K0.0718.022401612,01114,310
2012-08-27$76.36$74.0115.7%4.5%14.7%16.6%15.6%3.1%1.6%1.7M-9.3M-191.4K1.8216.6946484412,22214,322
2012-08-28$76.10$74.0118.4%5.3%14.1%23.4%17.4%3.5%2.7%1.5M-6.2M-198.3K0.0716.318185512,46215,129
2012-08-29$75.88$74.0118.4%5.3%13.8%23.3%16.0%3.5%2.7%1.5M-5.7M-202.8K0.4013.8438215113,26715,098
2012-08-30$75.63$74.0118.5%5.3%13.3%23.5%15.9%3.6%2.8%1.4M-3.8M-204.0K0.2017.6549410113,56015,243
2012-08-31$76.39$74.0115.6%4.5%11.1%16.5%15.6%2.5%1.5%2.0M-9.7M-211.1K0.1318.254576113,83015,275