APD Options History — September 2012

In September 2012, APD traded between $75.38 and $79.20. ATM implied volatility averaged 16.2%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.7% (HV 20d: 13.5%). Max pain ranged from $74.01 to $78.63. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.97.

Notable Days

2012-09-21: Highest Volume — 2,426 contracts
2012-09-06: Largest IV drop — 20.5% change
2012-09-04: Highest IV Rank — 25.5%
2012-09-04: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$77.54	$75.38	$79.20	$75.38	$76.50
Max Pain	$77.90	$74.01	$78.63	$74.01	$78.63
ATM IV	16.2%	13.6%	19.3%	19.3%	16.0%
Expected Move	4.7%	4.2%	5.5%	5.5%	4.6%
HV 20d	13.5%	11.9%	14.5%	11.9%	13.1%
HV 60d	17.1%	14.9%	18.8%	18.5%	14.9%
IV Rank	17.8%	11.5%	25.5%	25.5%	17.4%
IV Percentile	13.7%	1.2%	37.3%	37.3%	13.1%
Term Structure	1.2%	-0.7%	2.1%	1.6%	0.1%
VWIV	17.7%	14.8%	20.4%	17.9%	19.7%
Skew 25d	5.0%	2.3%	9.3%	3.1%	4.0%
Skew 10d	11.3%	6.0%	15.0%	6.9%	12.3%
Call IV 25d	14.7%	10.0%	17.8%	17.8%	16.1%
Put IV 25d	19.7%	18.5%	20.8%	20.8%	20.1%
Bid-Ask Spread %	34.15	12.86	80.06	17.29	14.16
Gamma HHI	0.40	0.27	0.63	0.27	0.28
Net GEX	3.4M	1.2M	9.0M	1.2M	1.4M
Net DEX	-16.9M	-35.2M	-2.7M	-2.7M	-4.4M
Net VEX	-194.0K	-212.9K	-174.9K	-197.9K	-187.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.03	2.74	0.61	0.52
Total Volume	642.368	159	2,426	239	240
Total OI	28,759.895	23,622	32,010	29,160	24,470

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-09-04	$75.38	$74.01	19.3%	5.5%	11.9%	25.5%	17.9%	3.1%	1.6%	1.2M	-2.7M	-197.9K	0.61	17.29	148	91	13,863	15,297
2012-09-05	$75.96	$74.01	18.4%	5.3%	12.0%	23.3%	17.4%	2.3%	2.1%	1.6M	-5.8M	-201.4K	1.61	42.79	293	472	14,250	15,332
2012-09-06	$77.26	$74.01	14.6%	4.2%	13.2%	14.0%	15.5%	4.3%	1.8%	2.5M	-15.4M	-206.3K	2.74	12.86	141	385	14,065	15,462
2012-09-07	$77.35	$78.63	13.6%	4.7%	13.2%	11.5%	18.6%	6.8%	1.9%	2.7M	-15.1M	-208.0K	2.56	19.68	96	246	14,168	15,595
2012-09-10	$76.99	$78.63	14.9%	4.7%	13.2%	14.7%	20.4%	6.0%	2.0%	2.5M	-13.1M	-195.9K	1.88	17.74	245	462	14,195	15,601
2012-09-11	$77.70	$78.63	14.9%	4.6%	13.6%	14.8%	17.9%	6.8%	2.0%	3.1M	-19.5M	-192.0K	0.99	15.12	80	79	14,402	15,552
2012-09-12	$77.14	$78.63	14.9%	4.7%	13.9%	14.7%	19.1%	6.3%	1.9%	2.7M	-13.9M	-187.0K	2.15	69.52	112	242	14,452	15,602
2012-09-13	$77.97	$78.63	15.9%	4.5%	14.4%	17.1%	18.1%	6.2%	1.4%	3.5M	-21.3M	-186.3K	0.59	67.47	121	71	14,488	15,798
2012-09-14	$79.08	$78.63	16.4%	4.7%	14.5%	18.3%	17.1%	9.3%	1.9%	4.0M	-31.8M	-192.4K	0.56	19.71	258	144	14,477	15,817
2012-09-17	$79.20	$78.63	17.5%	5.0%	14.5%	21.0%	16.9%	5.4%	0.5%	4.4M	-34.1M	-193.5K	0.06	80.06	1,060	66	14,575	15,869
2012-09-18	$78.94	$78.63	16.7%	4.8%	14.5%	19.2%	18.3%	4.5%	1.1%	6.0M	-35.2M	-195.9K	1.91	25.39	208	397	15,475	15,913
2012-09-19	$78.85	$78.63	16.9%	4.8%	14.5%	19.6%	17.1%	4.7%	0.7%	6.4M	-34.2M	-198.6K	0.19	27.66	523	101	15,505	16,213
2012-09-20	$78.68	$78.63	16.3%	4.7%	14.4%	18.2%	16.4%	4.2%	1.0%	9.0M	-32.2M	-198.2K	0.10	69.67	776	78	15,673	16,267
2012-09-21	$78.18	$78.63	15.0%	4.3%	13.0%	15.1%	14.8%	3.9%	1.9%	7.7M	-19.4M	-189.1K	0.03	23.23	2,349	77	15,907	16,103
2012-09-24	$77.65	$78.63	15.6%	4.5%	13.2%	16.3%	16.7%	6.1%	1.2%	1.8M	-9.7M	-182.9K	0.36	19.72	442	160	11,062	12,560
2012-09-25	$77.10	$78.63	16.2%	4.6%	13.0%	17.9%	18.4%	4.8%	0.3%	1.8M	-7.7M	-174.9K	0.88	17.55	632	557	11,317	12,631
2012-09-26	$76.95	$78.63	16.8%	4.8%	13.0%	19.5%	18.4%	3.0%	-0.7%	1.2M	-3.2M	-185.5K	0.48	67.77	312	149	11,268	12,981
2012-09-27	$76.46	$78.63	17.0%	4.9%	13.1%	19.9%	17.9%	3.9%	-0.5%	1.2M	-3.0M	-212.9K	0.26	21.46	312	80	11,220	13,013
2012-09-28	$76.50	$78.63	16.0%	4.6%	13.1%	17.4%	19.7%	4.0%	0.1%	1.4M	-4.4M	-187.6K	0.52	14.16	158	82	11,439	13,031