APD Options History — October 2012

In October 2012, APD traded between $71.31 and $78.95. ATM implied volatility averaged 18.1%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 1.7% (HV 20d: 16.5%). Max pain ranged from $74.01 to $78.63. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2012-10-19: Highest Volume — 4,488 contracts
  • 2012-10-10: Largest IV spike — 30.6% change
  • 2012-10-10: Highest IV Rank — 51.7%
  • 2012-10-23: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.42$71.31$78.95$76.64$71.72
Max Pain$75.33$74.01$78.63$78.63$74.01
ATM IV18.1%15.4%24.7%17.2%17.2%
Expected Move5.0%4.4%6.2%4.9%4.9%
HV 20d16.5%7.9%28.0%12.6%28.0%
HV 60d15.7%13.0%19.6%14.8%18.7%
IV Rank30.4%17.2%51.7%20.3%28.6%
IV Percentile34.0%7.5%79.4%21.8%25.4%
Term Structure-0.3%-1.3%1.1%-0.7%1.1%
VWIV17.6%14.7%20.5%17.2%17.8%
Skew 25d4.9%3.4%7.6%4.3%3.5%
Skew 10d11.0%3.2%15.4%11.4%3.2%
Call IV 25d15.5%11.6%17.5%16.9%16.8%
Put IV 25d20.4%18.9%22.2%21.2%20.3%
Bid-Ask Spread %24.3211.9478.5718.8978.57
Gamma HHI0.320.170.910.280.25
Net GEX102.0K-20.4M3.6M1.4M-414.6K
Net DEX2.0M-22.2M33.8M-5.7M18.1M
Net VEX-167.8K-205.3K-128.0K-184.8K-156.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.034.200.320.12
Total Volume1,195.81974,4885521,975
Total OI25,794.76223,06329,33924,47827,354

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$76.64$78.6317.2%4.9%12.6%20.3%17.2%4.3%-0.7%1.4M-5.7M-184.8K0.3218.8941813411,41113,067
2012-10-02$76.48$78.6316.2%4.6%11.6%17.9%16.6%4.2%-0.3%1.4M-3.8M-183.7K0.5218.391166111,61613,119
2012-10-03$76.53$78.6315.4%4.4%11.3%17.2%15.7%4.4%0.5%1.4M-4.2M-180.2K0.3318.231123711,63413,170
2012-10-04$77.14$78.6316.2%4.6%9.9%23.2%16.4%4.8%-0.5%1.9M-6.6M-205.3K0.0318.055761911,64613,202
2012-10-05$77.61$74.0116.7%4.6%10.2%25.4%18.3%4.3%-0.4%2.5M-12.5M-186.2K2.2320.2010322911,97913,213
2012-10-08$77.59$74.0118.4%4.5%10.0%31.0%19.0%7.1%-0.0%2.6M-11.9M-185.3K0.3612.0941414912,00813,205
2012-10-09$76.74$74.0118.9%4.6%10.2%32.7%16.3%5.4%-0.6%1.8M-6.6M-176.0K0.2013.75811612,01413,235
2012-10-10$75.87$74.0124.7%5.5%10.7%51.7%19.2%4.6%-0.7%763.2K672.9K-162.5K0.6519.4549031911,96013,236
2012-10-11$75.83$74.0119.4%5.6%9.8%36.2%15.9%4.4%-0.9%652.7K1.1M-165.1K0.3711.94742712,29713,504
2012-10-12$75.86$74.0119.2%5.5%7.9%35.6%15.5%4.9%-0.6%412.9K1.5M-158.4K0.1623.412764411,96013,507
2012-10-15$76.12$74.0119.2%5.5%8.1%35.6%18.6%4.8%-0.7%618.0K506.6K-159.2K3.6613.3624589712,15013,541
2012-10-16$78.27$74.0116.0%4.6%13.3%24.5%18.7%7.6%-0.4%3.1M-15.8M-171.7K0.2121.831,01021012,08114,288
2012-10-17$78.58$74.0116.7%4.8%13.4%26.8%16.7%4.8%-0.6%3.6M-20.7M-180.9K0.6819.9543229412,38914,444
2012-10-18$78.95$74.0118.9%5.4%13.5%34.4%18.9%5.4%-1.3%3.1M-22.2M-182.2K4.2023.467743,24912,04614,466
2012-10-19$74.00$78.6318.2%5.2%26.7%32.0%14.7%5.5%0.1%-20.4M33.8M-149.7K3.5324.319903,49812,16817,171
2012-10-22$73.04$78.6316.7%4.8%26.9%26.8%18.0%6.3%0.5%-336.1K15.9M-128.0K1.2521.461,8062,25510,10112,962
2012-10-23$71.49$74.0121.6%6.2%27.7%43.6%20.5%4.8%-0.6%-572.3K22.0M-144.7K0.6918.2099568910,82514,484
2012-10-24$71.31$74.0120.1%5.8%27.7%38.6%18.0%4.3%-0.4%-708.3K22.0M-142.9K0.6067.1980448311,40814,652
2012-10-25$71.91$74.0116.1%4.6%28.0%24.7%18.4%3.4%0.2%-443.8K18.8M-157.8K0.8722.6620017412,01115,029
2012-10-26$72.08$74.0118.1%5.2%28.0%31.7%20.0%4.1%0.1%-359.8K17.5M-162.9K0.5025.4329114611,99515,142
2012-10-31$71.72$74.0117.2%4.9%28.0%28.6%17.8%3.5%1.1%-414.6K18.1M-156.0K0.1278.571,75721812,16715,187