APD Options History — November 2012

In November 2012, APD traded between $72.29 and $77.10. ATM implied volatility averaged 17.3%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 4.1% (HV 20d: 21.4%). Max pain ranged from $74.01 to $74.01. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.60.

Notable Days

  • 2012-11-16: Highest Volume — 4,884 contracts
  • 2012-11-28: Largest IV spike — 22.0% change
  • 2012-11-14: Highest IV Rank — 45.5%
  • 2012-11-14: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.67$72.29$77.10$72.33$76.73
Max Pain$74.01$74.01$74.01$74.01$74.01
ATM IV17.3%13.1%22.1%17.0%13.6%
Expected Move4.9%3.8%5.8%4.9%3.9%
HV 20d21.4%9.5%28.6%28.3%9.9%
HV 60d18.8%18.6%19.0%18.8%18.6%
IV Rank29.7%15.2%45.5%27.9%19.9%
IV Percentile31.2%1.2%78.2%23.8%2.0%
Term Structure0.6%-0.3%1.6%-0.3%1.1%
VWIV17.6%13.6%20.9%17.8%17.1%
Skew 25d3.5%2.9%4.8%3.7%3.6%
Skew 10d8.4%5.6%10.3%5.7%9.6%
Call IV 25d15.8%12.8%18.4%17.3%13.8%
Put IV 25d19.4%16.2%22.1%21.0%17.4%
Bid-Ask Spread %24.1712.0764.3033.2464.30
Gamma HHI0.300.200.860.230.32
Net GEX-764.0K-20.1M1.3M-229.9K1.0M
Net DEX2.8M-15.0M19.3M16.0M-12.1M
Net VEX-188.2K-211.3K-158.5K-158.5K-196.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.600.0218.313.810.47
Total Volume1,043.3331334,8843,359232
Total OI29,476.23827,04532,97627,04530,143

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$72.33$74.0117.0%4.9%28.3%27.9%17.8%3.7%-0.3%-229.9K16.0M-158.5K3.8133.246982,66111,68715,358
2012-11-02$72.29$74.0116.8%4.8%28.3%27.2%18.1%3.3%0.2%-595.9K19.3M-176.8K6.1714.9911973412,09116,777
2012-11-05$72.85$74.0118.3%5.0%28.3%32.3%19.5%3.7%0.7%-177.7K14.8M-172.3K4.1544.0714761012,11816,345
2012-11-06$73.77$74.0118.6%5.2%28.6%33.5%18.3%4.0%0.4%195.3K9.3M-188.9K0.6515.0220213112,14116,828
2012-11-07$73.51$74.0118.5%5.3%28.6%33.1%18.5%3.2%0.2%154.2K10.5M-187.8K1.7014.7128548412,15616,834
2012-11-08$73.22$74.0118.1%5.3%28.5%31.6%18.8%3.5%0.3%38.7K12.4M-183.8K0.5322.5352427612,13717,126
2012-11-09$73.76$74.0118.4%5.3%28.4%32.7%16.9%3.9%0.5%322.8K9.1M-192.2K0.5612.0746326112,36717,241
2012-11-12$73.96$74.0117.7%5.2%28.5%30.3%17.7%2.9%0.6%730.9K7.0M-181.6K0.0214.199591512,46117,181
2012-11-13$74.51$74.0119.3%5.4%28.6%35.7%18.9%3.4%0.4%1.1M972.4K-201.7K18.3124.561793,28613,06017,182
2012-11-14$74.22$74.0122.1%5.8%28.6%45.5%18.7%3.7%0.1%-2.4M11.2M-211.3K0.8826.5818416213,12619,850
2012-11-15$73.87$74.0119.7%5.6%26.5%37.1%20.9%3.1%0.2%-3.7M15.4M-198.9K0.4915.1047022812,73219,541
2012-11-16$74.01$74.0118.5%5.3%26.4%32.9%18.4%3.2%0.5%-20.1M12.3M-194.8K1.7416.971,7853,09913,03119,591
2012-11-19$74.81$74.0117.1%4.9%26.7%28.4%16.5%3.9%0.8%452.4K753.7K-190.5K0.9913.8810210112,23616,000
2012-11-20$75.49$74.0116.9%4.9%13.6%27.6%16.7%4.8%1.2%669.4K-3.3M-192.0K0.2115.152024312,24616,024
2012-11-21$75.80$74.0116.7%4.8%12.6%28.3%16.4%3.9%1.1%832.0K-6.2M-192.2K2.3613.147818412,36616,024
2012-11-23$76.82$74.0113.1%3.8%9.7%15.2%13.6%3.4%1.3%1.3M-13.8M-183.6K0.5315.7539721012,39716,109
2012-11-26$77.10$74.0113.9%4.0%9.5%18.1%17.9%3.4%0.5%1.3M-15.0M-182.7K0.6240.78825112,58216,202
2012-11-27$76.66$74.0114.1%4.0%9.9%19.0%15.8%3.5%0.8%1.2M-12.4M-191.9K1.4716.0410815912,61116,242
2012-11-28$76.27$74.0117.2%4.9%10.3%30.9%16.8%3.2%1.6%1.1M-9.7M-186.9K6.0156.251781,07212,62116,345
2012-11-29$76.18$74.0117.4%5.0%10.0%36.0%16.8%3.1%1.0%799.0K-7.7M-187.6K2.8918.3519255712,77117,121
2012-11-30$76.73$74.0113.6%3.9%9.9%19.9%17.1%3.6%1.1%1.0M-12.1M-196.2K0.4764.301587412,92217,221