APD Options History — January 2013

In January 2013, APD traded between $79.15 and $82.70. ATM implied volatility averaged 13.8%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 2.8% (HV 20d: 16.6%). Max pain ranged from $78.63 to $78.63. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2013-01-22: Highest Volume — 3,805 contracts
  • 2013-01-31: Largest IV spike — 31.2% change
  • 2013-01-16: Highest IV Rank — 34.7%
  • 2013-01-16: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.17$79.15$82.70$79.43$80.88
Max Pain$78.63$78.63$78.63$78.63$78.63
ATM IV13.8%11.0%17.1%14.9%15.3%
Expected Move4.1%3.2%4.9%4.3%4.4%
HV 20d16.6%11.8%17.9%17.1%11.8%
HV 60d17.4%13.4%20.5%20.4%13.7%
IV Rank20.9%9.0%34.7%25.6%27.5%
IV Percentile9.1%0.4%37.7%11.9%21.4%
Term Structure0.4%-1.1%2.4%2.4%0.7%
VWIV14.6%11.0%17.2%14.9%12.0%
Skew 25d3.9%2.1%6.8%6.8%2.1%
Skew 10d8.2%2.8%11.3%11.3%2.8%
Call IV 25d12.7%10.4%14.8%10.4%12.5%
Put IV 25d16.6%14.1%18.7%17.1%14.6%
Bid-Ask Spread %31.1311.6174.7014.8572.88
Gamma HHI0.460.340.650.360.60
Net GEX3.3M2.3M4.8M2.3M3.3M
Net DEX-39.2M-50.3M-22.0M-22.0M-28.3M
Net VEX-211.0K-233.6K-182.9K-182.9K-231.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.002.330.150.13
Total Volume847.7141823,8051,764293
Total OI26,406.09518,13230,34626,93923,437

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$79.43$78.6314.9%4.3%17.1%25.6%14.9%6.8%2.4%2.3M-22.0M-182.9K0.1514.851,53922510,76616,173
2013-01-03$79.15$78.6314.9%4.3%17.2%25.6%14.9%6.5%2.3%2.4M-27.0M-211.3K0.4316.0972230812,04016,330
2013-01-04$80.21$78.6314.5%4.8%17.7%24.0%16.5%3.9%0.3%2.9M-36.2M-208.8K0.6621.3318111912,39816,230
2013-01-07$80.14$78.6315.3%4.9%17.7%27.0%14.7%4.1%0.0%3.1M-36.4M-207.6K0.5123.6124412412,48316,310
2013-01-08$80.29$78.6314.9%4.9%17.4%25.4%17.2%4.2%-0.1%3.2M-38.0M-205.1K0.4922.7947623212,68216,314
2013-01-09$81.37$78.6312.7%4.4%17.9%16.0%15.3%3.9%-0.0%3.7M-45.9M-205.2K0.2322.1849311612,94616,361
2013-01-10$81.30$78.6314.7%4.2%17.9%24.6%16.2%3.9%-0.1%3.7M-45.8M-206.7K0.5220.531829513,12416,402
2013-01-11$81.75$78.6314.5%4.1%17.5%23.7%17.2%4.8%0.3%3.9M-50.3M-204.8K0.1415.844736613,24316,434
2013-01-14$81.40$78.6314.6%4.2%17.7%24.2%14.8%3.7%0.1%3.8M-45.9M-207.6K0.1015.978187913,33416,446
2013-01-15$81.13$78.6314.6%4.2%17.6%24.3%15.9%3.6%-0.1%2.7M-48.5M-202.4K0.2117.412435113,87816,468
2013-01-16$80.75$78.6317.1%4.9%17.6%34.7%16.6%3.5%-0.1%2.6M-45.4M-202.5K0.0012.31597213,71216,467
2013-01-17$81.79$78.6314.6%4.2%17.6%24.1%15.1%4.1%-0.3%2.8M-48.4M-197.4K0.2074.7054810913,24716,269
2013-01-18$82.04$78.6314.6%4.2%17.1%24.1%14.7%4.7%-0.6%3.0M-48.7M-201.7K0.0272.991,3772713,41116,370
2013-01-22$82.70$78.6315.2%4.4%16.6%26.8%17.2%3.1%-1.1%3.2M-41.8M-201.2K2.3321.241,1422,66310,2327,900
2013-01-23$81.81$78.6311.6%3.3%16.8%11.2%11.7%2.9%0.8%3.3M-36.5M-219.7K0.5118.3674338211,09310,035
2013-01-24$81.62$78.6311.1%3.2%16.5%9.4%13.9%3.1%0.8%3.6M-36.5M-223.2K0.1711.6191315911,70310,192
2013-01-25$81.74$78.6311.0%3.2%16.4%9.0%11.0%3.3%0.8%4.0M-36.1M-229.4K0.2716.001433911,89210,217
2013-01-28$81.42$78.6311.3%3.2%15.9%10.1%13.7%3.5%0.8%3.8M-33.6M-221.7K0.2265.373908811,98210,219
2013-01-29$82.22$78.6311.1%3.2%13.3%9.4%11.1%3.9%1.1%4.8M-40.5M-226.9K0.2772.4876421012,30310,238
2013-01-30$81.40$78.6311.7%3.4%13.6%11.9%12.2%3.1%0.7%4.0M-32.3M-233.6K0.7025.2325217512,82810,419
2013-01-31$80.88$78.6315.3%4.4%11.8%27.5%12.0%2.1%0.7%3.3M-28.3M-231.3K0.1372.882593412,89610,541