APD Options History — May 2013

In May 2013, APD traded between $79.27 and $87.99. ATM implied volatility averaged 14.8%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 3.8% (HV 20d: 18.6%). Max pain ranged from $78.63 to $83.26. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.13.

Notable Days

  • 2013-05-02: Highest Volume — 4,491 contracts
  • 2013-05-16: Largest IV spike — 21.9% change
  • 2013-05-29: Highest IV Rank — 30.9%
  • 2013-05-15: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.39$79.27$87.99$79.27$87.34
Max Pain$81.36$78.63$83.26$78.63$83.26
ATM IV14.8%11.9%16.2%16.1%15.6%
Expected Move4.4%4.0%4.8%4.6%4.5%
HV 20d18.6%10.5%22.0%17.3%10.5%
HV 60d17.6%16.2%18.3%16.2%17.0%
IV Rank25.3%12.9%30.9%30.5%28.4%
IV Percentile26.7%4.0%46.8%37.7%37.7%
Term Structure0.5%-0.7%1.7%-0.3%-0.3%
VWIV15.5%13.2%18.2%16.0%16.4%
Skew 25d3.1%-1.8%6.3%-1.8%3.1%
Skew 10d6.4%-4.0%11.7%-4.0%2.2%
Call IV 25d14.2%10.6%15.7%15.2%15.3%
Put IV 25d17.3%13.5%19.0%13.5%18.3%
Bid-Ask Spread %17.674.1552.344.1513.13
Gamma HHI0.470.360.550.360.55
Net GEX3.6M1.5M4.5M1.5M3.7M
Net DEX-64.2M-89.1M-19.7M-19.7M-68.8M
Net VEX-292.7K-327.1K-248.0K-248.0K-316.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.068.380.351.06
Total Volume991.864764,49116276
Total OI27,602.31824,48630,10024,48629,063

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$79.27$78.6316.1%4.6%17.3%30.5%16.0%-1.8%-0.3%1.5M-19.7M-248.0K0.354.151204214,10310,383
2013-05-02$82.37$78.6315.1%4.3%21.5%26.4%16.1%5.8%-0.3%3.4M-45.3M-273.3K0.525.642,9511,54014,16210,397
2013-05-03$83.07$78.6314.0%4.0%21.5%21.7%14.3%6.3%0.7%4.2M-50.9M-285.1K1.205.9541249514,92311,082
2013-05-06$82.68$78.6314.5%4.2%21.6%24.0%15.4%3.5%1.3%3.7M-44.9M-283.5K1.1115.0810411614,95511,422
2013-05-07$83.28$78.6314.4%4.2%21.7%23.5%14.6%3.4%1.1%4.1M-51.2M-279.6K0.3111.132387415,01111,466
2013-05-08$84.32$78.6314.9%4.2%22.0%25.4%14.4%2.9%1.5%4.5M-63.6M-272.9K1.0913.5631934915,13711,485
2013-05-09$84.19$78.6313.6%4.3%21.8%20.1%14.9%3.3%1.4%4.3M-61.5M-276.5K1.5112.2436455015,27311,731
2013-05-10$84.38$78.6313.5%4.3%21.7%19.3%13.2%3.1%1.4%4.0M-62.5M-283.2K0.1213.481,28314915,36912,236
2013-05-13$84.03$78.6315.0%4.6%19.5%26.0%16.2%3.2%0.8%3.8M-58.7M-282.6K8.3812.311731,45015,58512,250
2013-05-14$84.73$83.2614.2%4.8%18.7%22.5%16.7%3.4%0.5%3.0M-62.3M-295.6K0.4414.0935215715,66413,575
2013-05-15$85.46$83.2611.9%4.8%18.3%12.9%14.8%3.5%0.6%2.8M-71.0M-296.3K0.3415.2558820015,83713,661
2013-05-16$85.82$83.2614.6%4.2%17.5%24.1%14.8%2.8%1.5%2.9M-74.6M-294.3K0.0629.937924615,99713,689
2013-05-17$87.26$83.2614.6%4.2%18.0%24.1%14.8%6.3%1.7%3.2M-89.1M-290.1K0.2152.3490319316,41313,687
2013-05-20$87.71$83.2614.6%4.2%17.9%24.1%15.2%1.7%0.3%3.6M-77.7M-283.9K0.2744.841,79848514,90510,729
2013-05-21$87.75$83.2615.4%4.4%16.8%27.5%14.7%2.5%0.3%3.5M-76.5M-292.3K0.2410.4573617715,28610,906
2013-05-22$87.99$83.2615.4%4.4%16.8%27.5%15.3%2.6%0.3%3.6M-78.5M-295.2K0.4125.421,73171015,75811,056
2013-05-23$87.11$83.2615.9%4.6%17.6%29.8%16.6%2.1%-0.2%3.6M-71.6M-319.5K3.2221.9914948116,86111,613
2013-05-24$86.89$83.2615.7%4.5%17.5%29.0%16.7%2.5%-0.0%3.4M-67.4M-327.1K2.3125.3514232616,86611,857
2013-05-28$87.61$83.2615.7%4.5%17.4%29.0%15.7%2.8%-0.2%3.8M-74.4M-312.9K0.2915.3654415716,91412,083
2013-05-29$87.54$83.2616.2%4.6%17.5%30.9%16.3%3.2%-0.7%3.6M-70.1M-317.5K0.7016.991359416,63612,219
2013-05-30$87.78$83.2615.8%4.5%16.0%29.2%18.2%2.5%-0.4%3.9M-72.7M-312.6K0.7910.16675316,70312,303
2013-05-31$87.34$83.2615.6%4.5%10.5%28.4%16.4%3.1%-0.3%3.7M-68.8M-316.6K1.0613.13373916,72612,337