APD Options History — July 2013

In July 2013, APD traded between $83.95 and $100.50. ATM implied volatility averaged 24.5%, placing in the 81.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 2.6% (HV 20d: 27.1%). Max pain ranged from $87.88 to $92.51. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.27.

Notable Days

  • 2013-07-26: Highest Volume — 26,363 contracts
  • 2013-07-25: Largest IV spike — 65.3% change
  • 2013-07-11: Highest IV Rank — 100.0%
  • 2013-07-26: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.72$83.95$100.50$86.50$100.50
Max Pain$88.72$87.88$92.51$87.88$92.51
ATM IV24.5%17.3%38.4%21.7%27.8%
Expected Move7.2%5.0%11.0%6.2%8.0%
HV 20d27.1%20.7%34.4%20.7%30.1%
HV 60d20.3%18.1%24.0%18.1%23.4%
IV Rank81.2%53.2%100.0%81.1%64.0%
IV Percentile92.4%69.4%100.0%98.4%98.4%
Term Structure-2.2%-6.3%3.8%0.5%-3.1%
VWIV25.3%16.7%38.9%24.5%29.5%
Skew 25d1.7%-1.6%4.5%4.4%-0.8%
Skew 10d3.4%-3.0%8.8%7.8%-1.1%
Call IV 25d24.9%16.2%39.7%21.5%29.3%
Put IV 25d26.6%19.1%39.7%25.9%28.5%
Bid-Ask Spread %33.2810.0858.2110.0822.50
Gamma HHI0.410.300.600.300.39
Net GEX4.2M-6.0M12.5M1.9M12.5M
Net DEX-100.9M-274.7M19.7M-38.9M-274.7M
Net VEX-488.1K-789.5K-358.1K-358.1K-676.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.126.612.761.60
Total Volume7,446.77320026,36320,25412,152
Total OI49,055.59129,75075,37129,75072,186

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$86.50$87.8821.7%6.2%20.7%81.1%24.5%4.4%0.5%1.9M-38.9M-358.1K2.7610.085,38214,87216,27613,474
2013-07-02$83.95$87.8817.3%5.0%22.9%53.2%16.7%2.3%3.6%-6.0M19.7M-393.4K6.6110.881,71211,32618,42723,246
2013-07-03$84.54$87.8817.6%5.1%22.8%55.3%17.6%3.4%3.8%-1.2M-8.9M-384.8K3.1012.304841,50019,14218,402
2013-07-05$85.00$87.8817.6%6.1%22.8%54.8%19.9%4.2%-1.2%-1.1M-13.3M-374.6K1.7218.5612221019,34118,641
2013-07-08$85.43$87.8817.8%6.2%22.8%56.0%19.9%4.5%-1.9%-613.0K-18.9M-367.3K0.6514.6722514619,32618,701
2013-07-09$88.77$87.8821.3%6.7%26.8%78.8%22.7%2.6%-2.3%2.6M-61.8M-390.9K0.2517.7412,5893,20219,29218,643
2013-07-10$89.30$87.8820.9%6.7%26.9%76.1%23.1%2.6%-1.7%4.4M-86.4M-478.4K0.6053.681,8281,08926,11820,857
2013-07-11$89.74$87.8824.8%7.1%26.9%100.0%24.3%1.6%-2.7%4.0M-90.7M-475.6K0.1323.665,83875225,64321,541
2013-07-12$89.41$87.8825.0%7.2%26.9%100.0%24.6%2.4%-3.1%4.4M-89.4M-497.4K1.0724.001,3971,48930,15421,899
2013-07-15$89.37$87.8824.6%7.1%26.6%97.4%23.8%2.0%-3.2%3.9M-85.6M-481.6K0.2223.221,32229329,73922,822
2013-07-16$88.34$87.8824.2%7.0%26.9%95.2%24.3%2.6%-2.5%1.6M-64.1M-466.6K1.2950.901,3461,73329,16222,880
2013-07-17$89.15$87.8824.3%7.0%27.1%95.9%24.9%2.0%-3.1%3.7M-85.2M-466.7K0.3555.871485229,67522,221
2013-07-18$89.62$87.8826.2%7.5%27.2%100.0%25.6%3.4%-3.7%4.5M-92.1M-460.4K2.0956.341,4052,93629,02321,768
2013-07-19$89.72$87.8826.3%7.5%26.1%100.0%26.5%2.0%-4.1%3.9M-92.7M-463.5K2.5854.0830879328,76823,344
2013-07-22$90.55$87.8823.6%6.8%26.2%84.2%24.9%2.5%-3.0%4.8M-84.0M-436.7K1.0854.371,4911,61724,63115,013
2013-07-23$93.11$87.8819.0%5.5%27.3%58.1%20.5%-0.7%-0.0%6.5M-119.0M-428.4K0.1637.079,9501,58224,65016,063
2013-07-24$93.02$87.8818.5%5.3%27.2%55.1%19.8%-0.5%0.1%10.3M-133.0M-476.5K0.2458.211,47735832,22916,025
2013-07-25$99.08$87.8830.6%8.8%34.4%100.0%30.7%-0.6%-3.9%8.6M-225.4M-472.9K0.5938.1513,0077,73932,91916,141
2013-07-26$96.32$92.5138.4%11.0%33.3%100.0%38.9%0.0%-5.1%6.1M-163.1M-631.8K0.4141.9318,6607,70334,96721,255
2013-07-29$96.80$92.5136.1%10.3%32.6%92.0%36.8%-0.8%-6.3%8.0M-185.4M-765.4K0.1239.0710,7991,26343,52325,725
2013-07-30$97.70$92.5135.0%10.0%32.2%88.3%36.0%-1.6%-6.1%10.5M-227.8M-789.5K0.4014.791,09244049,09026,281
2013-07-31$100.50$92.5127.8%8.0%30.1%64.0%29.5%-0.8%-3.1%12.5M-274.7M-676.5K1.6022.504,6817,47145,60626,580