APD Options History — August 2013

In August 2013, APD traded between $93.33 and $99.75. ATM implied volatility averaged 26.8%, placing in the 59.2% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 0.8% (HV 20d: 27.6%). Max pain ranged from $92.51 to $92.51. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.61.

Notable Days

  • 2013-08-12: Highest Volume — 10,007 contracts
  • 2013-08-08: Largest IV drop — 18.1% change
  • 2013-08-01: Highest IV Rank — 87.5%
  • 2013-08-01: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.08$93.33$99.75$99.21$94.49
Max Pain$92.51$92.51$92.51$92.51$92.51
ATM IV26.8%22.9%34.7%34.7%26.9%
Expected Move7.4%6.6%10.0%10.0%7.7%
HV 20d27.6%17.1%33.2%31.1%17.3%
HV 60d24.5%23.6%25.2%23.7%25.1%
IV Rank59.2%43.5%87.5%87.5%57.9%
IV Percentile94.0%88.5%98.8%98.8%94.8%
Term Structure-0.4%-7.0%1.3%-7.0%0.4%
VWIV25.9%23.0%34.5%34.5%26.0%
Skew 25d2.3%-0.3%3.7%0.1%2.2%
Skew 10d4.7%-1.8%7.4%-1.8%4.2%
Call IV 25d25.1%22.6%35.6%35.6%26.1%
Put IV 25d27.4%25.1%35.7%35.7%28.3%
Bid-Ask Spread %19.4210.3935.9515.8711.33
Gamma HHI0.290.180.470.340.18
Net GEX7.2M2.0M13.1M10.4M4.3M
Net DEX-144.6M-252.9M-84.3M-235.3M-107.0M
Net VEX-616.8K-786.3K-528.9K-762.6K-588.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.192.640.380.33
Total Volume2,666.77320310,0078,0371,404
Total OI67,105.18252,91981,25073,73759,189

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$99.21$92.5134.7%10.0%31.1%87.5%34.5%0.1%-7.0%10.4M-235.3M-762.6K0.3815.875,8232,21446,65327,084
2013-08-02$98.94$92.5131.0%8.9%31.3%75.0%31.2%-0.3%-5.5%13.1M-237.2M-786.3K0.2415.184,09397950,48527,456
2013-08-05$99.75$92.5132.3%7.5%31.3%79.4%26.3%2.4%-1.4%12.4M-252.9M-723.4K0.4414.4986938448,63227,950
2013-08-06$98.86$92.5130.8%7.6%29.6%74.2%25.9%1.8%-1.0%12.8M-230.1M-716.2K0.2335.951,69339648,84928,111
2013-08-07$98.76$92.5130.6%7.7%29.7%73.4%28.1%2.0%-1.5%13.0M-223.9M-711.1K0.2116.404,17689648,67928,106
2013-08-08$98.63$92.5125.0%7.2%29.8%54.6%24.6%2.9%-0.1%12.2M-214.4M-675.1K0.6326.391,7611,11745,70528,590
2013-08-09$98.70$92.5125.7%7.2%29.7%57.0%26.0%3.3%-0.5%11.8M-215.3M-657.0K2.6420.5230881345,52529,076
2013-08-12$95.47$92.5128.0%7.1%32.6%64.7%26.5%3.7%-0.2%8.8M-138.6M-633.6K0.8423.235,4514,55645,47228,872
2013-08-13$96.16$92.5125.9%6.9%32.2%57.4%24.3%3.1%0.6%10.4M-151.2M-636.1K0.1928.3471113249,19331,980
2013-08-14$95.08$92.5127.7%6.8%32.6%63.8%24.8%3.4%1.0%8.1M-123.8M-624.7K0.4420.161,55068349,34231,882
2013-08-15$93.84$92.5124.9%7.1%33.1%54.1%25.5%2.8%0.3%3.5M-89.0M-587.9K0.8520.102,3121,95448,24731,417
2013-08-16$93.33$92.5123.5%6.7%33.2%49.3%23.4%2.3%0.9%2.0M-87.2M-571.6K0.9221.761,3191,21348,90232,348
2013-08-19$93.91$92.5124.3%7.0%33.1%52.1%24.4%2.9%0.4%3.4M-84.3M-546.9K0.6422.6937724131,29621,623
2013-08-20$94.57$92.5123.8%6.8%31.7%46.8%24.1%2.8%0.8%3.8M-93.1M-545.9K0.4122.7954322431,60021,738
2013-08-21$94.08$92.5123.7%6.8%31.8%46.4%23.0%2.4%1.3%3.8M-89.0M-543.1K0.3918.141465731,98921,826
2013-08-22$95.26$92.5122.9%6.6%22.2%43.5%24.0%2.3%0.8%4.3M-105.1M-550.2K0.4822.0631715132,05421,832
2013-08-23$96.21$92.5123.7%6.8%20.3%46.2%23.9%1.6%0.3%4.5M-117.3M-547.2K1.2118.2648158232,17421,913
2013-08-26$95.58$92.5123.7%6.8%20.3%46.4%24.5%2.5%0.6%4.3M-109.3M-528.9K0.8816.0026423232,22722,329
2013-08-27$94.23$92.5126.5%7.6%20.5%56.5%25.9%2.5%0.4%3.8M-91.3M-539.1K0.2313.751,66937732,35122,456
2013-08-28$93.87$92.5126.2%7.5%17.1%55.2%25.9%2.1%0.5%3.6M-86.5M-541.8K0.3310.3992530232,79322,610
2013-08-29$94.76$92.5127.5%7.9%17.3%60.1%26.9%2.2%0.2%4.0M-100.0M-552.2K0.4813.443,3711,60333,11622,642
2013-08-30$94.49$92.5126.9%7.7%17.3%57.9%26.0%2.2%0.4%4.3M-107.0M-588.9K0.3311.331,05834635,89023,299