APD Options History — September 2013

In September 2013, APD traded between $95.20 and $101.78. ATM implied volatility averaged 25.6%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 7.6% (HV 20d: 17.9%). Max pain ranged from $92.51 to $97.13. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.39.

Notable Days

  • 2013-09-26: Highest Volume — 14,519 contracts
  • 2013-09-27: Largest IV spike — 12.4% change
  • 2013-09-30: Highest IV Rank — 59.6%
  • 2013-09-30: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.59$95.20$101.78$95.20$98.58
Max Pain$95.74$92.51$97.13$92.51$97.13
ATM IV25.6%23.6%27.4%27.3%27.4%
Expected Move7.5%6.9%7.8%7.8%7.8%
HV 20d17.9%14.7%21.7%17.3%21.7%
HV 60d25.3%23.9%26.0%25.1%24.6%
IV Rank53.1%45.8%59.6%59.3%59.6%
IV Percentile90.7%82.5%94.8%94.8%94.8%
Term Structure0.5%-0.4%1.5%-0.4%0.3%
VWIV26.3%24.4%28.0%28.0%27.2%
Skew 25d2.8%1.8%4.1%2.3%2.8%
Skew 10d5.7%3.7%7.4%4.7%7.1%
Call IV 25d25.4%23.9%27.4%27.4%26.6%
Put IV 25d28.2%26.4%29.7%29.7%29.4%
Bid-Ask Spread %22.6311.4239.5313.3420.46
Gamma HHI0.300.190.430.190.43
Net GEX6.6M4.6M9.3M4.6M7.4M
Net DEX-171.8M-277.8M-111.5M-117.7M-111.5M
Net VEX-517.0K-568.3K-466.7K-568.3K-466.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.031.010.150.32
Total Volume2,843.7530014,5194843,444
Total OI54,302.136,92865,52059,47437,105

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$95.20$92.5127.3%7.8%17.3%59.3%28.0%2.3%-0.4%4.6M-117.7M-568.3K0.1513.344226236,18923,285
2013-09-04$96.09$92.5125.1%7.2%17.6%51.3%25.2%2.0%1.3%5.1M-134.0M-552.9K0.1111.421,60416936,19923,285
2013-09-05$96.06$92.5125.0%7.2%17.6%51.1%25.3%1.8%1.5%5.1M-133.9M-553.6K0.8216.8316513536,80023,336
2013-09-06$95.27$92.5124.0%7.5%17.7%47.3%27.1%3.4%0.4%4.9M-123.1M-554.3K0.3726.051,69963236,76223,327
2013-09-09$97.82$92.5124.6%7.6%20.4%49.5%26.6%3.4%0.0%6.1M-165.1M-535.7K0.3722.9061022837,42123,410
2013-09-10$98.24$92.5124.4%7.5%16.3%48.9%26.4%4.1%0.1%6.3M-172.5M-528.3K0.6133.101,51492937,47523,467
2013-09-11$98.32$97.1323.6%7.5%16.1%45.8%26.6%3.5%0.7%6.6M-175.7M-525.9K1.0133.9591192137,64223,033
2013-09-12$97.81$97.1326.2%7.5%15.6%55.3%25.8%2.9%1.1%6.3M-168.7M-513.2K0.4226.131,63168537,63723,025
2013-09-13$98.20$97.1326.0%7.5%14.7%54.8%26.4%3.4%0.6%6.1M-173.5M-507.4K0.3220.8241913636,24221,820
2013-09-16$99.90$97.1325.6%7.3%15.3%53.3%27.4%3.6%0.5%6.4M-204.9M-467.0K0.2020.462,84356636,02621,886
2013-09-17$98.56$97.1326.4%7.6%16.4%56.0%26.1%2.9%0.5%5.5M-178.7M-468.0K0.0325.888,47529335,39422,033
2013-09-18$101.17$97.1325.3%7.3%18.4%52.3%25.5%2.4%0.6%9.3M-274.0M-538.8K0.4937.1767032543,39922,121
2013-09-19$101.78$97.1325.3%7.2%18.1%52.0%25.7%2.1%0.4%8.6M-277.8M-522.6K0.3039.5382824941,99621,777
2013-09-20$100.43$97.1325.4%7.3%18.8%52.3%26.2%2.4%0.7%7.4M-252.9M-522.3K0.2425.261,14627342,09321,895
2013-09-23$99.37$97.1326.6%7.6%19.1%56.7%25.7%3.1%0.1%7.2M-156.5M-523.1K0.7826.9474257729,03111,593
2013-09-24$99.18$97.1326.3%7.5%19.0%55.6%27.2%3.1%-0.0%7.6M-155.2M-515.8K0.7514.6222416829,12111,435
2013-09-25$99.28$97.1325.9%7.4%18.0%54.5%26.1%2.7%-0.1%7.6M-157.1M-509.5K0.4313.7068029229,19711,531
2013-09-26$101.55$97.1324.1%6.9%19.1%47.9%24.4%2.5%0.8%7.6M-185.2M-491.7K0.0712.1413,5091,01029,48511,641
2013-09-27$98.98$97.1327.1%7.8%21.7%58.8%26.7%2.6%0.0%7.1M-117.1M-475.6K0.1011.846,99169824,97111,957
2013-09-30$98.58$97.1327.4%7.8%21.7%59.6%27.2%2.8%0.3%7.4M-111.5M-466.7K0.3220.462,61782725,10012,005