APD Options History — October 2013

In October 2013, APD traded between $94.89 and $103.36. ATM implied volatility averaged 25.4%, placing in the 52.5% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 2.4% (HV 20d: 23.0%). Max pain ranged from $97.13 to $106.38. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.00.

Notable Days

  • 2013-10-29: Highest Volume — 4,121 contracts
  • 2013-10-29: Largest IV drop — 22.4% change
  • 2013-10-28: Highest IV Rank — 62.2%
  • 2013-10-08: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.13$94.89$103.36$99.08$100.84
Max Pain$99.95$97.13$106.38$97.13$106.38
ATM IV25.4%19.1%28.1%26.2%19.1%
Expected Move7.4%5.5%8.4%7.5%5.5%
HV 20d23.0%19.9%26.3%21.7%22.4%
HV 60d22.8%19.7%25.5%24.6%20.6%
IV Rank52.5%29.4%62.2%55.2%29.4%
IV Percentile86.0%64.7%96.4%90.1%64.7%
Term Structure-1.1%-4.3%2.1%1.2%1.9%
VWIV26.2%19.3%30.8%25.7%19.3%
Skew 25d3.3%1.9%4.1%3.8%2.3%
Skew 10d7.2%4.2%9.7%8.0%5.8%
Call IV 25d24.9%19.1%28.8%24.5%19.1%
Put IV 25d28.2%21.4%32.4%28.3%21.4%
Bid-Ask Spread %16.488.9630.1621.0928.35
Gamma HHI0.430.200.680.530.26
Net GEX8.6M2.3M14.9M11.5M3.1M
Net DEX-130.7M-229.3M-53.8M-157.4M-71.8M
Net VEX-412.1K-530.0K-328.2K-530.0K-335.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.1510.760.390.21
Total Volume1,032.1742824,1211,333801
Total OI40,831.08729,66147,53145,76634,257

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$99.08$97.1326.2%7.5%21.7%55.2%25.7%3.8%1.2%11.5M-157.4M-530.0K0.3921.0996237132,73113,035
2013-10-02$99.13$97.1325.6%7.3%21.5%53.3%25.7%2.5%1.8%12.3M-159.0M-529.3K0.1810.275399532,88213,254
2013-10-03$97.53$97.1325.6%7.3%22.4%53.2%25.7%2.9%2.1%12.5M-132.7M-525.4K0.6010.7028116832,97313,247
2013-10-04$98.34$97.1325.3%7.8%22.3%52.1%28.0%3.1%-1.8%13.2M-146.4M-520.7K0.6716.8748432533,06613,273
2013-10-07$96.78$97.1325.8%8.2%21.1%53.9%28.9%3.7%-1.8%14.2M-116.9M-502.7K0.1712.701,22920433,29413,488
2013-10-08$94.89$97.1326.7%8.4%22.1%57.4%29.3%3.5%-2.0%12.1M-79.7M-478.3K0.268.961,56040232,79613,575
2013-10-09$96.20$97.1325.4%8.2%22.7%52.7%30.8%3.1%-1.5%14.9M-106.0M-500.4K0.249.2851512433,78613,745
2013-10-10$99.72$97.1326.7%7.7%26.2%57.2%27.5%3.8%-1.2%14.1M-173.3M-463.0K0.4513.4451222932,40613,838
2013-10-11$100.57$97.1326.3%7.6%26.3%55.9%28.5%3.8%-1.5%13.9M-190.3M-437.1K0.8411.9824820932,15713,949
2013-10-14$100.99$97.1327.3%7.8%25.6%59.3%29.5%3.6%-2.0%11.9M-203.1M-406.9K0.1513.065928832,12314,110
2013-10-15$100.00$97.1327.7%7.9%25.4%60.7%27.5%3.6%-2.2%14.0M-186.0M-409.7K0.6711.9822915531,91314,112
2013-10-16$100.92$97.1326.6%7.6%23.8%56.7%27.3%3.6%-1.9%11.2M-209.6M-381.0K0.5114.5024512432,00214,117
2013-10-17$101.64$97.1325.8%7.4%23.8%54.0%25.4%3.5%-1.8%5.8M-223.3M-349.1K0.4918.5261630531,65914,022
2013-10-18$101.93$97.1325.1%7.2%23.3%51.4%24.7%3.0%-1.8%11.5M-229.3M-353.0K0.1815.3498318231,85614,194
2013-10-21$102.37$97.1324.7%7.1%23.0%49.9%27.0%3.2%-1.4%3.4M-90.3M-336.7K1.2924.9212315917,17112,490
2013-10-22$103.36$97.1325.8%7.4%23.1%53.9%26.1%3.9%-2.0%3.5M-97.7M-328.2K10.7625.082652,84817,21612,561
2013-10-23$102.36$106.3825.8%7.4%23.5%54.0%25.8%3.5%-2.0%2.3M-79.1M-365.2K1.8620.8214727317,27015,173
2013-10-24$103.03$106.3826.3%7.5%22.2%55.8%25.2%4.1%-2.8%2.4M-84.9M-353.7K0.4520.0639217617,22415,151
2013-10-25$103.36$106.3826.2%7.5%19.9%55.3%25.6%3.6%-2.3%2.4M-86.5M-351.2K0.2713.6568418317,31315,118
2013-10-28$101.33$106.3828.1%8.0%21.3%62.2%28.5%3.7%-4.3%2.6M-72.9M-355.1K0.8710.5051845017,83815,236
2013-10-29$99.42$106.3821.8%6.2%22.5%39.2%20.5%1.9%-0.2%2.7M-55.8M-330.9K1.3316.831,7672,35418,09915,441
2013-10-30$99.17$106.3820.7%5.9%22.5%35.2%20.3%2.3%1.1%2.8M-53.8M-334.0K0.2130.1651610818,32615,628
2013-10-31$100.84$106.3819.1%5.5%22.4%29.4%19.3%2.3%1.9%3.1M-71.8M-335.7K0.2128.3566014118,57315,684