APD Options History — November 2013

In November 2013, APD traded between $99.88 and $102.84. ATM implied volatility averaged 20.0%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 2.6% (HV 20d: 17.4%). Max pain ranged from $83.26 to $115.63. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.61.

Notable Days

  • 2013-11-07: Highest Volume — 6,493 contracts
  • 2013-11-21: Largest IV spike — 15.2% change
  • 2013-11-21: Highest IV Rank — 43.1%
  • 2013-11-21: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.06$99.88$102.84$99.91$100.68
Max Pain$96.40$83.26$115.63$106.38$101.76
ATM IV20.0%17.7%22.8%19.1%19.7%
Expected Move6.7%5.4%7.4%5.5%7.0%
HV 20d17.4%14.1%22.5%22.5%14.1%
HV 60d19.7%19.4%20.8%20.7%19.7%
IV Rank32.9%24.4%43.1%29.4%31.7%
IV Percentile65.4%55.2%70.2%63.9%62.7%
Term Structure1.5%-0.1%2.6%1.3%1.6%
VWIV23.3%19.1%29.1%19.4%23.6%
Skew 25d1.8%-0.6%3.1%2.2%-0.6%
Skew 10d4.3%-1.7%7.4%5.9%4.9%
Call IV 25d20.3%18.1%24.2%18.7%20.8%
Put IV 25d22.2%20.3%23.8%20.9%20.3%
Bid-Ask Spread %19.317.3735.7133.5314.96
Gamma HHI0.330.260.410.260.41
Net GEX6.5M3.1M10.5M3.1M8.1M
Net DEX-98.8M-149.1M-64.6M-64.6M-110.3M
Net VEX-370.4K-450.0K-302.4K-334.6K-384.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.073.511.110.70
Total Volume1,704.71876,4931871,006
Total OI40,300.9534,55946,36534,55946,365

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$99.91$106.3819.1%5.5%22.5%29.4%19.4%2.2%1.3%3.1M-64.6M-334.6K1.1133.53899818,81715,742
2013-11-04$100.62$92.5119.7%5.9%21.7%31.8%21.9%3.0%1.0%3.4M-71.6M-322.9K0.2634.382506618,86615,749
2013-11-05$100.94$92.5119.4%5.9%20.2%30.7%22.3%3.1%0.8%3.4M-74.8M-315.1K0.1530.842904318,80415,770
2013-11-06$101.68$92.5118.8%5.4%19.9%28.5%19.1%2.7%1.9%3.8M-81.5M-302.4K1.1335.7133037218,83015,789
2013-11-07$100.15$92.5119.4%5.7%16.5%30.6%20.2%3.0%2.0%3.3M-66.4M-309.2K0.0733.156,08041318,82115,909
2013-11-08$101.25$92.5117.7%5.5%16.7%24.4%20.0%2.8%2.2%6.7M-97.4M-412.1K0.3232.262196926,41215,947
2013-11-11$100.92$0.0020.3%7.2%16.7%33.7%23.8%2.4%1.8%6.0M-89.6M-369.3K0.0717.691,1538124,37416,125
2013-11-12$99.88$115.6319.6%7.1%16.7%31.1%27.3%2.4%2.1%5.5M-79.3M-368.9K1.5612.5612118924,99115,986
2013-11-13$99.94$83.2619.0%7.2%16.4%29.1%27.1%2.6%2.0%5.6M-78.7M-363.8K0.4210.2346419625,01816,037
2013-11-14$100.53$83.2619.5%7.1%16.3%31.0%0.0%2.2%2.1%6.1M-83.6M-344.6K0.299.4097428524,04615,718
2013-11-15$102.30$83.2620.0%7.1%17.5%32.7%23.8%2.2%2.4%7.8M-113.6M-353.1K0.1614.993,08450324,53015,820
2013-11-18$101.70$83.2619.9%7.1%17.6%32.4%25.1%2.5%2.6%7.2M-114.1M-371.4K0.6012.2650129825,15713,018
2013-11-19$101.84$101.7620.1%7.2%17.2%33.0%0.0%1.6%2.0%7.2M-116.3M-370.4K0.1915.772,46745825,29313,147
2013-11-20$101.39$101.7619.8%7.0%16.9%32.1%0.0%1.4%2.2%8.2M-115.9M-383.2K0.1220.492,12425126,87613,448
2013-11-21$101.49$101.7622.8%7.4%16.7%43.1%29.1%-0.5%-0.1%8.5M-126.9M-426.6K0.1213.924,50756028,95713,479
2013-11-22$102.84$101.7621.8%7.1%17.4%39.4%23.6%1.0%0.3%10.5M-149.1M-450.0K0.2610.653,27084332,33613,871
2013-11-25$101.50$101.7622.0%7.1%16.6%39.9%0.0%1.6%-0.1%8.9M-120.4M-417.5K0.649.9752833530,66614,409
2013-11-26$100.69$101.7621.9%7.1%15.3%39.5%0.0%1.4%0.1%8.4M-108.7M-410.3K0.557.3718510230,90014,480
2013-11-27$100.94$101.7620.1%7.1%15.2%33.3%0.0%-0.1%0.9%8.9M-113.7M-398.2K3.5116.092861,00430,98114,535
2013-11-29$100.68$101.7619.7%7.0%14.1%31.7%0.0%-0.6%1.6%8.1M-110.3M-384.7K0.7014.9659141530,95415,411