APD Options History — December 2013

In December 2013, APD traded between $98.53 and $105.14. ATM implied volatility averaged 20.5%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 3.3% (HV 20d: 17.2%). Max pain ranged from $101.76 to $106.38. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.45.

Notable Days

  • 2013-12-27: Highest Volume — 11,840 contracts
  • 2013-12-12: Largest IV spike — 17.3% change
  • 2013-12-12: Highest IV Rank — 42.9%
  • 2013-12-18: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.30$98.53$105.14$99.62$103.40
Max Pain$101.98$101.76$106.38$101.76$101.76
ATM IV20.5%18.4%22.8%20.1%20.8%
Expected Move6.9%6.7%7.2%7.1%6.8%
HV 20d17.2%13.9%20.1%14.2%19.1%
HV 60d19.2%18.6%20.0%19.7%18.6%
IV Rank34.6%26.9%42.9%33.2%35.6%
IV Percentile62.8%54.0%69.8%65.5%64.3%
Term Structure1.9%1.1%3.4%1.5%2.1%
VWIV24.5%22.8%27.6%27.6%22.8%
Skew 25d1.5%-2.1%3.3%-1.3%2.0%
Skew 10d3.1%-7.9%6.4%-3.3%4.9%
Call IV 25d20.9%19.9%22.2%21.1%20.4%
Put IV 25d22.4%17.8%24.5%19.8%22.4%
Bid-Ask Spread %23.1111.5837.6011.5821.06
Gamma HHI0.460.350.650.400.65
Net GEX8.2M5.9M12.8M7.1M9.7M
Net DEX-94.9M-158.0M-55.6M-91.8M-55.6M
Net VEX-299.9K-349.3K-256.3K-349.3K-277.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.032.972.970.66
Total Volume1,337.85716011,840540323
Total OI43,505.71431,58748,93546,89931,750

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$99.62$101.7620.1%7.1%14.2%33.2%27.6%-1.3%1.5%7.1M-91.8M-349.3K2.9711.5813640431,16415,735
2013-12-03$99.13$101.7619.4%6.8%14.0%30.6%0.0%0.9%3.3%6.4M-80.8M-340.8K0.0826.786324931,16516,084
2013-12-04$99.40$101.7620.3%7.1%14.0%33.8%0.0%-0.3%2.0%6.7M-84.5M-345.5K0.1624.613445431,21116,109
2013-12-05$98.53$101.7619.1%7.0%13.9%29.3%0.0%-2.1%3.4%5.9M-72.7M-319.1K0.1520.626449731,41616,076
2013-12-06$101.30$101.7618.4%7.0%16.5%26.9%0.0%3.2%2.2%8.7M-111.1M-338.2K0.3029.4986425731,36816,045
2013-12-09$101.00$101.7619.4%6.8%16.0%30.7%23.2%2.4%1.6%8.9M-109.0M-327.6K0.2837.601253531,40616,085
2013-12-10$100.93$101.7620.0%6.9%16.0%32.9%24.3%1.8%2.2%8.9M-107.8M-323.0K0.3925.2141015931,41016,055
2013-12-11$98.83$101.7619.4%7.0%17.3%30.6%0.0%1.5%1.7%6.1M-76.7M-281.6K0.4023.251465831,67416,044
2013-12-12$99.43$101.7622.8%7.1%17.5%42.9%23.9%2.6%1.1%7.1M-85.4M-296.0K0.1527.043885831,74216,071
2013-12-13$99.65$106.3821.4%7.0%17.3%37.9%23.9%2.1%1.3%7.4M-89.0M-291.5K0.1415.112193132,00116,105
2013-12-16$99.26$101.7622.7%7.1%16.0%42.6%26.2%1.9%1.1%6.9M-84.7M-268.9K0.2430.303047432,09716,107
2013-12-17$99.35$101.7622.6%7.1%16.0%42.4%0.0%2.4%1.3%6.9M-83.5M-261.5K0.0320.318152232,22816,098
2013-12-18$99.24$101.7621.9%7.2%15.9%39.9%0.0%1.6%1.7%6.5M-81.4M-256.3K0.2728.9343111732,42916,092
2013-12-19$102.61$101.7621.5%7.0%20.1%38.4%0.0%2.3%1.5%12.8M-135.4M-274.2K0.0323.972,1765632,07915,834
2013-12-20$102.96$101.7621.3%6.9%20.1%37.5%0.0%1.7%1.8%11.4M-158.0M-277.1K0.8512.0088875633,10815,827
2013-12-23$104.09$101.7619.7%6.8%19.9%31.7%0.0%3.3%2.2%7.6M-91.0M-277.0K0.3120.4649115420,30111,600
2013-12-24$104.34$101.7620.3%6.7%19.2%33.7%0.0%1.6%2.0%7.6M-95.9M-274.5K0.0422.563,45812920,40211,597
2013-12-26$105.14$101.7619.8%6.9%19.0%31.9%22.8%2.4%2.5%9.5M-115.9M-316.3K0.7722.3224218623,12611,665
2013-12-27$104.93$101.7619.5%6.7%19.1%30.9%0.0%1.6%2.5%9.7M-112.2M-306.9K0.0523.5911,28355723,11711,610
2013-12-30$104.15$101.7620.0%6.8%19.3%32.9%0.0%1.1%1.7%9.8M-70.2M-294.7K1.1818.4324028319,79011,797
2013-12-31$103.40$101.7620.8%6.8%19.1%35.6%0.0%2.0%2.1%9.7M-55.6M-277.6K0.6621.0619512819,81011,940