APD Options History — March 2014

In March 2014, APD traded between $108.51 and $113.33. ATM implied volatility averaged 21.9%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 3.9% (HV 20d: 18.0%). Max pain ranged from $92.51 to $106.38. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2014-03-12: Highest Volume — 14,776 contracts
  • 2014-03-04: Largest IV drop — 10.1% change
  • 2014-03-12: Highest IV Rank — 48.1%
  • 2014-03-28: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.56$108.51$113.33$111.49$110.12
Max Pain$99.33$92.51$106.38$97.13$106.38
ATM IV21.9%19.9%24.3%23.7%20.6%
Expected Move6.6%6.2%7.0%6.3%6.9%
HV 20d18.0%13.8%22.7%22.7%14.8%
HV 60d20.0%19.1%21.1%20.9%19.9%
IV Rank38.4%30.0%48.1%46.0%32.7%
IV Percentile54.9%38.5%72.2%68.7%43.7%
Term Structure1.1%-1.8%2.7%-1.8%2.5%
VWIV24.3%21.0%31.6%24.6%23.2%
Skew 25d2.6%1.4%4.1%3.1%2.5%
Skew 10d5.2%2.6%9.7%5.8%9.4%
Call IV 25d21.5%19.6%23.7%22.7%20.1%
Put IV 25d24.1%21.8%25.9%25.8%22.6%
Bid-Ask Spread %26.0113.3046.1823.7023.65
Gamma HHI0.440.250.640.480.26
Net GEX15.5M6.2M26.6M14.8M7.3M
Net DEX-199.0M-300.6M-86.0M-193.7M-101.4M
Net VEX-708.6K-937.2K-460.0K-513.7K-809.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.023.190.130.02
Total Volume2,504.52418314,7768519,015
Total OI44,751.04834,42358,12039,18536,425

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$111.49$97.1323.7%6.3%22.7%46.0%24.6%3.1%-1.8%14.8M-193.7M-513.7K0.1323.707539830,0699,116
2014-03-04$113.33$92.5121.3%6.2%21.7%37.2%21.0%2.7%0.5%13.3M-226.1M-476.7K0.0620.134,08222629,8119,141
2014-03-05$112.47$92.5122.7%6.3%22.3%42.5%0.0%2.5%-0.3%15.6M-222.9M-557.6K0.5523.1231917632,4889,351
2014-03-06$113.27$92.5122.5%6.4%22.2%41.6%25.6%2.1%0.3%15.3M-234.7M-516.0K0.6846.1821714732,0069,476
2014-03-07$112.55$92.5122.9%6.4%21.4%43.4%23.0%1.9%0.1%16.5M-220.7M-471.8K1.2620.759721,22331,1679,594
2014-03-10$112.03$92.5123.3%6.4%21.3%44.7%0.0%3.4%-0.4%17.4M-211.8M-463.1K0.7913.3015512231,55710,693
2014-03-11$111.51$92.5122.4%6.4%21.6%41.5%22.2%2.4%0.2%18.8M-204.0M-463.9K0.5130.511216231,56710,770
2014-03-12$110.78$92.5124.3%6.4%21.2%48.1%23.7%2.6%0.5%18.8M-187.8M-460.0K0.0235.8114,53124531,62110,771
2014-03-13$110.37$92.5122.8%6.9%21.3%42.9%25.1%2.5%0.5%21.5M-211.5M-850.8K0.0733.329,44966343,47810,940
2014-03-14$110.80$101.7623.3%6.8%14.8%42.8%25.8%2.3%0.7%21.6M-228.6M-937.2K0.6323.7681951645,44611,462
2014-03-17$111.79$101.7622.9%6.8%15.0%41.2%0.0%2.7%0.5%24.4M-262.5M-897.6K2.6825.0822460045,66311,730
2014-03-18$112.70$101.7621.8%6.8%15.2%37.2%23.2%3.3%1.5%22.5M-287.5M-884.0K1.1516.7430535045,76412,196
2014-03-19$111.97$101.7621.8%6.8%15.0%37.0%0.0%4.1%1.3%26.6M-277.3M-879.3K0.1236.862563145,73212,388
2014-03-20$113.05$101.7620.7%6.7%15.2%33.0%0.0%3.5%2.1%18.4M-298.3M-861.0K2.1128.4819841743,88612,297
2014-03-21$113.00$101.7620.1%6.7%15.2%30.8%22.7%1.4%2.6%17.8M-300.6M-841.8K0.1023.861,85718243,88312,627
2014-03-24$111.18$106.3820.5%6.8%16.4%32.3%0.0%2.4%2.7%7.3M-112.3M-810.4K0.8823.8314913127,5696,854
2014-03-25$111.89$106.3819.9%6.8%16.4%30.0%23.7%2.9%2.7%7.7M-115.2M-808.6K0.6721.3233021927,6536,971
2014-03-26$110.47$106.3820.7%6.7%15.6%33.0%24.7%1.8%1.9%7.1M-105.4M-808.0K1.3827.8369495627,8407,041
2014-03-27$109.57$106.3820.5%6.8%14.8%32.3%23.7%2.0%2.0%6.5M-89.9M-789.0K0.1425.431,23217728,4267,878
2014-03-28$108.51$106.3821.4%7.0%13.8%35.6%31.6%1.9%2.6%6.2M-86.0M-781.4K3.1922.549028628,4497,976
2014-03-31$110.12$106.3820.6%6.9%14.8%32.7%23.2%2.5%2.5%7.3M-101.4M-809.8K0.0223.658,87913628,4497,976