APD Options History — April 2014

In April 2014, APD traded between $106.51 and $112.64. ATM implied volatility averaged 22.3%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 4.3% (HV 20d: 18.0%). Max pain ranged from $106.38 to $106.38. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.30.

Notable Days

  • 2014-04-22: Highest Volume — 2,864 contracts
  • 2014-04-10: Largest IV spike — 26.4% change
  • 2014-04-15: Highest IV Rank — 51.7%
  • 2014-04-15: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.07$106.51$112.64$111.01$108.71
Max Pain$106.38$106.38$106.38$106.38$106.38
ATM IV22.3%19.0%25.6%19.7%22.0%
Expected Move6.9%6.7%7.1%7.0%6.7%
HV 20d18.0%13.8%20.2%13.8%18.1%
HV 60d20.4%19.2%21.6%19.9%19.2%
IV Rank39.1%26.7%51.7%29.5%37.9%
IV Percentile54.4%25.4%81.7%33.7%51.2%
Term Structure-0.2%-2.6%4.1%3.2%-0.8%
VWIV25.4%17.2%32.0%24.4%22.1%
Skew 25d2.1%0.7%4.4%2.4%1.2%
Skew 10d4.5%-1.2%13.5%10.7%4.2%
Call IV 25d22.6%17.5%25.6%19.2%22.5%
Put IV 25d24.7%21.0%27.6%21.6%23.6%
Bid-Ask Spread %30.2221.2447.4424.6630.20
Gamma HHI0.260.200.440.280.30
Net GEX6.9M3.2M12.4M9.7M8.2M
Net DEX-97.9M-153.2M-56.3M-133.1M-104.1M
Net VEX-918.0K-1.1M-843.0K-1.0M-870.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.0311.460.331.48
Total Volume916.667782,864426506
Total OI40,960.47634,08743,91142,09240,733

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$111.01$106.3819.7%7.0%13.8%29.5%24.4%2.4%3.2%9.7M-133.1M-1.0M0.3324.6632110533,7298,363
2014-04-02$112.64$106.3820.0%7.0%14.6%30.2%28.7%4.1%3.0%10.2M-153.2M-1.1M11.4624.831211,38733,7138,405
2014-04-03$112.07$106.3819.0%6.8%14.5%26.7%23.0%1.1%4.1%9.4M-148.2M-1.1M0.0928.356706133,7549,674
2014-04-04$110.18$106.3819.2%6.9%15.5%27.5%0.0%1.6%-1.0%8.4M-122.8M-1.0M0.2044.661683433,5409,680
2014-04-07$108.03$106.3822.7%7.0%16.8%40.5%0.0%2.6%-1.0%6.3M-84.3M-948.5K0.3031.683159333,5309,677
2014-04-08$108.34$106.3822.7%6.9%16.9%40.7%29.1%2.6%-1.1%6.5M-83.7M-940.4K1.1838.49364233,6779,739
2014-04-09$109.57$106.3819.1%6.9%17.3%27.2%0.0%4.4%-0.7%8.1M-100.6M-953.7K0.7137.1357541033,6769,766
2014-04-10$107.17$106.3824.2%7.0%18.9%46.3%23.6%1.4%0.2%5.7M-76.1M-906.2K0.0437.091,3806133,6229,601
2014-04-11$106.51$106.3824.5%7.1%18.9%47.5%25.6%1.4%-0.7%4.9M-64.7M-883.3K0.0347.441,4995134,0569,623
2014-04-14$106.56$106.3825.1%6.8%18.5%49.8%30.6%0.9%-1.4%3.2M-56.3M-853.1K2.0632.9811423334,0239,647
2014-04-15$107.59$106.3825.6%7.1%18.6%51.7%17.2%2.8%-2.1%4.3M-63.3M-843.0K4.6623.163817634,1509,761
2014-04-16$109.79$106.3824.3%6.8%20.2%46.7%0.0%2.9%-1.8%12.4M-92.5M-895.7K0.0927.764804133,7159,490
2014-04-17$109.10$106.3823.3%6.8%19.8%42.9%27.3%1.5%-0.2%8.1M-86.2M-888.4K0.0626.688795434,1389,503
2014-04-21$108.74$106.3823.4%6.8%19.8%43.5%0.0%2.6%-0.8%4.6M-93.1M-866.9K2.9927.7115646527,3436,744
2014-04-22$110.24$106.3825.3%6.7%19.8%50.4%26.1%1.9%-2.6%5.0M-104.4M-898.2K0.2622.902,27459027,4777,044
2014-04-23$109.59$106.3820.8%6.7%19.7%33.6%32.0%1.7%0.2%5.9M-103.6M-890.2K0.5228.5937119129,1097,468
2014-04-24$109.57$106.3820.3%6.7%19.3%31.5%22.8%1.9%0.2%5.8M-101.2M-884.8K0.1627.184527029,1507,607
2014-04-25$108.34$106.3822.3%6.9%19.4%39.0%22.8%1.5%-0.6%5.2M-91.2M-852.4K0.0521.242,35012029,1167,664
2014-04-28$108.25$106.3822.7%7.0%19.1%40.7%26.2%2.3%-0.5%6.8M-95.1M-854.7K0.5722.3624613931,3897,770
2014-04-29$108.35$106.3821.7%6.8%18.3%37.0%0.0%0.7%0.1%7.0M-98.5M-862.8K0.0429.541,8958131,4877,817
2014-04-30$108.71$106.3822.0%6.7%18.1%37.9%22.1%1.2%-0.8%8.2M-104.1M-870.6K1.4830.2020430232,8787,855