APD Options History — June 2014

In June 2014, APD traded between $110.58 and $120.95. ATM implied volatility averaged 22.0%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 0.6% (HV 20d: 22.6%). 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 11 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2014-06-26: Highest Volume — 13,330 contracts
  • 2014-06-18: Largest IV drop — 29.3% change
  • 2014-06-16: Highest IV Rank — 60.5%
  • 2014-06-17: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$115.74$110.58$120.95$112.70$118.98
Max Pain$104.40$101.76$106.38$106.38$101.76
ATM IV22.0%17.5%29.3%20.9%17.5%
Expected Move6.7%6.2%7.1%6.9%6.3%
HV 20d22.6%15.9%30.3%16.2%29.7%
HV 60d18.9%15.8%22.4%15.9%21.8%
IV Rank29.3%7.9%60.5%25.5%7.9%
IV Percentile43.0%0.8%96.4%39.3%0.8%
Term Structure0.0%-4.6%4.2%-1.7%4.2%
VWIV24.2%20.9%33.8%24.5%20.9%
Skew 25d1.4%-0.1%3.0%1.3%2.4%
Skew 10d3.3%-0.2%7.1%3.3%7.1%
Call IV 25d22.0%17.6%29.0%21.7%17.6%
Put IV 25d23.4%19.4%31.4%22.9%20.0%
Bid-Ask Spread %23.7210.3430.7021.2610.34
Gamma HHI0.280.210.330.240.32
Net GEX17.9M8.9M25.3M8.9M23.8M
Net DEX-260.5M-484.6M-134.8M-134.8M-301.5M
Net VEX-1.2M-1.4M-863.0K-863.0K-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.014.460.050.36
Total Volume4,521.57127213,3305,301871
Total OI63,682.1941,10778,92141,10765,705

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$112.70$106.3820.9%6.9%16.2%25.5%24.5%1.3%-1.7%8.9M-134.8M-863.0K0.0521.265,04225932,1298,978
2014-06-03$112.43$106.3821.2%7.0%15.9%26.7%22.8%1.2%-0.5%11.7M-146.1M-897.0K0.5920.8078646736,1869,183
2014-06-04$111.42$106.3821.3%6.9%16.2%27.2%33.8%1.2%-0.1%11.0M-138.5M-909.2K0.0121.588,5935136,6979,497
2014-06-05$113.65$101.7620.1%6.8%17.3%21.9%24.5%1.6%0.5%10.5M-156.1M-939.3K0.4820.707,3573,56735,1299,523
2014-06-06$114.29$106.3820.4%6.9%17.1%23.2%0.0%1.7%0.3%13.3M-191.3M-1.1M0.1721.315849741,71412,521
2014-06-09$113.74$106.3822.0%6.8%17.2%30.2%26.7%1.5%-0.2%13.0M-186.8M-1.1M1.2219.931,7242,10541,77512,593
2014-06-10$114.08$106.3825.7%6.8%16.9%45.1%23.6%2.8%-1.9%12.2M-187.2M-1.1M0.1022.7910,1871,04142,73414,023
2014-06-11$112.85$106.3827.8%6.8%17.4%54.1%23.5%0.9%-2.5%15.5M-203.3M-1.2M0.2127.141,58733551,65014,822
2014-06-12$110.58$106.3826.1%7.0%18.9%46.8%25.2%0.7%-2.7%13.6M-156.5M-1.2M0.6223.0357035352,60115,108
2014-06-13$112.05$106.3826.8%7.0%17.4%49.7%24.3%2.0%-1.9%14.6M-182.2M-1.2M0.0522.686,35229152,82215,307
2014-06-16$111.49$106.3829.3%7.0%17.0%60.5%0.0%1.2%-4.6%17.3M-194.5M-1.2M0.0624.513,67623259,21615,511
2014-06-17$112.49$106.3828.5%7.1%17.2%57.1%23.3%2.7%-3.2%21.0M-241.5M-1.3M0.3926.5785132862,46115,632
2014-06-18$120.93$106.3820.1%6.6%29.8%21.0%24.1%1.2%1.1%23.9M-484.6M-1.3M0.4723.685,1132,38162,75715,825
2014-06-19$119.98$101.7620.0%6.6%30.0%20.4%26.6%0.9%1.4%25.3M-455.8M-1.3M0.3826.6793936062,06516,856
2014-06-20$120.95$101.7620.2%6.4%29.9%21.3%22.0%1.1%0.9%23.6M-479.1M-1.3M0.0629.3310,31759261,60317,012
2014-06-23$120.38$101.7619.1%6.4%30.1%16.4%21.5%0.6%2.1%23.6M-361.8M-1.4M0.8330.051,5331,26655,99113,061
2014-06-24$119.54$101.7619.0%6.4%30.3%16.0%22.7%-0.1%2.1%23.0M-324.0M-1.3M0.6625.6030219853,58914,279
2014-06-25$119.83$101.7619.1%6.3%30.2%16.3%0.0%0.5%2.7%23.6M-333.6M-1.3M4.4630.705022253,43014,400
2014-06-26$119.18$101.7618.8%6.4%30.1%15.1%21.6%0.3%2.4%24.5M-318.0M-1.3M0.0121.4513,14718353,25913,994
2014-06-27$118.97$101.7618.5%6.2%30.1%12.0%0.0%3.0%2.5%22.8M-292.7M-1.3M0.3327.9278326151,75313,935
2014-06-30$118.98$101.7617.5%6.3%29.7%7.9%20.9%2.4%4.2%23.8M-301.5M-1.3M0.3610.3463923251,75913,946