APD Options History — July 2014

In July 2014, APD traded between $118.95 and $126.11. ATM implied volatility averaged 19.1%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 2.0% (HV 20d: 21.1%). Max pain ranged from $101.76 to $124.88. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2014-07-23: Highest Volume — 15,296 contracts
  • 2014-07-10: Largest IV spike — 35.9% change
  • 2014-07-21: Highest IV Rank — 45.7%
  • 2014-07-11: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.39$118.95$126.11$119.57$122.06
Max Pain$109.91$101.76$124.88$101.76$124.88
ATM IV19.1%15.2%25.8%15.9%18.9%
Expected Move6.3%5.7%6.6%6.4%6.2%
HV 20d21.1%7.7%29.7%29.7%19.6%
HV 60d20.7%19.7%22.2%21.4%22.2%
IV Rank16.9%0.0%45.7%0.6%18.9%
IV Percentile23.3%0.0%81.7%0.4%11.1%
Term Structure0.8%-3.2%5.8%5.6%1.1%
VWIV21.6%19.5%23.8%21.5%21.8%
Skew 25d2.5%1.4%3.3%2.0%1.4%
Skew 10d6.1%2.2%9.9%6.8%2.2%
Call IV 25d19.3%15.3%25.3%15.9%18.8%
Put IV 25d21.8%17.4%28.3%17.9%20.2%
Bid-Ask Spread %15.558.6732.478.8530.73
Gamma HHI0.410.310.930.310.37
Net GEX34.8M10.2M222.2M24.5M14.3M
Net DEX-332.9M-418.1M-192.8M-321.3M-236.2M
Net VEX-1.5M-1.7M-1.3M-1.3M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.052.340.050.36
Total Volume2,869.36416715,2969,0432,341
Total OI70,685.27349,00779,50866,28466,218

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$119.57$101.7615.9%6.4%29.7%0.6%21.5%2.0%5.6%24.5M-321.3M-1.3M0.058.858,58445952,09614,188
2014-07-02$118.99$101.7615.8%6.4%29.5%0.3%21.9%1.7%5.7%32.7M-354.4M-1.4M1.689.031,0131,70359,88414,515
2014-07-03$119.72$101.7615.2%6.4%28.9%0.0%23.8%2.1%5.8%32.5M-389.8M-1.4M0.9510.0419218360,73316,108
2014-07-07$119.25$101.7616.4%6.5%29.0%5.3%20.5%2.4%-0.5%34.7M-370.1M-1.4M1.9010.4013425460,88416,231
2014-07-08$118.95$101.7616.3%6.4%28.9%4.6%21.8%2.4%-0.8%35.3M-361.7M-1.4M0.299.4889426360,96016,421
2014-07-09$119.59$101.7615.8%6.5%28.9%2.8%22.9%2.6%-0.6%35.0M-385.4M-1.4M0.318.8566821061,00716,594
2014-07-10$119.05$101.7621.5%6.5%28.6%27.2%22.6%2.6%-0.4%36.7M-366.3M-1.4M1.7313.0336863561,39016,733
2014-07-11$119.72$101.7621.5%6.6%27.3%27.0%0.0%2.5%-0.4%36.8M-391.8M-1.4M0.269.2945612061,48417,305
2014-07-14$119.90$101.7621.8%6.6%27.1%28.4%21.5%2.5%-0.5%36.9M-403.0M-1.3M0.239.2879818461,25417,341
2014-07-15$119.89$101.7621.5%6.5%27.0%27.0%21.1%2.7%-0.3%37.8M-402.0M-1.3M0.449.2657725361,08317,427
2014-07-16$120.07$101.7621.1%6.4%26.9%25.3%21.9%2.8%-0.3%39.5M-412.1M-1.3M0.088.671,58312561,35817,568
2014-07-17$119.09$101.7622.0%6.4%8.0%29.5%21.0%2.6%-0.7%35.2M-367.6M-1.3M0.209.0576615661,32717,625
2014-07-18$120.24$101.7623.3%6.5%8.4%34.7%22.0%2.0%-1.3%222.2M-418.1M-1.3M0.208.914,06080861,83817,670
2014-07-21$120.31$0.0025.8%6.4%7.8%45.7%22.4%3.0%-2.7%10.4M-192.8M-1.4M1.1610.723,3113,85138,29010,717
2014-07-22$120.56$120.2625.3%6.4%7.7%43.6%22.0%3.0%-3.2%10.2M-203.0M-1.5M1.2510.632,9603,69740,86114,025
2014-07-23$125.89$120.2616.7%5.8%16.8%6.3%21.7%3.2%2.7%13.4M-285.9M-1.6M0.1526.3113,3201,97643,40317,400
2014-07-24$125.03$120.2616.9%5.7%17.2%7.3%20.1%1.7%1.6%15.8M-287.8M-1.7M2.3428.885061,18345,49217,461
2014-07-25$125.69$124.8816.6%5.8%16.9%6.0%19.5%2.4%2.0%15.3M-290.1M-1.7M0.2425.281,61938345,47718,404
2014-07-28$126.11$124.8818.0%5.8%16.9%12.1%20.1%3.2%0.9%15.7M-295.9M-1.7M0.6227.051,20674745,60218,572
2014-07-29$125.68$124.8817.4%5.9%17.0%10.5%0.0%3.3%1.3%15.6M-300.4M-1.7M1.1225.9619521846,65919,307
2014-07-30$125.20$124.8817.0%5.9%17.1%9.0%0.0%2.8%1.4%15.9M-288.1M-1.7M0.3132.471283946,75919,405
2014-07-31$122.06$124.8818.9%6.2%19.6%18.9%21.8%1.4%1.1%14.3M-236.2M-1.7M0.3630.731,71662546,78719,431