APD Options History — August 2014

In August 2014, APD traded between $121.33 and $125.18. ATM implied volatility averaged 18.2%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 0.9% (HV 20d: 19.1%). Max pain ranged from $120.26 to $124.88. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.51.

Notable Days

  • 2014-08-28: Highest Volume — 3,426 contracts
  • 2014-08-11: Largest IV spike — 21.8% change
  • 2014-08-11: Highest IV Rank — 40.1%
  • 2014-08-12: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$123.05$121.33$125.18$123.15$123.23
Max Pain$121.14$120.26$124.88$124.88$120.26
ATM IV18.2%16.4%21.4%18.0%17.1%
Expected Move6.2%5.8%6.5%6.2%6.0%
HV 20d19.1%12.1%22.3%19.7%12.1%
HV 60d22.0%21.1%22.8%22.2%21.1%
IV Rank20.1%8.4%40.1%14.3%13.6%
IV Percentile12.0%2.4%43.7%6.0%6.0%
Term Structure1.3%0.2%2.1%1.8%0.2%
VWIV21.8%14.2%26.9%21.5%20.2%
Skew 25d2.1%0.7%4.8%4.8%0.7%
Skew 10d4.6%2.0%8.6%8.6%2.6%
Call IV 25d18.9%16.6%21.0%17.2%17.9%
Put IV 25d20.9%18.6%22.6%22.0%18.6%
Bid-Ask Spread %33.2520.4246.1129.5842.08
Gamma HHI0.370.340.440.370.44
Net GEX15.3M14.1M18.6M14.6M18.6M
Net DEX-251.8M-294.9M-224.3M-251.0M-269.8M
Net VEX-1.8M-1.9M-1.7M-1.8M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.0213.310.150.13
Total Volume1,025.811253,4261,820886
Total OI69,269.57165,26374,76768,12874,767

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$123.15$124.8818.0%6.2%19.7%14.3%21.5%4.8%1.8%14.6M-251.0M-1.8M0.1529.581,57724348,15419,974
2014-08-04$125.18$124.8817.8%6.2%20.3%15.4%20.9%3.4%1.7%16.1M-294.9M-1.8M0.3827.121917249,13820,098
2014-08-05$122.72$124.8820.2%6.3%21.8%29.3%22.1%1.2%1.1%15.2M-255.3M-1.8M0.4431.791908449,21320,129
2014-08-06$122.41$124.8821.4%6.5%21.8%39.8%23.6%1.9%0.7%14.9M-244.6M-1.8M0.3920.421546149,31820,131
2014-08-07$121.33$120.2619.7%6.4%21.9%29.3%22.8%0.9%0.8%14.1M-224.3M-1.8M1.0129.79828349,33720,178
2014-08-08$122.73$120.2617.1%6.3%22.2%13.7%23.3%2.3%1.4%15.8M-240.7M-1.7M0.7423.1718413649,35720,245
2014-08-11$122.14$120.2620.8%6.5%22.3%40.1%26.9%2.3%1.8%15.7M-240.6M-1.7M0.1130.672682949,34320,375
2014-08-12$122.10$120.2617.5%6.5%22.3%16.7%0.0%2.3%1.7%15.3M-232.1M-1.7M0.0224.76123249,40320,394
2014-08-13$122.52$120.2616.4%6.4%22.3%8.4%0.0%2.1%1.0%16.0M-243.1M-1.7M0.0730.502,53417649,34520,395
2014-08-14$122.62$120.2619.2%6.3%22.1%28.5%0.0%1.8%2.1%15.7M-252.1M-1.8M0.8326.0940533551,35020,048
2014-08-15$122.83$120.2618.8%6.3%21.9%25.3%0.0%2.5%2.0%15.8M-250.2M-1.7M6.7231.852721,83051,57520,173
2014-08-18$124.09$120.2618.4%6.2%22.1%22.9%25.7%1.5%1.5%14.1M-261.4M-1.7M0.1136.321,31214248,11017,153
2014-08-19$124.31$120.2617.9%6.0%22.1%19.3%14.2%1.9%0.8%14.6M-271.1M-1.8M13.3132.28841,12248,84417,292
2014-08-20$123.78$120.2618.2%6.1%15.7%21.6%22.0%1.9%0.9%14.6M-258.8M-1.8M0.5631.2220611548,90718,358
2014-08-21$123.15$120.2617.5%6.1%15.6%16.3%0.0%1.7%1.3%14.7M-248.9M-1.7M1.6944.387612848,89318,448
2014-08-22$122.80$120.2617.3%6.1%15.5%15.0%0.0%2.2%1.3%14.3M-238.1M-1.7M1.6232.6913722348,73418,564
2014-08-25$123.20$120.2617.5%5.9%15.5%16.3%20.5%1.6%1.0%14.9M-248.7M-1.7M1.4543.1549872448,80418,783
2014-08-26$123.40$120.2617.1%5.8%15.5%13.3%19.9%2.1%1.3%15.4M-254.3M-1.7M0.0843.902,32619049,25719,369
2014-08-27$123.03$120.2617.0%5.9%15.5%12.6%21.5%1.2%0.9%15.5M-250.6M-1.8M1.9346.1131260451,47119,544
2014-08-28$123.35$120.2616.6%5.9%12.5%10.3%20.2%2.7%1.6%16.1M-257.9M-1.8M0.0440.343,30412251,65220,038
2014-08-29$123.23$120.2617.1%6.0%12.1%13.6%0.0%0.7%0.2%18.6M-269.8M-1.9M0.1342.0878310354,64620,121