APD Options History — September 2014

In September 2014, APD traded between $118.61 and $125.51. ATM implied volatility averaged 21.9%, placing in the 47.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 8.4% (HV 20d: 13.4%). Max pain ranged from $120.26 to $120.26. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2014-09-10: Highest Volume — 42,708 contracts
  • 2014-09-10: Largest IV spike — 33.7% change
  • 2014-09-10: Highest IV Rank — 76.1%
  • 2014-09-30: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.19$118.61$125.51$122.38$120.43
Max Pain$120.26$120.26$120.26$120.26$120.26
ATM IV21.9%17.9%25.9%19.2%23.7%
Expected Move6.2%6.1%6.5%6.2%6.5%
HV 20d13.4%6.6%21.0%10.7%21.0%
HV 60d18.0%15.2%21.3%21.1%17.8%
IV Rank47.2%19.1%76.1%28.3%60.5%
IV Percentile55.7%10.3%90.1%21.8%81.0%
Term Structure-0.2%-2.3%2.1%-0.4%0.3%
VWIV22.0%20.9%25.4%21.0%22.6%
Skew 25d2.2%0.0%4.7%0.8%2.3%
Skew 10d4.7%0.2%10.5%2.8%4.6%
Call IV 25d21.5%18.2%24.2%19.4%23.5%
Put IV 25d23.6%19.2%26.6%20.2%25.8%
Bid-Ask Spread %38.4632.4147.3841.7537.29
Gamma HHI0.420.360.820.410.36
Net GEX35.8M15.3M138.9M18.4M30.1M
Net DEX-327.0M-589.4M-189.1M-255.3M-220.7M
Net VEX-2.0M-2.2M-1.7M-1.8M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.046.630.202.19
Total Volume6,083.61923342,7082,1213,108
Total OI99,679.85775,410130,12275,410107,838

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$122.38$120.2619.2%6.2%10.7%28.3%0.0%0.8%-0.4%18.4M-255.3M-1.8M0.2041.751,76335855,23420,176
2014-09-03$122.92$120.2618.8%6.1%8.2%25.7%21.0%0.7%-1.2%19.7M-266.4M-1.8M1.6237.019415256,02620,451
2014-09-04$122.51$120.2617.9%6.2%8.3%19.1%25.4%0.0%0.2%19.9M-263.0M-1.8M1.1840.6910712656,03420,526
2014-09-05$122.61$120.2618.9%6.1%7.6%26.5%0.0%2.0%1.6%19.5M-253.6M-1.8M0.8635.7120517656,06620,600
2014-09-08$122.10$120.2619.4%6.2%6.6%29.9%20.9%0.9%1.3%19.4M-244.9M-1.8M6.6336.672391,58456,11320,739
2014-09-09$120.36$120.2619.4%6.2%8.1%29.8%0.0%0.9%2.1%15.3M-189.1M-1.7M0.1538.1171210856,25421,465
2014-09-10$121.75$120.2625.9%6.2%9.2%76.1%21.0%2.0%-0.5%17.7M-230.3M-1.8M0.0441.6441,2121,49656,66421,548
2014-09-11$118.81$120.2623.5%6.1%12.5%59.0%21.6%1.5%-2.1%36.8M-296.6M-2.1M0.5842.723,7952,20192,11722,633
2014-09-12$118.61$120.2623.5%6.2%12.5%59.3%0.0%2.5%-2.1%36.4M-271.7M-2.0M1.5433.741,0011,54695,05624,235
2014-09-15$119.29$120.2624.2%6.3%12.7%63.9%21.3%2.5%-2.3%38.1M-292.6M-2.0M0.4639.481,68477795,58325,385
2014-09-16$121.63$120.2624.4%6.4%14.2%65.3%21.0%2.5%-1.7%44.9M-441.6M-2.2M0.4440.258,3543,63696,55125,739
2014-09-17$121.11$120.2623.9%6.5%14.2%61.9%0.0%2.5%-0.6%49.2M-420.3M-2.1M0.4546.054,8622,179100,23428,648
2014-09-18$123.07$120.2621.8%6.2%15.4%46.5%23.0%1.6%-0.0%68.0M-539.3M-2.1M0.2447.388,2611,949100,23128,438
2014-09-19$124.42$120.2621.7%6.2%15.8%46.0%21.0%2.0%-0.6%138.9M-589.4M-2.1M0.1136.8210,6101,137100,32929,793
2014-09-22$124.14$120.2622.1%6.3%15.7%49.0%22.5%3.0%0.2%27.8M-377.7M-2.1M1.8937.617311,37968,90320,321
2014-09-23$123.41$120.2622.3%6.3%15.9%50.3%21.8%3.3%0.0%28.1M-360.6M-2.0M0.6637.612,9811,95969,29621,124
2014-09-24$125.51$120.2621.3%6.1%17.0%43.5%0.0%2.5%0.2%30.1M-399.4M-2.1M1.3034.621,9882,57572,00223,002
2014-09-25$123.05$120.2622.0%6.3%18.4%48.4%22.8%3.9%0.4%29.5M-305.4M-2.0M1.1737.491,5141,77773,72225,082
2014-09-26$124.67$120.2621.6%6.3%19.0%45.3%21.7%4.7%0.9%31.0M-335.6M-2.1M0.3232.416,8112,16175,13826,359
2014-09-29$123.15$120.2623.3%6.4%19.5%57.7%22.2%3.5%-0.5%32.2M-313.5M-2.1M1.3032.6219525379,70627,916
2014-09-30$120.43$120.2623.7%6.5%21.0%60.5%22.6%2.3%0.3%30.1M-220.7M-2.0M2.1937.299732,13579,83128,007