APD Options History — November 2014

In November 2014, APD traded between $123.68 and $134.46. ATM implied volatility averaged 21.8%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 0.6% (HV 20d: 22.4%). Max pain ranged from $120.26 to $120.26. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.96.

Notable Days

  • 2014-11-17: Highest Volume — 5,971 contracts
  • 2014-11-20: Largest IV drop — 7.8% change
  • 2014-11-03: Highest IV Rank — 27.8%
  • 2014-11-10: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$128.10$123.68$134.46$125.14$133.05
Max Pain$120.26$120.26$120.26$120.26$120.26
ATM IV21.8%19.7%24.1%24.1%20.5%
Expected Move6.8%6.2%7.0%6.9%6.5%
HV 20d22.4%14.6%31.0%31.0%14.6%
HV 60d23.1%22.6%23.9%22.6%23.9%
IV Rank20.4%13.9%27.8%27.8%16.6%
IV Percentile55.1%26.2%81.7%81.7%38.5%
Term Structure-0.1%-1.4%1.8%0.5%-0.1%
VWIV24.1%22.0%25.1%25.1%23.1%
Skew 25d2.2%0.9%4.1%2.3%1.9%
Skew 10d5.2%2.7%6.8%5.9%5.3%
Call IV 25d21.6%19.3%23.9%23.8%20.6%
Put IV 25d23.8%21.5%26.1%26.1%22.5%
Bid-Ask Spread %33.6426.0638.9635.8735.67
Gamma HHI0.290.260.320.310.26
Net GEX17.1M14.2M21.0M16.5M15.4M
Net DEX-359.6M-521.3M-267.4M-317.2M-385.1M
Net VEX-1.5M-1.8M-1.3M-1.8M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.032.570.962.57
Total Volume2,826.5261435,9714,018143
Total OI79,611.94765,97884,78582,92965,978

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-11-03$125.14$120.2624.1%6.9%31.0%27.8%25.1%2.3%0.5%16.5M-317.2M-1.8M0.9635.872,0451,97355,64627,283
2014-11-04$123.68$120.2623.4%7.0%30.1%25.7%25.1%1.7%1.8%14.2M-267.4M-1.7M1.1429.951,3491,53752,99427,965
2014-11-05$123.91$120.2622.5%7.0%30.1%22.7%25.0%1.3%1.8%14.7M-274.9M-1.7M0.9832.121,5241,49953,38428,090
2014-11-06$124.88$120.2622.2%7.0%27.4%21.7%25.1%3.2%0.9%15.5M-291.4M-1.7M1.0326.061,2261,26253,54828,339
2014-11-07$124.76$120.2621.3%6.9%27.5%19.2%24.9%2.8%-1.4%15.6M-293.6M-1.7M0.9133.871,3131,19053,60628,328
2014-11-10$124.70$120.2622.3%7.0%23.4%22.0%25.1%1.3%-0.2%16.4M-291.3M-1.6M0.9628.541,2561,20153,74028,477
2014-11-11$124.67$120.2621.7%7.0%22.5%20.3%24.8%2.2%-0.7%16.6M-296.4M-1.6M0.9532.151,2401,17753,36027,794
2014-11-12$124.71$120.2621.6%7.0%19.9%19.8%24.7%1.5%-0.3%16.9M-297.0M-1.6M0.9035.471,1701,05453,71528,563
2014-11-13$125.39$120.2622.4%7.0%19.6%22.3%24.6%2.3%-0.7%17.7M-310.4M-1.6M0.8932.301,1781,05253,75328,608
2014-11-14$124.62$120.2621.4%6.9%19.7%19.4%24.2%0.9%-0.0%17.6M-296.8M-1.6M0.3734.211666253,79128,616
2014-11-17$125.60$120.2622.5%6.9%19.7%22.9%24.6%2.3%-0.3%18.8M-315.7M-1.5M0.2131.784,9261,04553,92528,638
2014-11-18$128.48$120.2621.4%6.5%20.9%19.5%23.7%2.3%-0.4%21.0M-405.6M-1.5M0.7727.611,4131,09056,11328,657
2014-11-19$131.49$120.2622.7%6.7%21.4%23.4%22.0%4.1%-1.1%19.6M-469.1M-1.5M2.1533.539021,93756,09728,688
2014-11-20$131.91$120.2620.9%6.7%21.3%17.8%23.3%1.5%-0.6%19.1M-473.1M-1.5M0.8538.701,3941,18955,52027,954
2014-11-21$134.19$120.2620.7%6.6%21.3%17.1%23.2%2.7%-0.1%20.7M-521.3M-1.4M0.6636.172,2951,50555,56427,929
2014-11-24$133.90$120.2621.0%6.5%18.3%18.2%24.1%2.0%-0.1%16.4M-440.0M-1.4M0.4238.592,8841,21649,41120,579
2014-11-25$134.46$120.2620.9%6.2%18.2%17.9%22.9%3.4%-0.8%15.8M-445.7M-1.4M1.5337.611,4292,18148,59920,312
2014-11-26$134.33$120.2619.7%6.4%17.9%13.9%23.0%2.2%-0.1%16.9M-440.2M-1.3M0.0338.963,56611548,64020,423
2014-11-28$133.05$120.2620.5%6.5%14.6%16.6%23.1%1.9%-0.1%15.4M-385.1M-1.3M2.5735.674010345,48320,495