APD Options History — December 2014

In December 2014, APD traded between $126.65 and $138.01. ATM implied volatility averaged 22.6%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.3% (HV 20d: 19.3%). Max pain ranged from $120.26 to $138.76. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.48.

Notable Days

  • 2014-12-29: Highest Volume — 16,096 contracts
  • 2014-12-10: Largest IV spike — 12.9% change
  • 2014-12-16: Highest IV Rank — 33.9%
  • 2014-12-16: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$133.66$126.65$138.01$133.39$133.42
Max Pain$124.66$120.26$138.76$120.26$129.51
ATM IV22.6%20.7%26.1%22.3%22.1%
Expected Move7.0%6.4%7.8%6.5%7.3%
HV 20d19.3%13.9%23.6%14.6%23.6%
HV 60d23.9%23.0%25.1%23.9%23.7%
IV Rank23.2%17.2%33.9%22.0%21.6%
IV Percentile62.1%37.7%90.1%63.5%59.1%
Term Structure1.7%-1.1%3.7%-1.1%3.0%
VWIV25.8%23.5%28.5%24.1%26.4%
Skew 25d3.6%1.3%5.7%3.5%2.6%
Skew 10d7.6%5.4%10.7%7.7%5.4%
Call IV 25d21.9%20.0%25.4%22.5%21.9%
Put IV 25d25.5%23.4%29.8%26.0%24.5%
Bid-Ask Spread %40.9930.9862.6438.8339.58
Gamma HHI0.250.220.290.260.27
Net GEX15.7M8.3M22.2M15.2M8.3M
Net DEX-349.7M-473.3M-176.0M-380.9M-176.0M
Net VEX-1.3M-1.3M-1.1M-1.3M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.0717.430.321.25
Total Volume4,12040416,0964,5971,377
Total OI64,343.63645,82374,63066,08047,107

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$133.39$120.2622.3%6.5%14.6%22.0%24.1%3.5%-1.1%15.2M-380.9M-1.3M0.3238.833,4791,11845,49820,582
2014-12-02$132.86$120.2621.8%6.4%14.8%20.6%24.1%2.4%-0.5%15.6M-378.6M-1.3M0.3230.983,4561,10645,54520,680
2014-12-03$134.44$120.2621.5%6.6%14.0%19.7%24.0%3.7%-0.1%15.1M-404.4M-1.3M0.1434.228,3871,16145,55220,691
2014-12-04$134.88$120.2620.9%6.6%14.0%17.8%23.5%2.4%0.6%17.8M-429.7M-1.3M0.2737.173198549,08520,712
2014-12-05$135.62$120.2620.7%6.7%13.9%17.2%25.4%3.7%1.8%17.4M-441.8M-1.3M0.3231.523,5381,12049,27020,712
2014-12-08$134.63$120.2621.6%6.7%14.4%19.9%25.1%3.0%1.7%17.8M-433.5M-1.3M0.3433.933,4051,15149,46220,807
2014-12-09$133.88$120.2622.4%6.8%14.7%22.6%25.1%3.6%2.0%18.4M-408.6M-1.3M0.3436.463,4261,18249,50720,897
2014-12-10$131.18$120.2625.4%7.1%17.0%31.6%25.6%4.2%0.7%19.0M-366.4M-1.3M0.6636.842,1381,41749,42320,851
2014-12-11$132.20$120.2623.1%6.8%17.0%24.4%24.4%4.0%0.6%18.5M-388.5M-1.3M1.1744.411,1671,36249,56221,031
2014-12-12$127.81$120.2624.2%7.2%21.4%28.1%26.5%1.3%1.1%18.5M-301.1M-1.3M1.7237.631,2772,19749,64321,009
2014-12-15$127.21$120.2624.8%7.4%21.3%29.8%26.5%5.7%0.9%17.6M-267.6M-1.3M0.4044.483,1861,28349,57621,778
2014-12-16$126.65$120.2626.1%7.8%21.3%33.9%28.5%3.6%1.5%18.7M-276.5M-1.3M0.9637.921,3861,33551,02521,924
2014-12-17$130.27$120.2625.9%7.8%22.1%33.2%27.5%5.2%1.2%22.2M-343.9M-1.3M0.2843.235,1621,45952,65321,977
2014-12-18$133.75$120.2624.2%7.7%22.6%28.1%28.3%4.2%2.4%21.2M-425.4M-1.2M0.6637.551,8851,24950,58421,931
2014-12-19$136.02$120.2623.2%7.3%23.3%24.8%25.7%3.4%2.3%15.9M-473.3M-1.2M0.1744.381,81931550,50522,006
2014-12-22$136.60$0.0021.6%6.9%22.5%20.1%26.2%3.5%2.4%11.8M-320.4M-1.2M1.2062.641,2521,49738,33915,940
2014-12-23$137.48$138.7620.9%7.0%22.6%17.9%25.0%3.4%3.5%12.0M-338.6M-1.2M1.3741.221,0791,47838,36616,564
2014-12-24$137.45$138.7620.7%6.9%22.6%17.2%25.3%4.3%3.3%11.2M-309.5M-1.2M1.4544.941,0301,49636,37316,583
2014-12-26$138.01$138.7620.8%7.0%22.6%17.4%25.0%4.5%3.7%11.5M-315.5M-1.2M1.7247.548411,45036,37316,619
2014-12-29$137.31$138.7620.8%7.0%22.4%17.5%27.3%3.8%3.7%12.0M-311.0M-1.1M0.0746.2814,9931,10336,36716,628
2014-12-30$135.47$129.5122.9%7.4%23.0%23.9%27.3%4.0%2.6%10.1M-202.9M-1.1M17.4349.93801,39429,05016,773
2014-12-31$133.42$129.5122.1%7.3%23.6%21.6%26.4%2.6%3.0%8.3M-176.0M-1.1M1.2539.5861176629,04918,058