APD Options History — January 2015

In January 2015, APD traded between $128.70 and $135.91. ATM implied volatility averaged 24.9%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 1.0% (HV 20d: 23.9%). Max pain ranged from $129.51 to $129.51. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2015-01-02: Highest Volume — 5,330 contracts
  • 2015-01-05: Largest IV spike — 18.1% change
  • 2015-01-14: Highest IV Rank — 39.3%
  • 2015-01-14: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$131.84$128.70$135.91$134.78$134.97
Max Pain$129.51$129.51$129.51$129.51$129.51
ATM IV24.9%20.3%27.8%21.7%23.2%
Expected Move7.5%6.6%8.0%7.3%6.6%
HV 20d23.9%19.9%28.8%23.5%28.4%
HV 60d21.9%19.8%24.4%23.3%22.7%
IV Rank30.3%16.0%39.3%20.1%24.8%
IV Percentile77.3%30.2%92.1%50.0%66.7%
Term Structure-1.1%-2.8%3.5%3.5%0.3%
VWIV26.6%24.2%28.5%27.6%25.7%
Skew 25d4.2%2.6%5.3%3.2%2.6%
Skew 10d8.6%4.3%11.4%9.5%4.3%
Call IV 25d24.6%19.9%27.9%19.9%22.6%
Put IV 25d28.8%23.1%31.5%23.1%25.2%
Bid-Ask Spread %28.8722.5243.8643.8632.51
Gamma HHI0.240.200.290.290.23
Net GEX5.8M2.9M9.2M9.2M8.1M
Net DEX-141.0M-186.0M-86.9M-183.3M-183.4M
Net VEX-1.1M-1.1M-1.1M-1.1M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.263.340.870.46
Total Volume2,907.054415,3305,3303,840
Total OI43,608.2532,23052,19148,45240,018

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$134.78$129.5121.7%7.3%23.5%20.1%27.6%3.2%3.5%9.2M-183.3M-1.1M0.8743.862,8562,47429,69018,762
2015-01-05$130.23$129.5125.6%7.8%26.5%32.3%27.3%4.1%-0.7%5.2M-127.1M-1.1M0.8327.8483369229,64519,840
2015-01-06$130.19$129.5125.9%8.0%26.3%33.1%27.9%4.2%-1.0%5.7M-133.4M-1.1M3.3427.6111739030,22619,624
2015-01-07$131.59$129.5124.3%7.8%26.6%28.2%27.5%4.0%-1.1%6.4M-147.1M-1.1M0.6230.7027216930,31619,690
2015-01-08$134.40$129.5121.1%7.3%27.7%18.3%25.9%4.1%-0.9%9.1M-186.0M-1.1M0.2929.853,28293930,46119,721
2015-01-09$132.65$129.5120.3%7.3%27.1%16.0%25.2%4.0%-1.0%7.5M-166.0M-1.1M0.2628.963,16381930,55319,751
2015-01-12$131.83$129.5123.6%7.5%27.1%26.3%26.5%4.1%-1.4%6.5M-151.4M-1.1M0.3628.663,2351,16030,54419,925
2015-01-13$130.91$129.5125.7%7.7%24.2%32.6%26.2%4.2%-1.3%5.5M-137.4M-1.1M0.5123.513,3881,72730,61520,207
2015-01-14$129.55$129.5127.8%8.0%24.4%39.3%27.5%4.9%-1.8%3.7M-113.8M-1.1M0.3723.803,7751,41430,73420,816
2015-01-15$129.05$129.5127.8%8.0%24.4%39.2%28.0%5.2%-1.5%3.0M-104.4M-1.1M0.3926.943,1461,21230,96421,227
2015-01-16$129.24$129.5127.3%7.8%22.2%37.7%28.5%4.3%-1.5%2.9M-86.9M-1.1M1.5825.2041365230,99121,158
2015-01-20$130.79$129.5127.6%7.9%20.4%38.5%27.5%4.4%-2.3%4.4M-124.0M-1.1M2.3625.5923254822,8719,359
2015-01-21$132.38$129.5126.2%7.5%19.9%34.1%26.6%4.5%-2.1%4.7M-133.6M-1.1M0.5727.5355231523,0169,767
2015-01-22$133.39$129.5124.2%6.9%20.1%28.0%25.2%4.5%-1.4%5.2M-142.6M-1.1M0.7422.521,29095223,48910,025
2015-01-23$132.75$129.5123.9%6.8%19.9%27.0%24.3%4.0%-1.4%5.2M-139.4M-1.1M1.0926.419861,07023,78810,178
2015-01-26$132.36$129.5124.1%6.9%19.9%27.8%24.5%5.2%-1.6%5.2M-133.8M-1.1M0.2929.0052915423,81310,435
2015-01-27$131.22$129.5126.8%7.7%19.9%36.1%28.1%5.1%-2.8%5.0M-128.7M-1.1M1.0825.941,3321,44423,95910,451
2015-01-28$128.70$129.5127.4%7.9%20.8%38.0%28.4%2.6%-2.4%4.8M-115.1M-1.1M0.4936.393,4851,72525,12411,491
2015-01-29$135.91$129.5124.4%7.0%28.8%28.8%24.2%5.3%-0.4%7.9M-182.1M-1.1M0.4434.652,4691,09027,18811,733
2015-01-30$134.97$129.5123.2%6.6%28.4%24.8%25.7%2.6%0.3%8.1M-183.4M-1.1M0.4632.512,6231,21727,88412,134