APD Options History — March 2015

In March 2015, APD traded between $139.37 and $146.29. ATM implied volatility averaged 21.5%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 6.6% (HV 20d: 14.9%). Max pain ranged from $134.14 to $143.39. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.98.

Notable Days

  • 2015-03-02: Highest Volume — 8,598 contracts
  • 2015-03-10: Largest IV spike — 24.5% change
  • 2015-03-30: Highest IV Rank — 35.4%
  • 2015-03-30: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$141.60$139.37$146.29$146.29$140.05
Max Pain$139.81$134.14$143.39$134.14$138.76
ATM IV21.5%14.4%26.1%14.4%20.1%
Expected Move6.3%4.1%7.5%4.1%5.8%
HV 20d14.9%12.9%15.7%12.9%15.4%
HV 60d21.3%20.0%22.8%22.4%20.2%
IV Rank21.5%0.0%35.4%0.0%17.3%
IV Percentile52.6%0.0%87.3%0.0%32.1%
Term Structure0.3%-1.3%3.9%3.9%3.8%
VWIV22.6%17.0%27.5%17.0%19.4%
Skew 25d3.7%2.5%4.3%3.2%4.0%
Skew 10d7.6%5.3%9.7%8.0%7.1%
Call IV 25d20.7%13.8%25.0%13.8%18.0%
Put IV 25d24.4%17.1%28.8%17.1%21.9%
Bid-Ask Spread %21.3314.6427.9120.8320.12
Gamma HHI0.240.210.360.220.36
Net GEX9.1M6.9M12.3M8.7M9.4M
Net DEX-199.3M-254.5M-146.1M-254.5M-160.4M
Net VEX-1.1M-1.1M-996.4K-996.4K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.084.001.060.69
Total Volume3,173.9553798,5988,5986,712
Total OI49,360.95542,46056,32442,46055,811

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$146.29$134.1414.4%4.1%12.9%0.0%17.0%3.2%3.9%8.7M-254.5M-996.4K1.0620.834,1674,43127,11515,345
2015-03-03$144.32$134.1416.4%4.7%14.0%6.1%17.2%2.5%3.3%8.9M-236.8M-1.0M4.0015.491,0594,23827,12315,678
2015-03-04$143.17$134.1416.8%4.8%14.5%7.2%18.8%2.7%3.0%9.0M-222.7M-1.0M1.2617.621,9672,48627,18515,857
2015-03-05$143.37$143.3916.6%5.6%14.4%6.7%20.2%4.3%0.6%9.5M-225.3M-1.0M1.7223.761,1041,89428,09216,372
2015-03-06$140.99$143.3920.1%6.5%14.2%17.3%22.5%4.0%-0.6%8.8M-196.2M-1.0M1.8818.891,3322,50928,12516,399
2015-03-09$142.36$143.3918.5%6.2%14.3%12.5%22.8%4.2%-0.6%9.4M-215.3M-1.1M1.4324.8115622328,49617,246
2015-03-10$140.70$143.3923.1%6.8%14.9%26.3%23.9%4.1%-1.3%8.5M-193.8M-1.1M0.8622.703,0872,66828,55717,407
2015-03-11$139.96$143.3923.8%6.8%15.0%28.6%24.0%4.0%-1.3%8.9M-187.4M-1.1M0.1318.897399831,24619,940
2015-03-12$141.80$143.3922.3%6.4%15.6%24.0%24.6%4.0%-0.8%10.0M-210.9M-1.1M0.7124.9535525331,27019,953
2015-03-13$140.61$143.3923.6%6.8%15.1%28.0%24.3%3.9%-0.7%9.2M-196.3M-1.1M1.1315.5945351231,20720,187
2015-03-16$141.19$143.3922.5%6.4%15.0%24.5%22.8%3.7%-0.7%9.9M-202.7M-1.1M0.2617.9361015831,41520,557
2015-03-17$141.20$138.7622.2%6.4%15.0%23.8%22.6%3.7%-0.5%10.3M-206.6M-1.1M0.2222.291,31228331,93820,646
2015-03-18$143.09$138.7621.9%6.3%15.7%22.7%22.9%4.1%-0.3%12.3M-237.7M-1.1M0.1427.821,02014431,99520,793
2015-03-19$140.83$138.7623.3%6.7%15.7%27.1%22.2%3.6%-0.9%10.1M-207.8M-1.1M0.8626.651,5041,28933,09720,850
2015-03-20$141.27$138.7621.3%6.1%15.2%21.0%22.3%3.5%-0.3%6.9M-215.8M-1.1M0.0827.913,28325534,03122,293
2015-03-23$140.51$138.7624.3%7.0%14.9%30.2%24.8%3.9%-0.4%7.6M-167.4M-1.1M1.1622.541,3401,55329,93316,470
2015-03-24$140.78$138.7623.6%6.8%14.7%27.8%25.6%3.6%0.0%8.2M-172.8M-1.1M0.9325.1247143830,96217,736
2015-03-25$139.37$138.7624.3%7.0%15.0%29.9%24.0%3.7%-0.3%6.9M-154.8M-1.1M0.3814.641,23146431,28718,127
2015-03-26$139.84$138.7624.2%6.9%15.1%29.8%24.4%3.7%-0.1%6.9M-146.1M-1.1M0.8618.302,9452,52730,58018,416
2015-03-27$141.30$138.7623.2%6.6%15.7%26.6%24.0%3.5%0.8%9.0M-170.6M-1.1M0.6318.822,0211,28132,22219,570
2015-03-30$142.19$138.7626.1%7.5%15.2%35.4%27.5%3.8%-1.0%11.2M-201.5M-1.1M1.1123.662,4962,75933,92120,491
2015-03-31$140.05$138.7620.1%5.8%15.4%17.3%19.4%4.0%3.8%9.4M-160.4M-1.1M0.6920.123,9792,73334,49621,315