APD Options History — May 2015

In May 2015, APD traded between $133.69 and $137.37. ATM implied volatility averaged 17.6%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 8.6% (HV 20d: 26.2%). Max pain ranged from $134.14 to $138.76. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.14.

Notable Days

  • 2015-05-13: Highest Volume — 9,505 contracts
  • 2015-05-11: Largest IV spike — 37.0% change
  • 2015-05-11: Highest IV Rank — 25.5%
  • 2015-05-01: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$135.87$133.69$137.37$135.58$135.91
Max Pain$134.37$134.14$138.76$138.76$134.14
ATM IV17.6%14.6%22.8%19.8%16.6%
Expected Move4.9%4.2%5.7%5.7%4.7%
HV 20d26.2%16.1%27.6%25.7%16.1%
HV 60d19.0%18.8%19.4%19.2%18.9%
IV Rank9.7%0.5%25.5%16.5%6.5%
IV Percentile16.2%0.4%63.5%29.8%8.3%
Term Structure0.8%-0.9%2.1%-0.9%0.1%
VWIV17.9%15.4%20.4%19.5%16.5%
Skew 25d2.5%1.7%3.2%1.7%2.6%
Skew 10d4.9%3.1%6.5%3.1%4.8%
Call IV 25d16.4%14.3%19.0%19.0%15.2%
Put IV 25d18.9%17.0%21.1%20.8%17.8%
Bid-Ask Spread %21.2914.7524.8614.7515.62
Gamma HHI0.240.210.280.270.21
Net GEX5.9M-645.5K9.4M8.6M6.6M
Net DEX-112.2M-136.6M-73.9M-116.6M-116.1M
Net VEX-872.0K-987.9K-805.3K-987.9K-822.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.140.098.540.991.29
Total Volume3,614.46289,5056,2403,667
Total OI47,359.0538,95555,72551,67143,429

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$135.58$138.7619.8%5.7%25.7%16.5%19.5%1.7%-0.9%8.6M-116.6M-987.9K0.9914.753,1293,11134,60517,066
2015-05-04$136.52$134.1418.4%5.1%25.7%12.0%18.9%2.8%1.4%8.6M-123.9M-969.2K0.0924.512,25119533,92017,737
2015-05-05$134.49$134.1420.2%5.5%26.2%17.5%19.9%3.1%1.0%4.7M-93.1M-944.9K2.2522.311,1452,57333,62717,738
2015-05-06$134.47$134.1420.3%5.5%26.2%17.8%20.1%3.2%0.8%3.7M-87.1M-932.3K2.4322.591,0202,47933,61717,998
2015-05-07$135.22$134.1419.8%5.5%26.1%16.4%20.4%3.2%1.1%4.4M-98.0M-940.2K2.4524.669672,37333,55918,025
2015-05-08$136.88$134.1416.7%4.9%26.6%6.8%17.2%2.3%1.8%8.3M-128.3M-929.2K1.7923.8322540333,49318,054
2015-05-11$135.07$134.1422.8%5.3%26.8%25.5%18.8%1.8%1.0%3.5M-98.7M-897.7K0.3724.411,68462033,52718,383
2015-05-12$133.69$134.1420.9%5.3%26.7%19.8%20.0%2.5%1.2%-645.5K-73.9M-887.0K1.4422.821,7462,51334,65918,766
2015-05-13$134.36$134.1419.1%5.5%26.8%14.3%19.0%1.9%0.4%29.7K-82.9M-866.4K0.3820.376,8782,62734,63818,940
2015-05-14$136.56$134.1417.1%4.9%27.6%8.2%17.1%3.0%1.6%9.4M-136.6M-871.0K0.7521.193,4042,54336,58219,143
2015-05-15$137.37$134.1416.4%4.7%27.4%6.2%18.5%2.2%2.1%8.0M-136.2M-854.4K1.7320.391,6412,84035,67319,192
2015-05-18$136.85$134.1415.4%4.4%27.1%3.0%17.0%2.2%0.8%7.9M-128.7M-829.1K6.6724.401601,06725,83213,123
2015-05-19$136.46$134.1415.1%4.3%27.0%2.2%16.0%2.0%0.8%7.1M-122.9M-807.2K8.5423.951361,16325,87013,693
2015-05-20$136.18$134.1416.1%4.6%27.0%5.3%16.8%2.1%0.8%6.2M-116.8M-831.3K2.7924.867822,18125,96114,481
2015-05-21$136.95$134.1414.6%4.2%27.1%0.5%16.2%2.8%0.8%6.6M-124.7M-806.7K3.1022.396952,15825,96714,524
2015-05-22$135.96$134.1415.8%4.5%27.2%4.2%16.5%2.5%0.6%6.0M-112.5M-827.9K1.8516.281,0932,02025,98714,589
2015-05-26$135.20$134.1416.6%4.8%27.0%6.7%17.8%2.7%0.1%5.3M-102.8M-809.9K1.6719.291,1471,91026,42514,631
2015-05-27$136.60$134.1415.4%4.4%26.9%3.1%16.2%2.1%0.4%6.4M-119.9M-805.3K1.0117.381,9982,02626,46614,709
2015-05-28$137.16$134.1414.9%4.3%26.9%1.6%15.4%2.9%0.5%6.9M-124.3M-819.9K1.2619.791,6452,07327,70314,849
2015-05-29$135.91$134.1416.6%4.7%16.1%6.5%16.5%2.6%0.1%6.6M-116.1M-822.1K1.2915.621,5982,06928,51914,910